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  • Search: subject:"co-skewness"
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Year of publication
Subject
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Co-skewness 21 CAPM 14 Capital income 13 Co-kurtosis 13 Kapitaleinkommen 13 co-skewness 13 co-kurtosis 10 Börsenkurs 9 Portfolio selection 9 Portfolio-Management 9 Share price 9 Aktienmarkt 6 Covariance 6 Financial crisis 6 Stock market 6 Estimation 5 Finanzkrise 5 Schätzung 5 Statistical test 5 Statistischer Test 5 Ansteckungseffekt 4 Contagion effect 4 Hedging 4 India 4 VAR model 4 VAR-Modell 4 capital asset pricing model 4 Co-volatility 3 Contagion testing 3 Correlation 3 Diversification 3 Diversifikation 3 Estimation theory 3 Extremal dependence 3 Indien 3 Korrelation 3 Schätztheorie 3 Theorie 3 Theory 3 USA 3
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Online availability
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Undetermined 23 Free 16
Type of publication
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Article 31 Book / Working Paper 11
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Working Paper 6 Article 2
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Language
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English 32 Undetermined 10
Author
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Conlon, Thomas 4 Cotter, John 4 Fry-McKibbin, Renée 4 Hsiao, Cody Yu-Ling 4 Jin, Chenglu 4 Amengual, Dante 3 Fiorentini, Gabriele 3 Sentana, Enrique 3 Vishnani, Sushma 3 Arbia, Giuseppe 2 Bramante, Riccardo 2 Dong, Liang 2 Esparcia, Carlos 2 Facchinetti, Silvia 2 Fuss, Roland 2 Guidolin, Massimo 2 Huélamo, Diego 2 Kot, Hung Wan 2 Lam, Keith 2 Misra, Dheeraj 2 Nicodano, Giovanna 2 Wolfle, Marco 2 Ahmad, Eatzaz 1 Akbar, Muhammad 1 Apergēs, Nikolaos 1 Baba, Naohiko 1 Bakhshi, Priti 1 Botond, Benedek 1 Bouri, Elie 1 Chan, Joshua C.C. 1 Chan, Kalok 1 Chaudhary, Rashmi 1 Chen, Langnan 1 Díaz Pérez, Antonio 1 Díaz, Antonio 1 Fry-McKibbin, Renée A. 1 Gregoriou, Greg N. 1 Hsiao, Cody Yu-ling 1 Huang, Guanglin 1 Javid, Attiya Y. 1
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Institution
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Crawford School of Public Policy, Australian National University 2 Bank of Japan 1 Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto 1 Pakistan Institute of Development Economics 1
Published in...
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Finance research letters 3 UCD Geary Institute for Public Policy discussion paper series 3 CAMA Working Papers 2 CAMA working paper series 2 International Journal of Trade and Global Markets 2 Afro-Asian Journal of Finance and Accounting 1 Afro-Asian Journal of Finance and Accounting : AAJFA 1 Annals of Finance 1 Asia-Pacific Financial Markets 1 Asia-Pacific journal of accounting & economics : publication of the City University of Hong Kong and National Taiwan University 1 Atlantic economic journal : AEJ 1 Bank of Japan Working Paper Series 1 CEMFI working paper 1 CeRP Working Papers 1 Econometric reviews 1 Energy economics 1 International Journal of Financial Markets and Derivatives : IJFMD 1 International journal of finance & economics : IJFE 1 International review of economics & finance : IREF 1 Investment management and financial innovations 1 Journal of economics & management 1 Journal of emerging market finance 1 Journal of empirical finance 1 Journal of financial econometrics 1 Journal of forecasting 1 Journal of international financial markets, institutions & money 1 PIDE-Working Papers 1 Research in international business and finance 1 Risks 1 Risks : open access journal 1 SERIEs - Journal of the Spanish Economic Association 1 SERIEs : Journal of the Spanish Economic Association 1 Staff studies : official journal of the Central Bank of Sri Lanka 1 The European Journal of Finance 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 29 RePEc 11 EconStor 2
Showing 1 - 10 of 42
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Co-skewness across return horizons
Jin, Chenglu; Conlon, Thomas; Cotter, John - In: Journal of financial econometrics 21 (2023) 5, pp. 1483-1518
Persistent link: https://www.econbiz.de/10014444689
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Moment tests of independent components
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474
We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...
Persistent link: https://www.econbiz.de/10014496112
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Cover Image
Co-skewness across return horizons
Jin, Chenglu; Conlon, Thomas; Cotter, John - 2022
Persistent link: https://www.econbiz.de/10013484727
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Cover Image
Moment tests of independent components
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474
We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...
Persistent link: https://www.econbiz.de/10013326911
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Measuring systemic risk contribution : a higher-order moment augmented approach
Wang, Peiwen; Huang, Guanglin - In: Finance research letters 59 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014445409
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Moment tests of independent components
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2021
Persistent link: https://www.econbiz.de/10012660817
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Unveiling the diversification capabilities of carbon markets in NFT portfolios
Díaz, Antonio; Esparcia, Carlos; Huélamo, Diego - In: Finance research letters 58 (2023) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10014633086
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Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios
Díaz Pérez, Antonio; Esparcia, Carlos; Huélamo, Diego - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014246895
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Another look at contagion across United States and European financial markets : evidence from the credit default swaps markets
Tsionas, Efthymios G.; Apergēs, Nikolaos - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 1137-1155
Persistent link: https://www.econbiz.de/10014253359
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Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management
Nekhili, Ramzi; Bouri, Elie - In: Energy economics 119 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014285019
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