Time-Varying Risk Attitude and Conditional Skewness
Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the time-varying property of the risk premium coe...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/174848 |