Left-tail momentum and tail properties of return distributions : a case of Korea
Cheoljun Eom, Yunsung Eom, Jong Won Park
| Year of publication: |
2023
|
|---|---|
| Authors: | Eom, Cheoljun ; Eom, Yunsung ; Park, Jong Won |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 87.2023, p. 1-22
|
| Subject: | Left-tail momentum | Standardized return distribution | Tail property | Tail risk | Tail-fatness | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Südkorea | South Korea | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Wahrscheinlichkeitsrechnung | Probability theory | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102570 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014457498