Asymmetries and tails in stock index returns: are their distributions really asymmetric?

DOI10.1088/1469-7688/4/1/003zbMath1405.91761OpenAlexW2109130129MaRDI QIDQ4647594

Amado Peiro

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/003

zbMATH Keywords

tailsasymmetric distributionstock index returns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

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• Gamblers favor skewness, not risk: Further evidence from United States' lottery games
• An Asymptotically Distribution-Free Test for Symmetry Versus Asymmetry
• Empirical properties of asset returns: stylized facts and statistical issues
• What good is a volatility model?
• Skewness in individual stocks at different investment horizons
• An approximate method for generating asymmetric random variables

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