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skewness
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Athayde, Gustavo
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Society for Computational Economics - SCE
International Monetary Fund (IMF)
68
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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C.E.P.R. Discussion Papers
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Department of Econometrics and Business Statistics, Monash Business School
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Computing in Economics and Finance 2001
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The Portfolio Frontier with Higher Moments: The Undiscovered Country
Athayde, Gustavo
;
Flores, Renato G.
-
Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005345461
Saved in:
2
Finding a maximum
skewness
portfolio
Athayde, Gustavo
;
Flores, Renato
-
Society for Computational Economics - SCE
-
2001
Ways of finding a maximum
skewness
portfolio, with given return, variance and
kurtosis
, are presented. The methods take …
Persistent link: https://www.econbiz.de/10005345587
Saved in:
3
Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview
Society for Computational Economics - SCE
-
2001
It is well known that financial returns exhibit positive
kurtosis
and flat tails. The Student model has been proposed … in terms of
kurtosis
. Both VAR were applied to a conjunct of diary observations of returns in six international indexes … characteristics other than
kurtosis
in the financial returns that affect the goodness of results. …
Persistent link: https://www.econbiz.de/10005345596
Saved in:
4
Second- and Higher-Order Consumption Functions: A Precautionary Tale
Feigenbaum, James
-
Society for Computational Economics - SCE
-
2003
Persistent link: https://www.econbiz.de/10005345652
Saved in:
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