Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China 2020, International Review of Economics and Finance Citation Excerpt : However, there have been a few studies dedicated in skewness spillover between financial markets....
We assume that the return shock has a skew-Student-t distribu-tion with unknown degrees of freedom. This allows a parsimonious, flexible treatment of skewness and heavy tails in the conditional distribution of returns. We propose to construct an algorithm based on Markov chain Monte Carlo (MCMC...
The focus of this strand of literature is on stock index and stock index options in a single economy, mainly the US.2 In this setting, the estimated stochastic discount factors are typically one-dimensional projections on the single stock index. The pricing of risks that are orthogonal to the...
The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this paper addresses the informational content of option-implied vola... S Wilkens...
This study examines skewness risk and its return predictability in the energy market by creating its own energy market index (EMI), which tracks the Energy Select Sector SPDR ETF (XLE). To date, the XLE is one of the largest energy ETFs, among others, and also the first energy sector–co...
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized sk
Consider, for instance, the Capital Asset Pricing Model (henceforth CAPM; see (Sharpe 1964; Lintner 1965)), a well-known equilibrium model, which assumes that investors construct their portfolio on the basis of a trade-off between the expected return and the variance of the returns of the ...