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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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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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More than meets the eye : on the relationship between skewness and expected returns
Stein, Roberto - In: Finance research letters 60 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014490388
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Technological innovation : winners and losers
Kogan, Leonid; Papanikolaou, Dimitris; Stoffman, Noah - 2013
Persistent link: https://www.econbiz.de/10009710700
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …
Persistent link: https://www.econbiz.de/10011398115
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126
Persistent link: https://www.econbiz.de/10010224748
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A-KA model : an optimization of the stock’s ortofolio
Regina, Filippo; Bisceglia, Mauro Gianfranco - In: Zagreb international review of economics & business 23 (2020) 2, pp. 21-40
Persistent link: https://www.econbiz.de/10012601221
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Stocks with extreme past returns : lotteries or insurance?
Barinov, Alexander - In: Journal of financial economics 129 (2018) 3, pp. 458-478
Persistent link: https://www.econbiz.de/10011982283
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The role of the conditional skewness and kurtosis in VIX index valuation
Lalancette, Simon; Simonato, Jean-Guy - In: European financial management : the journal of the … 23 (2017) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10011713546