Reconciling negative return skewness with positive time-varying risk premia (Q5867574)
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scientific article; zbMATH DE number 7584733
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| English | Reconciling negative return skewness with positive time-varying risk premia |
scientific article; zbMATH DE number 7584733 |
Statements
Reconciling negative return skewness with positive time-varying risk premia (English)
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14 September 2022
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exponential GARCH
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in-mean
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risk premium
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ICAPM
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unconditional skewness
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asymmetric distribution
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portfolio selection
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value-at-risk
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