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dc.contributor.author | Jiménez Jiménez, María Inés | |
dc.contributor.author | Mora-Valencia, Andrés | |
dc.contributor.author | Perote Peña, Javier | |
dc.date.accessioned | 2024-09-11T06:53:05Z | |
dc.date.available | 2024-09-11T06:53:05Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | Jiménez, I., Mora-Valencia, A., & Perote, J. (2022). Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? Finance Research Letters, 49, 103105. https://doi.org/10.1016/j.frl.2022.103105 | es_ES |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | http://hdl.handle.net/10366/159500 | |
dc.description.abstract | [EN] This paper introduces the effect of the crossed products of Hermite polynomials on Gram-Charlier densities. This allows capturing the impact of the interaction between skewness and kurtosis and evaluating this new parameter as an additional source of information for risk management. We show that our modified Gram-Charlier density presents an improved accuracy, especially at distribution tails. Risk quantification is assessed for S&P500 losses with backtesting procedures for Value-at-Risk and Median Shortfall. | es_ES |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Gram-charlier expansions | es_ES |
dc.subject | Skewness | es_ES |
dc.subject | Kurtosis | es_ES |
dc.subject | Value-at-risk | es_ES |
dc.subject | Median shortfall | es_ES |
dc.subject | Backtesting | es_ES |
dc.title | Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting? | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.relation.publishversion | http://dx.doi.org/10.1016/j.frl.2022.103105 | es_ES |
dc.subject.unesco | 5308 Economía General | es_ES |
dc.identifier.doi | 10.1016/j.frl.2022.103105 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es_ES |
dc.journal.title | Finance Research Letters | es_ES |
dc.volume.number | 49 | es_ES |
dc.page.initial | 1 | es_ES |
dc.page.final | 6 | es_ES |
dc.type.hasVersion | info:eu-repo/semantics/publishedVersion | es_ES |
dc.description.project | Publicación en abierto financiada por la Universidad de Salamanca como participante en el Acuerdo Transformativo CRUE-CSIC con Elsevier, 2021-2024 | es_ES |