A generalized skewness statistic for stationary ergodic martingale differences

DOI10.3103/S106653071003004XzbMATH Open1282.60031MaRDI QIDQ2437896FDOQ2437896

Authors: Benjamin Kaehler, Ross A. Maller 

Publication date: 10 March 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

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zbMATH Keywords

asymmetrycentral limit theoremskewnessmartingaleergodicstationary

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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• A Skew Extension of the T-Distribution, with Applications
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• A mean-absolute deviation-skewness portfolio optimization model
• A risky asset model with strong dependence through fractal activity time
• Subordinated market index models: A comparison
• Abnormal returns, risk, and options in large data sets

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