Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?
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DOI: 10.1016/j.frl.2022.103105
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Cited by:
- Bouri, Elie & Jalkh, Naji, 2023. "Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants," International Review of Financial Analysis, Elsevier, vol. 90(C).
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More about this item
Keywords
Gram-charlier expansions; Skewness; Kurtosis; Value-at-risk; Median shortfall; Backtesting;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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