Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
Inés Jiménez, Andrés Mora-Valencia, Javier Perote
| Year of publication: |
2022
|
|---|---|
| Authors: | Jiménez, Inés ; Mora-Valencia, Andrés ; Perote, Javier |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-6
|
| Subject: | Backtesting | Gram-charlier expansions | Kurtosis | Median shortfall | Skewness | Value-at-risk | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risiko | Risk | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103105 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013478838