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Tekijä: | Christie-David, R. Chaudhry, M. |
Otsikko: | Coskewness and cokurtosis in futures markets |
Lehti: | Journal of Empirical Finance
2001 : MAR, VOL. 8:1, p. 55-81 |
Asiasana: | Assets Capital asset pricing Future studies Econometric models |
Vapaa asiasana: | Return-generating process |
Kieli: | eng |
Tiivistelmä: | 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. |
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