Higher-order comoments and asset returns: evidence from emerging equity markets
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Cites work
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Common risk factors in the returns on stocks and bonds
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- On Bayesian Modeling of Fat Tails and Skewness
- Optimal portfolio allocation with higher moments
- Portfolio selection with higher moments
- Practical implications of higher moments in risk management
Cited in
(4)- Central moments, stochastic dominance, moment rule, and diversification with an application
- Comonotonicity and low volatility effect
- Entropy augmented asset pricing model: study on Indian stock market
- New evidence on risk factors, characteristics and the cross-sectional variation of Japanese stock returns
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