Portfolio Pricing with Measures of Conditional Skewness and Kurtosis
On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. The present essay was inspired by the seminal work of Harvey and Siddique (1999), who proposed estimation of time-varying skewness and pricing its explanatory power by