Volatility, Leverage, and Skewness in Stock Returns
The study finds that variance shocks strongly influence the conditional skewness of index returns, impacting asset pricing, portfolio selection, and risk management applications.
Featured in No. 39 on 6 Mar 2024 ·
- Released
- 27 Apr 2022
- First featured
- No. 39 · 6 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4742615
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