1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/22771
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2021-06-23T10:43:42Z-
dc.date.available2021-06-23T10:43:42Z-
dc.date.issued2021-
dc.identifier.citationCommunications in Statistics - Theory and Methods, 2021en_US
dc.identifier.issn1532415X-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/22771-
dc.description.abstractThe econometric framework of the contemporaneous asset pricing model used by Theodossiou and Savva and Savva and Theodossiou to investigate the relationship between risk and expected returns in financial markets is generalized to a class of two-sided, asymmetry separable distributions. The latter class of distributions includes as special cases the skewed forms for the normal, Student’s t, Laplace, generalized error, generalized t, logistic and generalized type III logistic. All distributions document a positive and statistically significant relationship between risk and expected returns. A comparison of their data fitting ability shows that the generalized t distribution provides the best overall results.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofCommunications in Statistics - Theory and Methodsen_US
dc.rights© Taylor and Francisen_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectGeneralized error distributionen_US
dc.subjectGeneralized ten_US
dc.subjectLaplaceen_US
dc.subjectRisk premiumen_US
dc.subjectTwo-sided distributionsen_US
dc.subjectType III logisticen_US
dc.titleMarket price of risk estimation: Does distribution matter?en_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1080/03610926.2021.1872643en_US
dc.identifier.scopus2-s2.0-85099757614-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85099757614-
cut.common.academicyear2021-2022en_US
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.fulltextNo Fulltext-
crisitem.journal.journalissn1532-415X-
crisitem.journal.publisherTaylor & Francis-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Άρθρα/Articles
CORE Recommender
Show simple item record

SCOPUSTM   
Citations

2
checked on Mar 14, 2024

WEB OF SCIENCETM
Citations

1
Last Week
0
Last month
0
checked on Oct 29, 2023

Page view(s)

297
Last Week
0
Last month
5
checked on Nov 22, 2024

Google ScholarTM

Check

Altmetric


This item is licensed under a Creative Commons License Creative Commons