Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence

DOI10.1287/MNSC.1100.1237zbMath1232.91724OpenAlexW2129376495MaRDI QIDQ3117330

Yinggang Zhou, Zijun Wang, Jian Yang

Publication date: 27 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1100.1237

zbMATH Keywords

regime switchingintertemporal asset pricingconditional coskewness

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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