"Each chapter opens with a real-life case study that forms the basis for several examples within the chapter. The questions included in the examples create a roadmap for mastering the most important learning outcomes within the chapter. A synopsis of each chapter's introductory case is presented...

Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...

When correcting for autocorrelation, most econometrics texts suggest using a quasi-differencing procedure. A number of issues arise. First, it is found that popular two-step procedures do not sufficiently correct for autocorrelation in certain instances. Second, while it is true that most...

Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...