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Nonparametric inferences for kurtosis and conditional kurtosis

โœ Scribed by Xiao-heng Xie; You-hua He


Book ID
107482699
Publisher
Chinese Electronic Periodical Services
Year
2009
Tongue
English
Weight
386 KB
Volume
13
Category
Article
ISSN
1007-6417

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Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of returns. These characteristics are captured by the skewness and the kurtosis. We characterize the maximal range of skewness and kurtosis for which