The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns

Ariston Karagiorgis and Konstantinos Drakos

Journal of International Financial Markets, Institutions and Money, 2022, vol. 80, issue C

Abstract: Financial returns exhibit deviations from Gaussianity, with their higher moments denoting turbulent and complex underlying systems. What is less known, is that Kurtosis and Skewness are correlated, with their interrelationship obeying well defined rules, albeit not exact, where the S-K plane is generally compatible with a parabolic form. The properties of the S-K plane for hedge funds are examined, exploiting the panel structure of the data, by estimating a quadratic model. We prove that the architecture of the plane exhibits significant variations across the various investment strategies, while the results remain unaffected after a sensitivity analysis.

Keywords: Hedge funds; Higher moments; Skewness; Kurtosis (search for similar items in EconPapers)
JEL-codes: G12 G23 G29 G32 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001111

DOI: 10.1016/j.intfin.2022.101639

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