A characterization of the coskewness-cokurtosis pricing model

DOI10.1016/J.ECONLET.2014.09.008zbMATH Open1311.91105OpenAlexW3123659630MaRDI QIDQ2345149FDOQ2345149

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

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zbMATH Keywords

kurtosisskewnessstochastic discount factorcokurtosiscoskewness

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Standard Risk Aversion

Cited In (2)

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

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