A characterization of the coskewness-cokurtosis pricing model

DOI10.1016/J.ECONLET.2014.09.008MaRDI QIDQ2345149zbMATH OpenOpenAlexFDO

Authors Kerry Back

Publication date 19 May 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.09.008

zbMATH Keywords

kurtosisskewnessstochastic discount factorcokurtosiscoskewness

Mathematics Subject Classification ID

Recommendations

• Finite sample multivariate tests of asset pricing models with coskewness
• Linearity properties of a three-moments portfolio model
• Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Aggregation of preferences for skewed asset returns

Cites work

• scientific article; zbMATH DE number 3320765 (Why is no real title available?)
• Standard Risk Aversion

Cited in

(2)

• Finite sample multivariate tests of asset pricing models with coskewness
• Beta and Coskewness Pricing: Perspective from Probability Weighting

This page was built for publication: A characterization of the coskewness-cokurtosis pricing model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2345149)