Skewness and index futures return-Reference-Cited by-同舟云学术

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Skewness and index futures return

Published:2020-03-12 Issue:11 Volume:40 Page:1648-1664
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Jondeau Eric¹,Wang Xuewu²,Yan Zhipeng³,Zhang Qunzi⁴^ORCID

Affiliation:

1. Faculty of Business and Economics (HEC Lausanne), Swiss Finance Institute University of Lausanne Lausanne Switzerland

2. School of Business Quinnipiac University Hamden Connecticut

3. Martin Tuchman School of Management New Jersey Institute of Technology Newark New York

4. School of Economics Shandong University Jinan China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22112

Reference57 articles.

1. Does realized skewness predict the cross-section of equity returns?

2. Illiquidity and stock returns: cross-section and time-series effects

3. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

4. Maxing out: Stocks as lotteries and the cross-section of expected returns

5. Does Idiosyncratic Risk Really Matter?

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments;Energy Economics;2024-08

2. Do the impacts of the futures-spot spread and skewness on the interdependence between spot and futures markets differ across regimes and energy commodities markets?;Applied Economics;2024-03-22

3. Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity;Journal of Futures Markets;2023-11-06

4. Can average skewness really predict financial returns? The euro area case;Finance Research Letters;2023-03

5. On the Relevance of Variances and Correlations for Multi-Factor Investors;SSRN Electronic Journal;2023

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