Skewness and Kurtosis in S&p 500 Index Returns Implied by Option Prices

C-Tier

Journal: Journal of Financial Research

Year: 1996

Volume: 19

Issue: 2

Pages: 175-192

Authors (2)

Charles J. Corrado Tie Su (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count