Reconciling negative return skewness with positive time-varying risk premia

DOI10.1080/07474938.2022.2072323OpenAlexW4289915816MaRDI QIDQ5867574

Dimitra Kyriakopoulou, Christian M. Hafner

Publication date: 14 September 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2072323

zbMATH Keywords

value-at-riskportfolio selectionrisk premiumasymmetric distributionexponential GARCHICAPMin-meanunconditional skewness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Uses Software

• CAViaR

Cites Work

• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• An Intertemporal Capital Asset Pricing Model
• MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

This page was built for publication: Reconciling negative return skewness with positive time-varying risk premia