Badrinath, S G; Chatterjee, Sangit - In: Journal of Business & Economic Statistics 9 (1991) 2, pp. 223-33
This article explores the nature of skewness and elongation in daily common-stock-return distributions of individual firms using estimates of g (for skewness) and h (for elongation) obtained form Turkey's g and h distributions. Both parametric and nonparametric (bootstrap) estimates of standard...
