We are especially grateful to Sudipto Dasgupta (Editor-in-Chief), an Associate Editor and an anonymous referee, whose helpful comments substantially improved the paper. We also acknowledge helpful comments from Long Chen, Jinghong Shu, Zhiguang Wang, and seminar participants at the University of Macau, the University of International Business and Economics, Sun Yat-Sen University, 2009 Financial Management Association (FMA) Annual Meeting in Reno, and 2010 China International Conference in Finance (CICF2010) in Beijing. H. Zhao has been supported by the Fundamental Research Funds for the Central Universities (Project No. 1209022), Guangdong Province University Key Project of Humanities and Social Sciences (Project No. 11ZGXM63002), and State Key Program of National Natural Science of China (Project No. 71231008). J. E. Zhang has been supported by an establishment grant from University of Otago. E. C. Chang has been partially supported by grants from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project Nos. HKU 7403/06H and HKU 7179/07E).
The Relation between Physical and Risk-neutral Cumulants†
Version of Record online: 29 MAR 2013
© 2013 International Review of Finance Ltd. 2013
International Review of Finance
Volume 13, Issue 3, pages 345–381, September 2013
How to Cite
Zhao, H., Zhang, J. E. and Chang, E. C. (2013), The Relation between Physical and Risk-neutral Cumulants. International Review of Finance, 13: 345–381. doi: 10.1111/irfi.12013
- Issue online: 1 SEP 2013
- Version of Record online: 29 MAR 2013
- Fundamental Research Funds for the Central Universities. Grant Number: 1209022
- Guangdong Province University Key Project of Humanities and Social Sciences. Grant Number: 11ZGXM63002
- State Key Program of National Natural Science of China. Grant Number: 71231008
- University of Otago
- Research Grants Council of the Hong Kong Special Administrative Region. Grant Numbers: HKU 7403/06H, HKU 7179/07E
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