Reconciling negative return skewness with positive time-varying risk premia (Q5867574)
From MaRDI portal
scientific article; zbMATH DE number 7584733
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reconciling negative return skewness with positive time-varying risk premia |
scientific article; zbMATH DE number 7584733 |
Statements
Reconciling negative return skewness with positive time-varying risk premia (English)
0 references
14 September 2022
0 references
exponential GARCH
0 references
in-mean
0 references
risk premium
0 references
ICAPM
0 references
unconditional skewness
0 references
asymmetric distribution
0 references
portfolio selection
0 references
value-at-risk
0 references
