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Portfolio analysis with symmetric stable Paretian returns
Gamba, Andrea, (1999)
Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments
Berényi, Zsolt Endre, (2003)
Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
Stöckl, Sebastian, (2016)
Real stock returns : non-normality, seasonality, and volatility peristence, but no predictability
Bidarkota, Prasad V., (1997)
Signal extraction can generate volatility clusters from IID shocks
Bidarkota, Prasad V., (2002)
Signal Extraction Can Generate Volatility Clusters from Iid Shocks
Bidarkota, Prasad V., (2004)