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Risk premium, variance premium and the maturity structure of uncertainty

Feunou, Bruno; Jean-Sébastien; Taamouti, Abderrahim; … - Departamento de Economía, Universidad Carlos III de Madrid - 2011

factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term …

Persistent link: https://www.econbiz.de/10010547883

Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2011

Yes. We use intraday data to compute weekly realized variance, skewness and kurtosis for individual equities and assess … negative relationship between realized skewness and next week?s stock returns, and a positive relationship between realized … kurtosis and next week?s stock returns. We do not ?nd a strong relationship between realized volatility and stock returns. A …

Persistent link: https://www.econbiz.de/10009385751

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006

, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …

Persistent link: https://www.econbiz.de/10009363828

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence

Tay, Anthony S.; Christoffersen, Peter F.; Diebold, … - East Asian Bureau of Economic Research (EABER) - 2006

, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …

Persistent link: https://www.econbiz.de/10009363861

Smiling under stochastic volatility

Rubio Irigoyen, Gonzalo; León, Angel - Departamento de Fundamentos del Análisis Económico … - 2002

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a...

Persistent link: https://www.econbiz.de/10004972704

Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004

conditional skewness and kurtosis information, when forming direction-of-change forecasts. …

Persistent link: https://www.econbiz.de/10005091204

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …

Persistent link: https://www.econbiz.de/10005100963

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - Department of Economics, University of Pennsylvania - 2006

, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …

Persistent link: https://www.econbiz.de/10005109605

The Impact of News on Higher Moments

Jondeau, Eric; Rockinger, Michael - 2006

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

Persistent link: https://www.econbiz.de/10005162946

Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2005

We evaluate how departure from normality may affect the conditional allocation of wealth. The expected utility function is approximated by a forth-order Taylor expansion that allows for non-normal returns. Market returns are characterized by a joint model that captures the time dependency and...

Persistent link: https://www.econbiz.de/10005612065