The Realized Skewness of Index Futures and its Return and Volatility
碩士 === 逢甲大學 === 財務金融學系 === 106 === This study investigates the effect of realized return skewness on the future return and volatility in the futures market. We measure the realized skewness following the approach of Amaya, Christoffersen, Jacobs, and Vasquez (2015). Based on the intraday data set of...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/eya96b |