The Analytics of the Intervaling Effect on Skewness and Kurtosis of Stock Returns

Overview of attention for article published in Financial Review, March 2005

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Is there such a thing as monthly/yearly skewness and kurtosis?

Posted by KaiSqDist, at quant.stackexchange.com, 11 Nov 2024

As the title suggests, when performing regression analysis or portfolio optimization, one must adjust the frequency of his…

Skewness and Kurtosis under aggregation

Posted by Bob Jansen, at quant.stackexchange.com, 24 Jun 2012

Returns possess non-zero skewness and excess kurtosis. If these assets are temporally aggregated both will disappear due to the…

How does Cornish-Fisher VaR (aka modified VaR) scale with time?

Posted by Richi Wa, at quant.stackexchange.com, 21 Jun 2012

I am thinking about the time-scaling of Cornish-Fisher VaR (see e.g. page 130 here for the formula). It involves the skewness…

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