Reconciling negative return skewness with positive time-varying risk premia

DOI10.1080/07474938.2022.2072323OpenAlexW4289915816MaRDI QIDQ5867574FDOQ5867574

Dimitra Kyriakopoulou, Christian M. Hafner

Publication date: 14 September 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2072323

zbMATH Keywords

portfolio selectionvalue-at-riskrisk premiumasymmetric distributionexponential GARCHICAPMin-meanunconditional skewness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• An Intertemporal Capital Asset Pricing Model
• MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

Cited In (3)

• How the weak variance of momentum can turn out to be negative
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• The skewness risk premium in equilibrium and stock return predictability

Uses Software

• CAViaR

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