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Realized Skewness. (2012). Neuberger, Anthony .
In: Review of Financial Studies.
RePEc:oup:rfinst:v:25:y:2012:i:11:p:3423-3455.

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  1. Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J.
    In: Econometrica.
    RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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  2. Arithmetic variance swaps. (2017). Leontsinis, Stamatis ; Alexander, Carol.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:4:p:551-569.

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  3. Portfolio choice with high frequency data: CRRA preferences and the liquidity effect. (2017). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, H.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3.

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  4. Performance of Tail Hedged Portfolio with Third Moment Variation Swap. (2017). Lee, Kyungsub ; Ki, Byoung.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9593-0.

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  5. On the gains of using high frequency data and higher moments in Portfolio Selection. (2017). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui Pedro ; Sebastio, Helder.
    In: CeBER Working Papers.
    RePEc:gmf:papers:2017-02.

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  6. Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

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  7. Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). DA FONSECA, José ; Xu, Yahua.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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  8. A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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  9. Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:449-464.

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  10. The Aggregation Property and its Applications to Realised Higher Moments. (2017). Alexander, Carol ; Rauch, Johannes.
    In: Papers.
    RePEc:arx:papers:1709.08188.

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  11. The skewness risk premium in equilibrium and stock return predictability. (2016). Sasaki, Hiroshi.
    In: Annals of Finance.
    RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-016-0275-7.

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  12. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder ; Brito, Rui Pedro .
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2016-13..

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  13. The skewness risk premium in currency markets. (2016). Broll, Michael.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:494-511.

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  14. Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums. (2016). Ruan, Xinfeng ; Zhang, Jin E ; Huang, Jiexiang ; Zhu, Wenli .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:326-338.

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  15. On the Surprising Explanatory Power of Higher Realized Moments in Practice. (2016). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng.
    In: Papers.
    RePEc:arx:papers:1604.07969.

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  16. Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes ; Alexander, Carol.
    In: Papers.
    RePEc:arx:papers:1602.00865.

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  17. Model-Free Discretisation-Invariant Swap Contracts. (2016). Alexander, Carol ; Rauch, Johannes.
    In: Papers.
    RePEc:arx:papers:1602.00235.

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  18. Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia. (2016). Alexander, Carol ; Rauch, Johannes.
    In: Papers.
    RePEc:arx:papers:1404.1351.

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  19. Towards a skewness index for the Italian stock market. (2015). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca.
    In: Department of Economics.
    RePEc:mod:depeco:0064.

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  20. Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-20.

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  21. Does realized skewness predict the cross-section of equity returns?. (2015). Christoffersen, Peter ; Vasquez, Aurelio ; Jacobs, Kris ; Amaya, Diego.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:135-167.

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  22. Generalized risk premia. (2015). Schneider, Paul.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:116:y:2015:i:3:p:487-504.

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  23. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. (2015). Treepongkaruna, Sirimon ; Do, Hung Xuan ; Brooks, Robert.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:28:y:2015:i:c:p:24-37.

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  24. Asymmetries and Portfolio Choice. (2015). Dahlquist, Magnus ; Tedongap, Romeo ; Farago, Adam.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10706.

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  25. Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-36.

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  26. Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data. (2015). Lee, Kyungsub.
    In: Papers.
    RePEc:arx:papers:1311.5036.

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  27. Risk-adjusted option-implied moments. (2014). Brinkmann, Felix ; Korn, Olaf .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1407.

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  28. Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216.

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  29. Variance trading and market price of variance risk. (2014). Bondarenko, Oleg.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:1:p:81-97.

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  30. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
    In: MPRA Paper.
    RePEc:pra:mprapa:53745.

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  31. Option Prices in a Model with Stochastic Disaster Risk. (2013). Wachter, Jessica ; Seo, Sang Byung .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19611.

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  32. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-581.

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  33. On the inefficiency of Brownian motions and heavier tailed price processes. (2013). Balbas, Alejandro .
    In: INDEM - Working Paper Business Economic Series.
    RePEc:cte:idrepe:id-13-01.

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  34. The Relation between Physical and Risk-neutral Cumulants. (2013). Chang, Eric C. ; Zhang, Jin E. ; Zhao, Huimin .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:13:y:2013:i:3:p:345-381.

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  35. Which Parametric Model for Conditional Skewness?. (2013). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Tedongap, Romeo.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-32.

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  36. High moment variations and their application. (2013). Choe, Geon Ho ; Lee, Kyungsub.
    In: Papers.
    RePEc:arx:papers:1311.4973.

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  37. Does Realized Skewness Predict the Cross-Section of Equity Returns?. (2013). Christoffersen, Peter ; Jacobs, Kris ; Amaya, Diego ; Vasquez, Aurelio.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-41.

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