new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

negative skewness and excess kurtosis. This stylized fact has been supported by a vast collection of empirical studies. Given … that the conventional measures of skewness and kurtosis are computed as an average and that averages are not robust, we ask …, "How useful are the measures of skewness and kurtosis used in previous empirical studies?" To answer this question we …

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …