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Keywords: Realized Kurtosis
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Journal Articles
Realized Skewness and the Return Predictability
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (1): 119–152.
Published: 29 February 2016
... are robust to controls for various firm characteristics such as size and book-to-market. Little evidence exists that either the realized volatility or the realized kurtosis is significantly related to next week’s returns. © 2016 Emerald Publishing Limited 2016 This article is published under...
