search query: @author Christie-David, R. / total: 3
reference: 3 / 3
« previous | next »
Author: | Christie-David, R. Chaudhry, M. |
Title: | Coskewness and cokurtosis in futures markets |
Journal: | Journal of Empirical Finance
2001 : MAR, VOL. 8:1, p. 55-81 |
Index terms: | Assets Capital asset pricing Future studies Econometric models |
Freeterms: | Return-generating process |
Language: | eng |
Abstract: | The authors examine the importance of coskewness and cokurtosis in explaining futures returns. They attempt to provide insight into the return-generating process in futures markets by using a four-moment CAPM model. |
« previous | next »
SCIMA