Higher-order comoments and asset returns: evidence from emerging equity markets

DOI10.1007/S10479-020-03549-0zbMath1461.91308OpenAlexW3010140709MaRDI QIDQ829162

Xuan Vinh Vo, Thi Tuan Anh Tran

Publication date: 5 May 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03549-0

zbMATH Keywords

co-kurtosis premiumco-skewness premiumemerging stock marketsfive-factor modelshigh order co-moments

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

Related Items (1)

Central moments, stochastic dominance, moment rule, and diversification with an application

Cites Work

• Practical implications of higher moments in risk management
• Optimal portfolio allocation with higher moments
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Portfolio selection with higher moments
• On Bayesian Modeling of Fat Tails and Skewness
• Common risk factors in the returns on stocks and bonds
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities

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