Higher moments matter! Crossâsectional (higher) moments and the predictability of stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Review of Financial Economics"
DOI: 10.1002/rfe.1121
Abstract: In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2015), who finds cross-sectional volatility to forecast a decline in the… read more here.
Keywords: skewness; cross sectional; higher moments; sectional volatility ... See more keywords
Can skewness predict CNY-CNH spread?
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102392
Abstract: Abstract This paper aims to explore the predictive ability of skewness on CNY-CNH spread. We first prove positive effect of skewness with and without control variables under in-sample analysis. We further demonstrate the predictive power… read more here.
Keywords: cnh spread; cny cnh; skewness;
Idiosyncratic skewness and cross-section of stock returns: Evidence from Taiwan
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101816
Abstract: Abstract In this study, we examine whether idiosyncratic skewness (IS) affects the returns of the Taiwan stock market. We find that speculative retail investors prefer positive skewness in stocks that leads them to overprice these… read more here.
Keywords: skewness; skewness cross; idiosyncratic skewness; section stock ... See more keywords
Coefficient of variation as an image-intensity metric for cytoskeleton bundling
Sign Up to like & getrecommendations! Published in 2020 at "Scientific Reports"
DOI: 10.1038/s41598-020-79136-x
Abstract: The evaluation of cytoskeletal bundling is a fundamental experimental method in the field of cell biology. Although the skewness of the pixel intensity distribution derived from fluorescently-labeled cytoskeletons has been widely used as a metric… read more here.
Keywords: coefficient variation; microscopy; intensity; microscopy images ... See more keywords
The use of option prices to assess the skewness risk premium
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics"
DOI: 10.1080/00036846.2020.1783430
Abstract: ABSTRACT The aims of this study are twofold. First, to determine the sign and magnitude of the skewness risk premium (SRP) in the Italian index option market using two procedures: (i) skewness swap contracts, (ii)… read more here.
Keywords: skewness risk; risk; risk premium; term ... See more keywords
Split sample skewness
Sign Up to like & getrecommendations! Published in 2020 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2020.1804588
Abstract: Abstract The shape of a statistical distribution of data is important in such diverse areas as descriptive analysis, risk analysis, portfolio optimization and strategic decision making. If it is known (or believed) that the probability… read more here.
Keywords: split sample; sample skewness; skewness;
Thermodynamic skewness relation from detailed fluctuation theorem.
Sign Up to like & getrecommendations! Published in 2022 at "Physical review. E"
DOI: 10.1103/physreve.106.l042101
Abstract: The detailed fluctuation theorem (DFT) is a statement about the asymmetry in the statistics of the entropy production. Consequences of the DFT are the second law of thermodynamics and the thermodynamics uncertainty relation, which translate… read more here.
Keywords: detailed fluctuation; skewness; relation; fluctuation theorem ... See more keywords
Performance Analysis of Skewness Methods for Asymmetry Detection in High Impedance Faults
Sign Up to like & getrecommendations! Published in 2020 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2020.3018634
Abstract: Skewness can be used to identify the asymmetry introduced into a current stream by a High Impedance Fault (HIF). This letter introduces relative skewness as a superior computational approach for detecting HIF induced asymmetry changes… read more here.
Keywords: hif induced; skewness; high impedance; asymmetry ... See more keywords
Detecting stealthy attacks against industrial control systems based on residual skewness analysis
Sign Up to like & getrecommendations! Published in 2019 at "EURASIP Journal on Wireless Communications and Networking"
DOI: 10.1186/s13638-019-1389-1
Abstract: With the integration of the modern industrial control systems (ICS) with the Internet technology, ICS can make full use of the rich resources on the Internet to facilitate remote process control. However, every coin has… read more here.
Keywords: control systems; control; industrial control; stealthy attacks ... See more keywords
Exploration of variance, autocorrelation, and skewness of deviations from lactation curves as resilience indicators for breeding.
Sign Up to like & getrecommendations! Published in 2019 at "Journal of dairy science"
DOI: 10.3168/jds.2019-17290
Abstract: The ability of a cow to cope with environmental disturbances, such as pathogens or heat waves, is called resilience. To improve resilience through breeding, we need resilience indicators, which could be based on the fluctuation… read more here.
Keywords: resilience indicators; resilience; autocorrelation; variance ... See more keywords
The Heterogeneity of Skewness in T2W-Based Radiomics Predicts the Response to Neoadjuvant Chemoradiotherapy in Locally Advanced Rectal Cancer
Sign Up to like & getrecommendations! Published in 2021 at "Diagnostics"
DOI: 10.3390/diagnostics11050795
Abstract: Our study aimed to investigate whether radiomics on MRI sequences can differentiate responder (R) and non-responder (NR) patients based on the tumour regression grade (TRG) assigned after surgical resection in locally advanced rectal cancer (LARC)… read more here.
Keywords: response; heterogeneity; advanced rectal; locally advanced ... See more keywords