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Applied Financial Economics Volume 18, 2008 - Issue 10
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Original Articles

Skewness and asymmetry in futures returns and volumes

Alexander M. Eastman School of Business & Institute for International Integration Studies, University of Dublin Trinity College, Dublin, IrelandCorrespondence[email protected]
&
Brian M. Lucey School of Business & Institute for International Integration Studies, University of Dublin Trinity College, Dublin, Ireland
Pages 777-800 | Published online: 03 Jun 2008

Citations (13)

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Qian Chen & Xin Weng. (2018) Information Flows Between the US and China’s Agricultural Commodity Futures Markets—Based on VAR–BEKK–Skew-t Model. Emerging Markets Finance and Trade 54:1, pages 71-87.
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Articles from other publishers (12)

Mehmet Sahiner. (2023) Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model. Computational Economics.
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Benjamin R. Auer. (2021) On false discoveries of standard t-tests in investment management applications. Review of Managerial Science 16:3, pages 751-768.
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Jonathan Blackledge & Marc Lamphiere. (2021) A Review of the Fractal Market Hypothesis for Trading and Market Price Prediction. Mathematics 10:1, pages 117.
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Yulin Li, John K. Wald & Zijun Wang. (2020) Sovereign bonds, coskewness, and monetary policy regimes. Journal of Financial Stability 50, pages 100783.
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Xin Gao & Federico Nardari. (2018) Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments. Journal of Financial and Quantitative Analysis 53:1, pages 365-393.
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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 155 164 .
Parab NarayanY. V. Reddy. (2017) Exploring the Causal Relationship Between Stock Returns, Volume, and Turnover across Sectoral Indices in Indian Stock Market. Metamorphosis: A Journal of Management Research 16:2, pages 122-140.
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I-Hsuan Ethan Chiang. (2016) SKEWNESS AND COSKEWNESS IN BOND RETURNS. Journal of Financial Research 39:2, pages 145-178.
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Hung Xuan Do, Robert Brooks, Sirimon Treepongkaruna & Eliza Wu. (2014) How does trading volume affect financial return distributions?. International Review of Financial Analysis 35, pages 190-206.
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Leyuan You & Robert T. Daigler. (2010) Using Four‐Moment Tail Risk to Examine Financial and Commodity Instrument Diversification. Financial Review 45:4, pages 1101-1123.
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I-Hsuan Ethan Chiang. (2015) Skewness and Co-Skewness in Bond Returns. SSRN Electronic Journal.
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Hung Xuan Do, Robert Darren Brooks, Sirimon Treepongkaruna & Eliza Wu. (2012) Influences of Trading Volume on Financial Return Distributions: A Reassessment and a Step Further. SSRN Electronic Journal.
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