Priced risk and asymmetric volatility in the cross section of skewness

DOI10.1016/J.JECONOM.2014.04.013MaRDI QIDQ2451808zbMATH OpenOpenAlexFDO

Authors Abhishek Mistry, Robert F. Engle

Publication date 4 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.04.013

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• An Intertemporal Capital Asset Pricing Model

Cited in

(14)

• Cross-sectional-skew-dependent distribution models for industry returns in the Japanese stock market
• An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
• On the pricing of expected idiosyncratic skewness
• The skewness risk premium in equilibrium and stock return predictability
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
• Skewness in individual stocks at different investment horizons
• Out-of-sample stock return prediction using higher-order moments
• Aggregation of preferences for skewed asset returns
• The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
• Idiosyncratic volatility, expected windfall, and the cross-section of stock returns
• Allocation skew: managers with conviction
• Skewness premium with Lévy processes
• Efficiency bounds for semiparametric models with singular score functions
• Long-Horizon Stock Returns Are Positively Skewed

Describes a project that uses

Uses Software

• Stata
• hreg

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