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Quantiled conditional variance, skewness, and kurtosis by Cornish–Fisher expansion

Ningning Zhang & Ke Zhu

Annals of Applied Statistics2026https://doi.org/10.1214/25-aoas2122article
AJG 2ABDC A
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0.50

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https://doi.org/https://doi.org/10.1214/25-aoas2122

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@article{ningning2026,
  title        = {{Quantiled conditional variance, skewness, and kurtosis by Cornish–Fisher expansion}},
  author       = {Ningning Zhang & Ke Zhu},
  journal      = {Annals of Applied Statistics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1214/25-aoas2122},
}

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Quantiled conditional variance, skewness, and kurtosis by Cornish–Fisher expansion

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0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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