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Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? · Study

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PreprintDo Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Diego Amaya2011

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Preprintgreen2011

Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Diego Amaya · Peter Christoffersen · Kris Jacobs · Aurelio Vasquez

27 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 2002Illiquidity and stock returns: cross-section and time-series effects 2006The Cross‐Section of Volatility and Expected Returns 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2000Conditional Skewness in Asset Pricing Tests

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Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1898735

openalex_workW2136408050

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