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Do idiosyncratic skewness and kurtosis really matter?
Ayadi, Mohamed; Cao, Xu; Lazrak, Skander; Wang, Yan - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-22
Persistent link: https://www.econbiz.de/10012203105
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Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 39 (2017), pp. 56-67
Persistent link: https://www.econbiz.de/10011878580
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Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
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Asymmetric dependence structures for regional stock markets : an unconditional quantile regression approach
Dong, Xiyong; Li, Changhong; Yoon, Seong-min - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656873
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Effects of the fat-tail distribution on the relationship between prospect theory value and expected return
Eom, Cheoljun; Park, Jong Won - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012659131
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A quantile-copula approach to dependence between financial assets
Kim, Jong-Min; Tabacu, Lucia; Jung, Hojin - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659570
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Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence
Eom, Cheoljun; Kaizoji, Taisei; Livan, Giacomo; Scalas, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012821302
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Göncü, Ahmet; Karahan, Mehmet Oğuz; Kuzubaş, Tolga Umut - In: The North American journal of economics and finance : a … 36 (2016), pp. 69-83
Persistent link: https://www.econbiz.de/10011672611
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Variance-Gamma and Normal-Inverse Gaussian models : goodness-of-fit to Chinese high-frequency index returns
Göncü, Ahmet; Yang, Hao - In: The North American journal of economics and finance : a … 36 (2016), pp. 279-292
Persistent link: https://www.econbiz.de/10011672682