Asymmetric volatility, skewness, and downside risk in different asset classes : evidence from futures markets
Yiuman Tse (University of Missouri - St. Louis)
| Year of publication: |
February 2016
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| Authors: | Tse, Yiuman |
| Published in: |
The financial review : the official publication of the Eastern Finance Association. - Malden, Mass. [u.a.] : Blackwell, ISSN 0732-8516, ZDB-ID 864322-2. - Vol. 51.2016, 1, p. 83-111
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| Subject: | asymmetric volatility | skewness | coskewness | downside risk | international futures | Volatilität | Volatility | Derivat | Derivative | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Hedging | Risikomaß | Risk measure | Theorie | Theory | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011436801