Time-varying risk attitude and conditional skewness

DOI10.1155/2014/174848zbMath1406.91202OpenAlexW2168222069WikidataQ59035747 ScholiaQ59035747MaRDI QIDQ1722256

Feng-Hua Wen, Zhi-Feng Liu, Ting-Ting Zhang

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/174848

zbMATH Keywords

risk premium coefficientskewness in return distribution

Mathematics Subject Classification ID

Related Items (1)

Multivariate time-varying \(G\)-\(H\) copula GARCH model and its application in the financial market risk measurement

Cites Work

• Modelling time-varying higher moments with maximum entropy density
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• The Bootstrap Approach for Testing Skewness Persistence
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Skewness in individual stocks at different investment horizons
• A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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