Realized Skewness Predicts Equity Returns
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Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
Diego Amaya; Peter Christoffersen; Kris Jacobs; Aurelio Vasquez
Wilfrid Laurier University- University of Toronto
Copenhagen Business School- Aarhus University
- Aarhus University - CREATES
- University of Toronto - Rotman School of Management
University of Houston- University of Houston - C.T. Bauer College of Business
Instituto Tecnológico Autónomo de México- Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
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