skewness (asymmetry) and leptokurtosis (fat‐tails). The purpose of this paper is to provide an overview of VaR and describe …

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 …

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 …

In this paper we experimentally test skewness seeking at the individual level. Several prospects that can be ordered … ¯nd that the skewness of a distribution has a signi¯cant impact on the decisions. Yet, while skewness has an impact, its … direction di®ers substantially across subjects: 39% of our subjects act in accordance with skewness seeking and 10% seem to …

generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …

There are several possibilities to introduce skewness into a symmetric distribution. One of these procedures applies … density. Within this work we show that this technique incorporates a well-defined parameter of skewness, i.e. that the … generated distributions are skewed to the right (left) if the parameter of skewness takes values less (greater) than one …