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

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  • Yiuman Tse

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  • Yiuman Tse, 2016. "Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets," The Financial Review, Eastern Finance Association, vol. 51(1), pages 83-111, February.
    • Handle: RePEc:bla:finrev:v:51:y:2016:i:1:p:83-111
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    File URL: http://hdl.handle.net/10.1111/fire.2016.51.issue-1
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    Cited by:

    1. Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.
    2. Kao, Wei-Shun & Lin, Chu-Hsiung & Changchien, Chang-Cheng & Wu, Chien-Hui, 2017. "Return distribution, leverage effect and spot-futures spread on the hedging effectiveness," Finance Research Letters, Elsevier, vol. 22(C), pages 158-162.
    3. Lis Szymon & Chlebus Marcin, 2023. "Combining forecasts? Keep it simple," Central European Economic Journal, Sciendo, vol. 10(57), pages 343-370, January.
    4. Hanke, Michael & Penev, Spiridon & Schief, Wolfgang & Weissensteiner, Alex, 2017. "Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness," European Journal of Operational Research, Elsevier, vol. 263(2), pages 510-523.
    5. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
    6. Yiuman Tse, 2018. "Return predictability and contrarian profits of international index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 788-803, July.
    7. Mohammad Enamul Hoque & Soo-Wah Low, 2020. "Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework," Mathematics, MDPI, vol. 8(10), pages 1-28, October.
    8. Qingfu Liu & Yiuman Tse & Kaixin Zheng, 2021. "The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market," The Financial Review, Eastern Finance Association, vol. 56(4), pages 671-692, November.
    9. Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016. "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, vol. 30(C), pages 103-124.

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