On the out-of-sample importance of skewness and asymetric dependence for asset allocation
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- Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 130-168.
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More about this item
Keywords
Stock returns; Forecasting; Density forecasting; Normality; Asymmetry; Copulas;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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