Does realized skewness predict the cross-section of equity returns?
Diego Amaya, Peter Christoffersen, Kris Jacobs, Aurelio Vasquez
| Year of publication: |
October 2015
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|---|---|
| Authors: | Amaya, Diego ; Christoffersen, Peter F. ; Jacobs, Kris ; Vasquez, Aurelio |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 118.2015, 1, p. 135-167
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| Subject: | Realized volatility | Skewness | Kurtosis | Equity markets | Cross-section of stock returns | Kapitaleinkommen | Capital income | Volatilität | Volatility | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | CAPM | Statistische Verteilung | Statistical distribution | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2015.02.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011480389