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Citations for "Arbitrage Equilibrium with Skewed Asset Returns"

by Barone-Adesi, Giovanni

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  1. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
  2. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
  3. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
  4. Iqbal, Javed & Brooks, Robert & Galagedera, Don UA, 2007. "Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models," MPRA Paper 25020, University Library of Munich, Germany, revised Oct 2007.
  5. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
  6. Flôres Junior, Renato Galvão & Athayde, Gustavo M. de, 2002. "On Certain Geometric Aspects of Portfolio Optimisation with Higher Moments," Economics Working Papers (Ensaios Economicos da EPGE) 453, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
  8. Enrique Sentana & Javier Mencía, 2008. "Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
  9. Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
  10. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  11. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
  12. Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Working Papers 2007_02, Durham University Business School.
  13. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
  14. Erdos, Péter & Ormos, Mihály & Zibriczky, Dávid, 2011. "Non-parametric and semi-parametric asset pricing," Economic Modelling, Elsevier, vol. 28(3), pages 1150-1162, May.
  15. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
  16. Cayton, Peter Julian, 2015. "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper 63755, University Library of Munich, Germany.
  17. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  18. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
  19. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171,
  20. Timothy W. Vines & Cheng-Ho Hsieh & John J. Hatem, 1994. "The Role of Systematic Covariance and Coskewness in the Pricing of Real Estate: Evidence from Equity REITs," Journal of Real Estate Research, American Real Estate Society, vol. 9(4), pages 421-430.
  21. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages C65-C101, November.
  22. Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric, 2014. "Aggregation of preferences for skewed asset returns," Journal of Economic Theory, Elsevier, vol. 154(C), pages 453-489.
  23. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.
  24. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
  25. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
  26. Ping Cheng, 2004. "Asymmetric Risk Measures and Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 89-102, October.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.