Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets

Yiuman Tse

doi:10.1111/fire.12095

Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	The Financial Review
Volume	51
DOIs	https://doi.org/10.1111/fire.12095
State	Published - Jan 2 2016

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Economics
Finance

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10.1111/fire.12095License: Unspecified

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title = "Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets",

author = "Yiuman Tse",

note = "This study examines the cross‐sectional variation of futures returns from different asset classes. The monthly returns are positively correlated with downside r",

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doi = "10.1111/fire.12095",

language = "American English",

volume = "51",

journal = "The Financial Review",

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AU - Tse, Yiuman

N1 - This study examines the cross‐sectional variation of futures returns from different asset classes. The monthly returns are positively correlated with downside r

PY - 2016/1/2

Y1 - 2016/1/2

UR - https://papers.ssrn.com/sol3/Delivery.cfm/FIRE_FIRE12095.pdf?abstractid=2715207&mirid=1

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JO - The Financial Review

JF - The Financial Review

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Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets

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