Publications of the Department
Campisi, G.; La Rocca, L.; Muzzioli, S., (2023) - Assessing skewness in financial markets - STATISTICA NEERLANDICA, Articolo su rivista - Articolo in rivista (262) (, , ) - pagg. 48 - 70
Abstract: It is a matter of common observation that investors value substantial gains but are averse to heavy losses. Obvious as it may sound, this translates into an interesting preference for right-skewed return distributions, whose right tails are heavier than their left tails. Skewness is thus not only a way to describe the shape of a distribution, but also a tool for risk measurement. We review the statistical literature on skewness and provide a comprehensive framework for its assessment. Then, we present a new measure of skewness, based on the decomposition of variance in its upward and downward components. We argue that this measure fills a gap in the literature and show in a simulation study that it strikes a good balance between robustness and sensitivity.