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Normality tests for latent variables
Almuzara, Tincho; Amengual, Dante; Sentana, Enrique - 2017
Persistent link: https://www.econbiz.de/10011654769
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Determinants and information content of intraday bid-ask spreads : evidence from Chinese commodity futures markets
Liu, Qingfu; Hua, Renhai; An, Yunbi - In: Pacific-Basin finance journal 38 (2016), pp. 135-148
Persistent link: https://www.econbiz.de/10011669080
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Skewness and kurtosis ratio tests : with applications to multiperiod tail risk analysis
Wong, Woon K. - 2016
This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios. The …
Persistent link: https://www.econbiz.de/10011688190
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Making Cornish-Fisher fit for risk measurement
Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
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Kernel-based testing with skewed and heavy-tailed data : evidence from a nonparametric test for heteroskedasticity
Henderson, Daniel J.; Sheehan, Alice - In: Economics letters 172 (2018), pp. 8-11
Persistent link: https://www.econbiz.de/10012022060
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Enhanced mean ratio estimators of auxiliary variables based on the linear mixture of variances
Saddam, Damisa A.; Abdullahi, Jamila; Nura, Umar - In: CBN journal of applied statistics 9 (2018) 2, pp. 1-16
variation, kurtosis, skewness and the population variance of the auxiliary variable is harnessed. The properties relating to the …
Persistent link: https://www.econbiz.de/10012031052
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How does the underlying affect the risk-return profiles of structured products?
Cao, Ji - In: Financial markets and portfolio management 31 (2017) 1, pp. 27-47
Persistent link: https://www.econbiz.de/10011944586
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Global idiosyncratic risk moments
Baghdadabad, Mohammadreza Tavakoli; Mallik, Girijasankar - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 731-764
Persistent link: https://www.econbiz.de/10011949902
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Hedge fund return, volatility asymmetry, and systemic effects : a higher-moment factor-EGARCH model
Elyasiani, Elyas; Mansur, Iqbal - In: Journal of financial stability 28 (2017), pp. 49-65
Persistent link: https://www.econbiz.de/10011825507
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Skewness versus Kurtosis : implications for pricing and hedging options
Kim, Sol; Lee, Geul; Park, Yuen Jung - In: Asia-Pacific journal of financial studies 46 (2017) 6, pp. 903-933
Persistent link: https://www.econbiz.de/10011865909