Time varying betas and the unconditional distribution of asset returns
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- Type
- article
- Published
- 2012-06-01
- Cited by
- 21
- References
- 58
- Access
- Open access
- OpenAlex
- https://openalex.org/W2073433207
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:54193744
Keywords
Kurtosis, Econometrics, Skewness, Portfolio, Normal distribution
References
- Quadratic forms in random variables
- Conditioning Information and European Bond Fund Performance
- Application of the Method of Mixtures to Quadratic Forms in Normal Variates
- Theory of Financial Decision Making
- The Variance Gamma (V.G.) Model for Share Market Returns
- Time-Varying Expected Returns in International Bond Markets
- SFmap: a web server for motif analysis and prediction of splicing factor binding sites
- Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
- On the summation of some divergent hypergeometric series and related perturbation expansions
- The Interpretation of Least Squares Regression with Interaction or Polynomial Terms
- The Prediction of Systematic and Specific Risk in Common Stocks
- The arbitrage theory of capital asset pricing
- Computing the distribution of quadratic forms in normal variables
- Differential Information and Performance Measurement Using a Security Market Line
- A characterization of the distributions that imply mean—Variance utility functions☆
- The numerical computation of the confluent hypergeometric functionU(a, b, z)
- FURTHER APPLICATIONS IN STATISTICS OF THE Tm (x) BESSEL FUNCTION
- Stein's Lemma for elliptical random vectors
- Small Sample Analysis of Performance Measures in the Asymmetric Response Model
- Evaluating managed fund performance using conditional measures: Australian evidence
Cited by
- Transitions in the stock markets of the US, UK and Germany
- Ex Post Efficient Set Mathematics
- Linkages and Performance Comparison among Eastern Europe Stock Markets
- Consumption growth, preference for smoothing, changes in expectations and risk premium
- Phase transition in the S&P stock market
- The Consequences of Issuing Convertible Bonds: Dilution and/or Financial Restructuring?
- Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation
- The performance of US and European green funds in different market conditions
- The performance of healthcare mutual funds
- Recursive preferences, consumption smoothing and risk premium
- Assessment of Chinese green funds: Performance and industry allocation
- The performance of socially responsible equity mutual funds: Evidence from Sweden
- The performance of European SRI funds investing in bonds and their comparison to conventional funds
- Investment and profitability factors in mutual fund performance evaluation: a conditional approach
- Quantitative portfolio selection: Using density forecasting to find consistent portfolios
- The environmental and financial performance of green energy investments: European evidence
- Performance and investment styles of international multi-asset funds during market crises
- Financial Technology and ESG market: A Wavelet-DCC GARCH approach
- Quantitative Portfolio Selection: Using Density Forecasting to Find Consistent Portfolios
- Aurélio Marcel Rodrigues Alves Socially Responsible Corporate Bond Fund Performance: Empirical evidence for the European market
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