. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more … problematic than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall …

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

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 … compared with 3 for a Gaussian distribution. The high kurtosis implies that, in a given year, most individuals experience very …

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 …

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

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 …