1 A three-moment based portfolio selection model

Andrea Gamba and Francesco A. Rossi
Decisions in Economics and Finance
Volume 21, Numbers 1-2, 25-48, DOI: 10.1007/BF02735315
http://www.springerlink.com/content/m251w518163vu86x/

2 The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR
Turan G. Balia , Hengyong Mo ,  and Yi Tang
Journal of Banking & Finance
Volume 32, Issue 2, February 2008, Pages 269-282
http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VCY-4P4FV4F-8&_user=10&_coverDate=02%2F29%2F2008&_rdoc=1&_fmt=high&_orig=gateway&_origin=gateway&_sort=d&_docanchor=&view=c&_searchStrId=1717186556&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=92080f319e77360cd85d85051369c8c7&searchtype=a