James Chen, CMT is an expert trader, investment adviser, and global market strategist. Gordon Scott has been an active investor and technical analyst or 20+ years. He is a Chartered Market Technician ...

Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, authors of the new paper, “Does Realized Skewness Predict the Cross-Section of Equity Returns?”, examined higher moments of ...

Intech Investment Management recently published a primer on monitoring market stress by way of several risk metrics, including skewness of returns (SoR). In the grand scheme of quantifying risk, SoR ...

This data series is part of the Center for Monetary Research. Treasury Yield Skewness is a daily indicator measuring the risks to the future outlook for interest rates, based on prices of Treasury ...

In the Moments table, N is the number of nonmissing observations, Mean is the arithmetic mean, Std Dev is the standard deviation, and Variance is the variance. Skewness and Kurtosis are both measures ...

This is a preview. Log in through your library . Abstract There is evidence of regularities in the skewness of asset returns reported in the literature. The literature, however, offers no adequate ...

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness ...