In the literature, quite a few measures have been proposed for quantifying deviation of probability distribution from symmetry. The most popular these skewness are based on third centralized moment and quantiles. However, there major drawbacks in using quantities. These include strong emphasis distributional tails poor asymptotic behavior (empirical) moment-based measure as well difficult stati...

Skewness is an important property of a population. Although many measures have been proposed there is no consensus on what should be used in practice. We propose a new measure which is appropriate when the direction of the skewness is known a priori. It is simple to interpret and easy to estimate.

Main academic criticism on the Sharpe ratio concerns its lack in incorporating skewness in performance evaluation. In this note we rewrite the classical Sharpe ratio for skew normal distributions. This new skew-normal Shape ratio consistently moves with skewness and no distorted information on performance is provided. An empirical investigation illustrates skew-normality of mutual and hedge fun...

Recent researches on stock market volatility have found considerable empirical evidence for the persistence of variance in stock market returns. The ARCH and unit root models in different versions analysed by Engle and Bollerslev (1986), Schwert (1989) and Nelson (1991) have usually discussed the conditional variance process as a function of lagged variance, where the skewness of the return dis...

We present an algorithm that generates networks in which the skewness of the degree distribution is tuneable by modifying the preferential attachment step of the Barabási-Albert construction algorithm. Skewness is linearly correlated with the maximal degree of the network and, therefore, adequately represents the influence of superspreaders or hubs. By combining our algorithm with work of Holme...

Option prices, particularly those of out-of-the-money equity index puts, are difficult to justify in a no-arbitrage framework. This paper shows how limits to arbitrage affect the relative pricing of out-of-the-money put vs. call options (option-implied skewness). Decomposing the price of skewness into ex-post realized skewness and a skewness risk premium in commodity futures options markets, I ...

We propose a new modeling approach to option valuation, in which the volatility and skewness of returns are functions of three distinct, but dependent, stochastic components: Two components modeling short and long run volatility risk and a third component capturing shocks to return skewness that are unspanned by shocks to volatility. The model state dynamics follows a matrix jump diffusion, pro...

The generalized lambda distribution (GLD) is a flexible four parameter distribution with many practical applications. L-moments of the GLD can be expressed in closed form and are good alternatives for the central moments. The L-moments of the GLD up to an arbitrary order are presented, and a study of L-skewness and L-kurtosis that can be achieved by the GLD is provided. The boundaries of L-skew...