The skewness risk in the energy market
Year of publication: |
2021
|
---|---|
Authors: | Yoon, Jungah ; Ruan, Xinfeng ; Zhang, Jin E. |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 12, Art.-No. 620, p. 1-24
|
Subject: | realized skewness | nonparametric risk-neutral skewness | return predictability | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Energiemarkt | Energy market | Risiko | Risk | Prognoseverfahren | Forecasting model | Kapitalmarktrendite | Capital market returns |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14120620 [DOI] hdl:10419/258723 [Handle] |
Classification: | G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
-
International tail risk and world fear
Nguyen, Duc Binh Benno, (2017)
-
Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo, (2016)
-
Jondeau, Eric, (2015)
- More ...
-
The skewness risk in the energy market
Yoon, Jungah, (2021)
-
VIX option-implied volatility slope and VIX futures returns
Yoon, Jungah, (2022)
-
The Role of Hedgers and Speculators in the Currency Futures Markets
Yoon, Jungah, (2022)
- More ...