Kim, Tae-Hwan; White, Halbert - Department of Economics, University of California-San … - 2003
negative skewness and excess kurtosis. This stylized fact has been supported by a vast collection of empirical studies. Given … that the conventional measures of skewness and kurtosis are computed as an average and that averages are not robust, we ask …, "How useful are the measures of skewness and kurtosis used in previous empirical studies?" To answer this question we …
