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Asset pricing with systematic skewness : two decades later

Anghel, Dan Gabriel; Caraiani, Petre; Roşu, Alina; … - In: Critical finance review 12 (2023) 1/4, pp. 309-354

Persistent link: https://www.econbiz.de/10014370379

Oil shocks and state-level stock market volatility of the United States : a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan; Cepni, Oguzhan; … - In: Review of quantitative finance and accounting 63 (2024) 4, pp. 1473-1510

Persistent link: https://www.econbiz.de/10015178531

Monetary policy shocks and the high-frequency network connectedness of stock markets

Anghel, Dan Gabriel; Caraiani, Petre - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015204674

Model averaging on the high-frequency Eastern European stock market returns

Caraiani, Petre; Lupu, Radu - In: Financial and macroeconomic dynamics in Central and …, (pp. 53-73). 2012

Persistent link: https://www.econbiz.de/10009729235

Credit policy and asset price bubbles

Caraiani, Petre; Luik, Marc-André; Wesselbaum, Dennis - In: Journal of macroeconomics 65 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012433774

The impact of monetary policy shocks on stock market bubbles : international evidence

Caraiani, Petre; Călin, Adrian Cantemir - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436973

Predicting the conditional distribution of US stock market systemic stress : the role of climate risks

Caporin, Massimiliano; Caraiani, Petre; Cepni, Oguzhan; … - 2024

Persistent link: https://www.econbiz.de/10014496364

Fiscal policy and stock markets at the effective lower bound

André, Christophe; Caraiani, Petre; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014281696

Fiscal policy and stock markets at the effective lower bound

André, Christophe; Caraiani, Petre; Gupta, Rangan - In: Finance research letters 58 (2023) 3, pp. 1-9

Persistent link: https://www.econbiz.de/10014637425

Asset Pricing with Systematic Skewness : Two Decades Later

Anghel, Dan; Caraiani, Petre; Rosu, Alina; Rosu, Ioanid - 2022

We reexamine the asset pricing performance of systematic skewness ("coskewness"), a risk factor in the three-moment CAPM model of Kraus and Litzenberger (1976). In an influential paper, Harvey and Siddique (2000) test a coskewness factor constructed by sorting stocks on past coskewness. We...

Persistent link: https://www.econbiz.de/10014088198