Reconciling negative return skewness with positive time-varying risk premia
Dimitra Kyriakopoulou and Christian M. Hafner
| Year of publication: |
2022
|
|---|---|
| Authors: | Kyriakopoulou, Dimitra ; Hafner, Christian M. |
| Subject: | asymmetric distribution | Exponential GARCH | ICAPM | in-mean | portfolio selection | risk premium | unconditional skewness | value-at-risk | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | CAPM |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2022.2072323 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364913