The Risk-Asymmetry Index as a new Measure of Risk
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Cited by:
- Luca Gambarelli & Silvia Muzzioli, 2019. "Risk-asymmetry indices in Europe," Department of Economics 0157, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Giovanni Campisi & Silvia Muzzioli, 2020. "Investor sentiment and trading behavior," Department of Economics 0163, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Giovanni Campisi & Silvia Muzzioli, 2021. "Designing volatility indices for Austria, Finland and Spain," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 369-455, September.
- Panayiotis Theodossiou & Dimitris Tsouknidis & Christos Savva, 2020. "Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1097-1119, June.
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More about this item
Keywords
risk-asymmetry; corridor implied volatility; risk-neutral moments; risk measures; return predictability;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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