same asset. Hull [1993] and Nattenburg [1994] have attributed the volatility smile to the non normal Skewness and Kurtosis … Corrado & Sue [1996] incorporating non-normal skewness and kurtosis) to price call options on S&P CNX Nifty. The results … strongly suggest that the incorporation of skewness and kurtosis into the option pricing formula yields values much closer to …

distribution of log10(JIF) exhibits conspicuous skewness and non-mesokurticity. In this paper we estimate the parameters of Johnson …

In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the …) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …

during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are … characteristics of a normal distribution. We compare our results with skewness estimates for 21 major and emerging stock market …

A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the … include cases on nonnormality in skewness and kurtosis, nonconstant variance, moneyness, contract duration, and interest rate …