take skewness into account by means of certain transformations, several generalizations and extensions (HQ …

incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis - as high as 30 …

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …

This paper explores the ability of some popular income distributions to model observed skewness and kurtosis. We … present the generalized beta type 1 (GB1) and type 2 (GB2) distributions' skewness-kurtosis spaces and clarify and expand on … previously known results on other distributions' skewness-kurtosis spaces. Data from the Luxembourg Income Study are used to …

following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …

terms of negative skewness and high kurtosis, with these deviations varying with income and along the worker's life cycle. A …

skewness and excess kurtosis allowing researchers to identify departures away from gaussianity in both error components of a …

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size …