Relevant bibliographies by topics / Co-skewness and co-kurtosis

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Academic literature on the topic 'Co-skewness and co-kurtosis'

Author: Grafiati
Published: 9 March 2023
Last updated: 10 March 2023

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Journal articles on the topic "Co-skewness and co-kurtosis"

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Misra, Dheeraj, Sushma Vishnani, and Ankit Mehrotra. "Four-moment CAPM Model: Evidence from the Indian Stock Market." Journal of Emerging Market Finance 18, no. 1_suppl (April 2019): S137—S166. http://dx.doi.org/10.1177/0972652719831564.

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This study aims at analysing the impact of co-skewness and co-kurtosis on the returns of the Indian stocks by incorporating co-skewness and co-kurtosis in the traditional capital asset pricing model (CAPM) of Sharpe, in a three-factor model of Fama and French and in a four-factor model of Carhart. The results of the study show that co-skewness and co-kurtosis have significant impact on the returns of the Indian stock. However, the impact of co-skewness is higher than co-kurtosis. JEL Classification: G11, G12
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Oliveira, Alexandre Silva de, Luis Felipe Dias Lopes, and Eduardo Botti Abbade. "Coassimetria e cocurtose na análise dos preços das ações no mercado financeiro nacional." Revista de Administração da UFSM 3, no. 3 (January 27, 2011): 326–45. http://dx.doi.org/10.5902/198346592502.

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The central issue of this research is to investigate and measuring the stock price in the brazilian financial market. It was investigate the influence of the third and fourth time in the pricing of assets, the influence of co-skewness in correlation with the proxy IBOV stocks, the influence of co-kurtosis in correlation with the proxy IBOV stocks, the influence of co-skewness and co-kurtosis in the correlation between the proxy IBOV and stocks, its performance compared with the CAPM and the increase of the accuracy. Is was developed literature research and study of time series of the stocks that constitutes the Ibovespa index on 30 May 2008, analyzed with the use of multiple regressions with the variables to systematic volatility, the systematic skewness and systematic kurtosis. As a result it was observed conclusively that co-skewness and co-kurtosis do not improve the performance of the model of pricing of assets.
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Hasan, Md Zobaer, and Anton Abdulbasah Kamil. "Contribution of Co-Skewness and Co-Kurtosis of the Higher Moment CAPM for Finding the Technical Efficiency." Economics Research International 2014 (January 16, 2014): 1–9. http://dx.doi.org/10.1155/2014/253527.

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The objective of this paper is to present the technical efficiency of individual companies and their respective groups of Bangladesh stock market (i.e., Dhaka Stock Exchange, DSE) by using two risk factors (co-skewness and co-kurtosis) as the additional input variables in the Stochastic Frontier Analysis (SFA). The co-skewness and co-kurtosis are derived from the Higher Moment Capital Asset Pricing Model (H-CAPM). To investigate the contribution of these two factors, two types of technical efficiency are derived: (1) technical efficiency with considering co-skewness and co-kurtosis (WSK) and (2) technical efficiency without considering co-skewness and co-kurtosis (WOSK). By comparing these two types of technical efficiency, it is noticed that the technical efficiency of WSK is higher than the technical efficiency of WOSK for the individual companies and their respective groups. As per available literature in the context Bangladesh stock market, no study has been conducted thus far to measure technical efficiency of companies and their respective groups by using the risk factors which are derived from the H-CAPM. In this research, the link between H-CAPM and SFA is established for measuring technical efficiency and it is believed that the findings of this study may be applied to other emerging stock markets.
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Liow, Kim Hiang, and Lanz C. W. J. Chan. "Co‐skewness and Co‐kurtosis in Global Real Estate Securities." Journal of Property Research 22, no. 2-3 (June 2005): 163–203. http://dx.doi.org/10.1080/09599910500453798.

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Chaudhary, Rashmi, Dheeraj Misra, and Priti Bakhshi. "Conditional relation between return and co-moments – an empirical study for emerging Indian stock market." Investment Management and Financial Innovations 17, no. 2 (July 2, 2020): 308–19. http://dx.doi.org/10.21511/imfi.17(2).2020.24.

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Due to many theoretical and practical shortcomings of the traditional CAPM model, this study aims at analyzing the CAPM with possible extensions. The analysis aims to know the empirical soundness of Conditional Higher Moment CAPM in emerging India’s capital market. The sample consists of 69 company’s daily stock price data from April 2004 to March 2019 from NSE 100. Panel data analysis is used on 21 cross-sections. The overall results show that when both up and down markets are incorporated separately, all three moments, namely, co-variance, co-skewness, and co-kurtosis, are priced during the normal Indian economy phase. Further, this study states that including higher moments (co-skewness and co-kurtosis) in the two-moment model provides symmetry in both the up and down markets. This is one of the first studies in the Indian Stock market explaining the variation in portfolio returns through panel data analysis by extending CAPM with conditional higher-order co-moments. The portfolio managers should consider skewness and kurtosis along with variance in constructing the optimal portfolios.
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Botond, Benedek, and Nagy Bálint Zsolt. "Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies." International Journal of Financial Markets and Derivatives 8, no. 1 (2021): 65. http://dx.doi.org/10.1504/ijfmd.2021.10036439.

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Zsolt, Nagy Bálint, and Benedek Botond. "Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies." International Journal of Financial Markets and Derivatives 8, no. 1 (2021): 65. http://dx.doi.org/10.1504/ijfmd.2021.113860.

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Arbia, Giuseppe, Riccardo Bramante, and Silvia Facchinetti. "Least Quartic Regression Criterion to Evaluate Systematic Risk in the Presence of Co-Skewness and Co-Kurtosis." Risks 8, no. 3 (September 8, 2020): 95. http://dx.doi.org/10.3390/risks8030095.

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This article proposes a new method for the estimation of the parameters of a simple linear regression model which is based on the minimization of a quartic loss function. The aim is to extend the traditional methodology, based on the normality assumption, to also take into account higher moments and to provide a measure for situations where the phenomenon is characterized by strong non-Gaussian distribution like outliers, multimodality, skewness and kurtosis. Although the proposed method is very general, along with the description of the methodology, we examine its application to finance. In fact, in this field, the contribution of the co-moments in explaining the return-generating process is of paramount importance when evaluating the systematic risk of an asset within the framework of the Capital Asset Pricing Model. We also illustrate a Monte Carlo test of significance on the estimated slope parameter and an application of the method based on the top 300 market capitalization components of the STOXX® Europe 600. A comparison between the slope coefficients evaluated using the ordinary Least Squares (LS) approach and the new Least Quartic (LQ) technique shows that the perception of market risk exposure is best captured by the proposed estimator during market turmoil, and it seems to anticipate the market risk increase typical of these periods. Moreover, by analyzing the out-of-sample risk-adjusted returns we show that the proposed method outperforms the ordinary LS estimator in terms of the most common performance indices. Finally, a bootstrap analysis suggests that significantly different Sharpe ratios between LS and LQ yields and Value at Risk estimates can be considered more accurate in the LQ framework. This study adds insights into market analysis and helps in identifying more precisely potentially risky assets whose extreme behavior is strongly dependent on market behavior.
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Fernandes, Anderson Rocha de J., Simone Evangelista Fonseca, and Robert Aldo Iquiapaza. "Performance measurement models and their influence on net fundraising of investment funds." Revista Contabilidade & Finanças 29, no. 78 (June 18, 2018): 435–51. http://dx.doi.org/10.1590/1808-057x201805330.

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ABSTRACT This article aims to analyze the relation between third- and fourth-order conditions and risk factors and their adequacy to return, performance, and net fundraising. The factors used to determine fund performance and, consequently, their relation with fundraising are: market return, size, book-to-market, profitability, investment, co-skewness, and co-kurtosis. The funds constituting the sample are those classified as Free Stocks (within the period from April 2001 to April 2015). Methodologically, this study has two phases. The first one refers to estimating the parameters that represent fund sensitivity to the factors and the comparison of the capital asset pricing models (CAPM), Fama-French-Carhart 4-factor (FFC), Fama-French 5-factor (FF5), Fama-French 5-factor with momentum (FF5M), added or not with co-moments, by means of the fixed-effects procedure. The second one deals with verifying the relation between performance and net fundraising. The models were reestimated through moving time windows, so that the alpha calculated on each of them represented fund performance within the immediately subsequent period. We also estimated the relation fundraising-performance through cross-section regressions, with rates and age as control variables. The results showed that the co-skewness and co-kurtosis coefficients are not that relevant for determining performance and net fundraising of investment funds. Among the risk factors, market, size, and momentum are the significant parameters for fund returns. The FFC and FF5M models are those with greater explanatory power regarding return specification. There is also evidence of convexity in the relation between performance and fundraising.
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Bouri, Elie, Ladislav Kristoufek, and Nehme Azoury. "Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain." PLOS ONE 17, no. 11 (November 22, 2022): e0277924. http://dx.doi.org/10.1371/journal.pone.0277924.

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Interactions between stock and cryptocurrency markets have experienced shifts and changes in their dynamics. In this paper, we study the connection between S&P500 and Bitcoin in higher-order moments, specifically up to the fourth conditional moment, utilizing the time-scale perspective of the wavelet coherence analysis. Using data from 19 August 2011 to 14 January 2022, the results show that the co-movement between Bitcoin and S&P500 is moment-dependent and varies across time and frequency. There is very weak or even non-existent connection between the two markets before 2018. Starting 2018, but mostly 2019 onwards, the interconnections emerge. The co-movements between the volatility of Bitcoin and S&P500 intensified around the COVID-19 outbreak, especially at mid-term scales. For skewness and kurtosis, the co-movement is stronger and more significant at mid- and long-term scales. A partial-wavelet coherence analysis underlines the intermediating role of economic policy uncertainty (EPU) in provoking the Bitcoin-S&P500 nexus. These results reflect the co-movement between US stock and Bitcoin markets beyond the second moment of return distribution and across time scales, suggesting the relevance and importance of considering fat tails and return asymmetry when jointly considering US equity-Bitcoin trading or investments and the policy formulation for the sake of US market stability.
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Dissertations / Theses on the topic "Co-skewness and co-kurtosis"

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HITAJ, ASMERILDA. "Portfolio allocation under general return distribution." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/11961.

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Modern Portfolio theory, developed by Markowitz (1952), is based on finding the best trade-off between risk and expected return. This model assumes that returns are normally distributed. In real life, for the majority of the assets this assumption is not true, as generally the distribution of returns has negative skewness and fat tails. This is more evident in case of hedge funds, commodities or emerging markets portfolios. Therefore, in these cases, a portfolio allocation based on the first two moments does not seem to be the right procedure, because we cannot ignore the higher moments. So, we need to find a way to incorporate the higher moments in the portfolio allocation decision. This is the reason why in this dissertation we will extend the Markowitz model to the higher moments and we will analyze the impact that skewness and kurtosis have on portfolio allocation. To introduce the higher moments in the portfolio allocation, we will approximate the expected utility by a fourth order Taylor expansion and we will compare the portfolio allocation based on four moments with the portfolio based on the first two moments. To compare two different optimal portfolios we will use a measure called, Monetary Utility Gain/Loss (MUG) . Furthermore, in the issue of constructing the optimal portfolio allocation, we will consider different approaches for the estimation of the co-moments. We will describe in more details three different approaches: i. Sample approach ii. Constant Correlation approach iii. Shrinkage approach In the empirical part, we will use a fix-mixed rolling window strategy with different calibrations periods, sample periods and levels of risk aversion.
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Conference papers on the topic "Co-skewness and co-kurtosis"

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Ghosh, Gourhari, Ajay Sidpara, and P. P. Bandyopadhyay. "Characterization of Nanofinished WC-Co Coating Using Advanced 3D Surface Texture Parameters." In ASME 2018 13th International Manufacturing Science and Engineering Conference. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/msec2018-6592.

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WC-Co coatings are extensively used in abrasion, sliding, and erosion resistance applications for its favourable mechanical properties. Nanofinishing of WC-Co coating is required for aircraft landing gear cylinder and diesel engine cylinder. Characterisation of surface topography becomes an important aspect in tribological applications as it has significant effect on the functional performance of the surfaces. In this present study, the motif analysis with 5% wolf pruning is applied to identify the significant hills for pattern reorganization of the surface texture generated by different finishing steps such as grinding, shape adaptive grinding (SAG) and chemical assisted SAG (CA-SAG). Several 3D advanced texture parameters are employed to characterize the coated surface before and after finishing in terms of surface roughness, third and fourth moments (skewness and kurtosis) of the probability density function, bearing area ratio curve and fluid retention properties of the surface. Furthermore, power spectral density (PSD) analysis is performed to analyse the unevenness and periodicity of the texture. It is observed that the fluid retention property and the bearing property of the surface improve with the subsequent finishing stage.
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Saw, Sue-Mae, Anand K. Ramasubramanian, Melinda Simon, and Sang-Joon John Lee. "Formation of Clot Analogs Between Co-Flow Fluid Streams in a Microchannel Device." In ASME-JSME-KSME 2019 8th Joint Fluids Engineering Conference. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/ajkfluids2019-5513.

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Abstract Hemodynamics plays an important role in the formation of blood clots, for which changes in hydrodynamic stresses and transport phenomena can initiate or inhibit the clotting process. Fibrin, which is converted from fibrinogen in blood plasma, plays a dominant role in structural mechanics of a clot. Clot analogs are conventionally fabricated in a static in vitro environment whereas clot formation in vivo occurs in the presence of dynamic blood flow. In this paper we demonstrate an ability to produce clot analogs at the boundary between active co-flow fluid streams. The time evolution of clot formation in microchannel flow was investigated using fluorescence imaging of fibrin clots at one-minute intervals. Time-tracking of skewness and kurtosis of fluorescence intensity data was conducted to monitor shape and density distribution changes in the clot. Soft lithography and casting techniques were used to fabricate a polydimethylsiloxane (PDMS) microfluidic device which consisted of a Y-shaped microchannel 300 μm wide × 12 μm deep × 10 mm long with two inlets and a single outlet. The first inlet introduced fresh frozen plasma (FFP), which contains fibrinogen and plasma proteins. The second inlet introduced thrombin, which initiated the conversion of fibrinogen to fibrin. Clot analogs were formed at the interface between these two parallel streams. Flow was driven by withdrawal of a syringe pump at flow rates of 50 nL/min and 100 nL/min. Clots that are formed in such an engineered device provide opportunities to recapitulate the flow rates and concentrations of reagents, to mimic in vivo scenarios in which clot density and composition gradients depend on flow conditions.
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