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• W4293558862 endingPage "101639" @default.
• W4293558862 startingPage "101639" @default.
• W4293558862 abstract "Financial returns exhibit deviations from Gaussianity, with their higher moments denoting turbulent and complex underlying systems. What is less known, is that Kurtosis and Skewness are correlated, with their interrelationship obeying well defined rules, albeit not exact, where the S-K plane is generally compatible with a parabolic form. The properties of the S-K plane for hedge funds are examined, exploiting the panel structure of the data, by estimating a quadratic model. We prove that the architecture of the plane exhibits significant variations across the various investment strategies, while the results remain unaffected after a sensitivity analysis." @default.
• W4293558862 created "2022-08-30" @default.
• W4293558862 creator A5003318926 @default.
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• W4293558862 date "2022-09-01" @default.
• W4293558862 modified "2023-09-26" @default.
• W4293558862 title "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns" @default.
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• W4293558862 doi "https://doi.org/10.1016/j.intfin.2022.101639" @default.
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