Time-Varying Skewness in Stock Returns: An Information-Based Explanation
There is evidence of regularities in the skewness of asset returns reported in the literature. The literature, however, offers no adequate explanations for these phenomena. Based on a simulation approach, we provide evidence that at least some aspects of skewness can be explained in terms of extant...
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| Format: | Journal Article |
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University of Nebraska - Lincoln
2004
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| Online Access: | http://hdl.handle.net/20.500.11937/18897 |
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