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Modelling Emerging Market Risk Premia Using Higher Moments

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Stephen Satchell
Soosung Hwang
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File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp99-17.pdf
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Paper provided by Warwick Business School, Financial Econometrics Research Centre in its series Working Papers with number wp99-17.

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Date of creation: 1999
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Handle: RePEc:wbs:wpaper:wp99-17

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  1. Tae-Hwan Kim & Halbert White, 2004. "On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index," University of California at San Diego, Economics Working Paper Series 2003-12, Department of Economics, UC San Diego. [Downloadable!]
  2. X. Henry Wang & Carmen F. Menezes, 2004. "Increasing Outer Risk," Working Papers 0413, Department of Economics, University of Missouri, revised 23 Dec 2004. [Downloadable!]
  3. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Quantitative Finance Papers cond-mat/0207475, arXiv.org. [Downloadable!]
  4. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Documents de Travail 108, Banque de France. [Downloadable!]
  5. Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data," Monash Econometrics and Business Statistics Working Papers 16/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  6. Flôres Junior, Renato Galvão & Athayde, Gustavo Monteiro de, 2002. "On Certain Geometric Aspects of Portfolio Optimisation with Higher Moments," Economics Working Papers (Ensaios Economicos da EPGE) 453, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  7. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Quantitative Finance Papers physics/0305089, arXiv.org. [Downloadable!]
  8. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer, vol. 20(4), pages 442-471, December. [Downloadable!] (restricted)
  9. A. Sancetta & Satchell, S.E., 2002. "New Test Statistics for Market Timing with Application to Emerging markets," Cambridge Working Papers in Economics 0222, Faculty of Economics, University of Cambridge. [Downloadable!]
  10. Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Documents de Travail 77, Banque de France. [Downloadable!]
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