Testing asset pricing models with coskewness

Journal of Business and Economic Statistics

Volumn 22, Issue 4, 2004, Pages 474-485

  Adesi, Giovanni Barone ^a   Gagliardini, Patrick ^a   Urga, Giovanni ^b  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Asset pricing; Asymptotic least squares; Coskewness; Generalized method of moments; Monte Carlo simulation

Indexed keywords

EID: 7444242811     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000244     Document Type: Article

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