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A test of time reversibility based on L-moments with an application to the business cycles of the G7 economies
Bastianin, Andrea; Manera, Matteo - 2020
Persistent link: https://www.econbiz.de/10012320312
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Risk taking with left- and right-skewed lotteries
Bougherara, Douadia; Friesen, Lana; Nauges, Céline - 2020
Persistent link: https://www.econbiz.de/10012317701
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
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Do jumps contribute to the dynamics of the equity premium
Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei - In: Journal of financial economics 110 (2013) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10010208659
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Efficient discretization of stochastic integrals
Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208
Persistent link: https://www.econbiz.de/10010235454
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Entry and exit, unemployment, and macroeconomic tail risk
Bernstein, Joshua; Richter, Alexander W.; Throckmorton, … - 2020
Persistent link: https://www.econbiz.de/10012387962
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Comment on "skewness-aware asset allocation"
Bae, Kwangil - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 403-410
Persistent link: https://www.econbiz.de/10010357368
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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
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Book-to-market ratio and skewness of stock returns
Zhang, Xiao-jun - In: The accounting review : a publication of the American … 88 (2013) 6, pp. 2213-2240
Persistent link: https://www.econbiz.de/10010231036
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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 …
Persistent link: https://www.econbiz.de/10010482953