Essays about: "skewness transmission"

Found 1 essay containing the words skewness transmission.

  1. 1. Volatility and Skewness Transmission in International Stock Markets - A Comparison Study on ETFs and Their Underlying Indices

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Zihao Liu; Brian Lynch; [2014]
    Keywords : exchange traded funds ETFs ; volatility transmission; skewness transmission; VAR; upside downside volatility;

    Abstract : This paper employs a VAR framework to investigate the differences be- tween index tracking ETFs in Germany, Japan, UK and US and their under- lying indices. Our paper investigates these differences in two different settings. READ MORE