Priced risk and asymmetric volatility in the cross section of skewness

DOI10.1016/j.jeconom.2014.04.013zbMath1311.91171OpenAlexW3122238492MaRDI QIDQ2451808

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)

Related Items (3)

An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity ⋮ The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets ⋮ Efficiency bounds for semiparametric models with singular score functions

Uses Software

• Stata
• hreg

Cites Work

• An Intertemporal Capital Asset Pricing Model

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