Purpose – Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this … paper is to suggest an alternative skewness measure, Azzalini's skewness parameter delta, which is derived as the normalized … shape parameter from the skew‐normal distribution. The paper seeks to analyze the characteristics of this skewness measure …

assessed for their power at varying degrees of skewness, kurtosis and sample size on the basis of simulated experiments …. Findings – It is observed that almost all these tests are indifferent for smaller values of skewness and kurtosis. Further, the …

skewness (asymmetry) and leptokurtosis (fat‐tails). The purpose of this paper is to provide an overview of VaR and describe … , autoregressive conditional heteroskedastic (ARCH) family of models, and extreme value theory (EVT) as a means of capturing the fat … index parameter of the tail. Other approaches, such as extreme value theory, focus on the extreme values to calculate the …

model is then used to determine skewness and kurtosis of distributions of futures prices implied from option prices. Design …/methodology/approach – The relaxed lattice is based on Gaussian quadrature. The markets studied include corn, soybeans, and wheat. Skewness and … skewness is the major source of nonnormality, but both skewness and kurtosis are important as the trinomial model that …

of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An …/value – The NNP allows for a valuation on the higher moments (skewness and kurtosis) of an investor's return distribution. The …

discount factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978 … the models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the …

(CAPM)) and multi-factor model (Fama-French (FF) model and four factor model involving three FF factors and an additional … Jain (2011), the authors observe that weak reversals emerge for the sample stocks. The risk model CAPM fails to account for …