How should we interpret evidence of time varying conditional skewness?
Several recent articles report evidence of predictability in the skewness of equity returns, raising hopes that predictability in third moments will be useful for forecasting the probability of tail events. The evidence is unfortunately difficult to interpret, partly because they were obtained mainl...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2002
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/1903 https://ink.library.smu.edu.sg/context/soe_research/article/2902/viewcontent/SOEHow_should_we_interpret_evidence_of_time_varying_conditional_skewness.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |