Search Results for: Priced Risk And Asymmetric Volatility In The Cross Section Of Skewness

We investigate the sources of skewness in aggregate risk-factors and the cross-section of stock returns. In an ICAPM setting with conditional volatility, we fin

ABSTRACT: This dissertation examines if information extracted from the options markets is priced in the cross-section of equity returns and whether or not this

We show that exposure to the risk of kurtosis in oil market drives the cross-section of stock returns from 1996 to 2014. The average monthly difference between

This paper estimates skewness risk premia on individual stocks using synthetic skew swaps and shows that there is a considerably large variation of monthly real

A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametr