Testing Asset Pricing Models With Coskewness

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Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007, methodology): “Alternatively, assessing the significance of squared market returns in the context of a threemoment asset pricing model (see, e.g., Barone-Adesi, Gagliardini, and Urga 2004) can be carried out using our framework.”