Realized Skewness and the Trading Activity in the Futures Market
碩士 === 逢甲大學 === 財務金融學系 === 106 === This paper examines the relationship between the realized skewness and trading activity in the futures market. We adopt the approach proposed by Amaya, Christoffersen, Jacobs, and Vasquez (2015) to measure the realized skewness and use it as a proxy for jump risk....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/zc996x |