Jaggia, Sanjiv; Kelly-Hawke, Alison - In: Applied Financial Economics 19 (2009) 16, pp. 1305-1316
Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h...