Essays about: "skewness transmission"
Found 1 essay containing the words skewness transmission.
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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 ekonomiAbstract : 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
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