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Forecasting with option-implied information
Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2013
Persistent link: https://www.econbiz.de/10011507021
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Human capital distribution, growth and trade
Lee, Cheng-te; Huang, Deng-shing - In: Bulletin of economic research 66 (2014) 1, pp. 45-54
Persistent link: https://www.econbiz.de/10010399414
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A characterization of the coskewness-cokurtosis pricing model
Back, Kerry E. - In: Economics letters 125 (2014) 2, pp. 219-222
Persistent link: https://www.econbiz.de/10010505382
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
and the kurtosis of the risky return. Both the high extremes and the low extremes are considered. With these figures, the …
Persistent link: https://www.econbiz.de/10010490408
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What do data on millions of US workers reveal about life-cycle earnings risk?
Guvenen, Fatih; Karahan, Fatih; Ozkan, Serdar; Song, Jae - 2015
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 …
Persistent link: https://www.econbiz.de/10010482953
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Effects of macroeconomic news announcements on risk-neutral distribution : evidence from KOSPI200 intraday options data
Kim, Sol; Lee, Geul - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 403-432
Persistent link: https://www.econbiz.de/10009388576
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Competition, openness and inequality of firm size in the Indian manufacturing
Govinda, Hariprasad - In: Foreign trade review : quarterly journal of Indian … 51 (2016) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10011451762
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Does realized skewness predict the cross-section of equity returns?
Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10011480389
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On the role of skewness, kurtosis, and the location and scale condition in a sharpe ratio performance evaluation setting
Auer, Benjamin R. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-13
Persistent link: https://www.econbiz.de/10011403903
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An observatory note on tests for normality assumptions
Siddiqi, Ahmed F. - In: Journal of modelling in management 9 (2014) 3, pp. 290-305
Persistent link: https://www.econbiz.de/10010463704