Higher-order comoments and asset returns: evidence from emerging equity markets
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Publication:829162
DOI10.1007/S10479-020-03549-0zbMATH Open1461.91308OpenAlexW3010140709MaRDI QIDQ829162FDOQ829162
Xuan Vinh Vo, Thi Tuan Anh Tran
Publication date: 5 May 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03549-0
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Cites Work
- On Bayesian Modeling of Fat Tails and Skewness
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Common risk factors in the returns on stocks and bonds
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Optimal portfolio allocation with higher moments
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Portfolio selection with higher moments
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- Practical implications of higher moments in risk management
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