International Portfolio Formation, Skewness and the Role of Gold

Using daily stock returns

Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 1985 · 6.6K citations

Business, Finance, Financial Econometrics +11

SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

Alan Kraus, Robert H. Litzenberger · The Journal of Finance · 1976 · 1.5K citations

Business, Economics, Finance +12

Mandelbrot and the Stable Paretian Hypothesis

Eugene F. Fama · The Journal of Business · 1963 · 837 citations

Natural Sciences, Physics, Stochastic Processes +2

Skewness Preference and the Valuation of Risk Assets

Alan Kraus, Robert H. Litzenberger · The Journal of Finance · 1976 · 757 citations

Business, Economics, Finance +14

Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Éric Jondeau, Michael Rockinger · Journal of Economic Dynamics and Control · 2003 · 573 citations

Business, Economics, Finance +11