Reconciling negative return skewness with positive time-varying risk premia-Reference-Cited by-同舟云学术

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Reconciling negative return skewness with positive time-varying risk premia

Published:2022-05-24 Issue:8 Volume:41 Page:877-894
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Kyriakopoulou Dimitra¹,Hafner Christian M.²

Affiliation:

1. Department of Economics, National and Kapodistrian University of Athens (NKUA), Athens, Greece

2. Louvain Institute of Data Analysis and Modeling in Economics and Statistics (LIDAM), and ISBA, Université catholique de Louvain, Louvain-la-Neuve, Belgium

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2022.2072323

Reference18 articles.

1. No news is good news

2. Evaluating Interval Forecasts

3. Moments and Cumulants in the Specification of Distributions

4. Semiparametric ARCH Models

5. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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