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Regularities In The Variation Of Skewness In Asset Returns

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  • Lakshman A. Alles
  • John L. Kling

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  • Lakshman A. Alles & John L. Kling, 1994. "Regularities In The Variation Of Skewness In Asset Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 427-438, September.
    • Handle: RePEc:bla:jfnres:v:17:y:1994:i:3:p:427-438
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1994.tb00203.x
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    1. Lau, Amy Hing-Ling & Lau, Hon-Shiang & Wingender, John R, 1990. "The Distribution of Stock Returns: New Evidence against the Stable Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 217-223, April.
    2. Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George, 1990. "Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 141-179.
    3. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    4. Z. Lomnicki, 1961. "Tests for departure from normality in the case of linear stochastic processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 4(1), pages 37-62, December.
    5. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    6. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    7. Hon-Shiang Lau & John R. Wingender & Amy Hing-Ling Lau, 1989. "On Estimating Skewness in Stock Returns," Management Science, INFORMS, vol. 35(9), pages 1139-1142, September.
    8. Badrinath, S G & Chatterjee, Sangit, 1991. "A Data-Analytic Look at Skewness and Elongation in Common-Stock-Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 223-233, April.
    9. Badrinath, S G & Chatterjee, Sangit, 1988. "On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index," The Journal of Business, University of Chicago Press, vol. 61(4), pages 451-472, October.
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    3. I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
    4. Adabi firouzjaee, Bagher & Mehrara, Mohsen & Mohammadi, Shapour, 2014. "Optimal Portfolio Selection for Tehran Stock Exchange Using Conditional, Partitioned and Worst-case Value at Risk Measures," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 9(1), pages 1-30, October.
    5. Li, Hao & Melnikov, Alexander, 2014. "Polynomial extensions of distributions and their applications in actuarial and financial modeling," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 250-260.
    6. Tyler Pike & Horacio Sapriza & Tom Zimmermann, 2019. "Bottom-up Leading Macroeconomic Indicators: An Application to Non-Financial Corporate Defaults using Machine Learning," Finance and Economics Discussion Series 2019-070, Board of Governors of the Federal Reserve System (U.S.).
    7. Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011. "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, vol. 101(7), pages 2955-2979, December.
    8. Farrukh Javed & Stepan Mazur & Erik Thorsén, 2024. "Tangency portfolio weights under a skew-normal model in small and large dimensions," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 75(7), pages 1395-1406, July.
    9. Stéphane Lhuissier, 2019. "Bayesian Inference for Markov-switching Skewed Autoregressive Models," Working papers 726, Banque de France.
    10. B. Cooper Boniece & Lajos Horv'ath & Lorenzo Trapani, 2023. "On changepoint detection in functional data using empirical energy distance," Papers 2310.04853, arXiv.org.
    11. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
    12. Boniece, B. Cooper & Horváth, Lajos & Trapani, Lorenzo, 2025. "On changepoint detection in functional data using empirical energy distance," Journal of Econometrics, Elsevier, vol. 250(C).
    13. Aggarwal, Raj & Schatzberg, John D., 1997. "Day of the week effects, information seasonality, and higher moments of security returns," Journal of Economics and Business, Elsevier, vol. 49(1), pages 1-20, February.
    14. Amado Peiró, 2001. "Skewness In Individual Stocks At Different Frequencies," Working Papers. Serie EC 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    15. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
    16. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June.
    17. Kenneth Beller & John R. Nofsinger, 1998. "On Stock Return Seasonality And Conditional Heteroskedasticity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 229-246, June.
    18. Belhajjam, A. & Belbachir, M. & El Ouardirhi, S., 2017. "Robust multivairiate extreme value at risk allocation," Finance Research Letters, Elsevier, vol. 23(C), pages 1-11.
    19. David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.
    20. Nummelin, Kim, 1997. "Global coskewness and the pricing of Finnish stocks: empirical tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 137-155, July.
    21. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.

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