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Variance spillover and skewness in financial asset returns

Korkie, Robert M.; Sivakumar, Ranjini; Turtle, Harry J. - In: The financial review : the official publication of the … 41 (2006) 1, pp. 139-156

Persistent link: https://www.econbiz.de/10003274792

The dual contributions of information instruments in return models : magnitude and direction predictability

Korkie, Robert M.; Sivakumar, Ranjini; Turtle, Harry J. - In: Journal of empirical finance 9 (2002) 5, pp. 511-523

Persistent link: https://www.econbiz.de/10001712017

The dual contributions of information instruments in return models: magnitude and direction predictability

Korkie, Bob; Sivakumar, Ranjini; Turtle, Harry - In: Journal of empirical finance 9 (2002) 5, pp. 511-524

Persistent link: https://www.econbiz.de/10007234574

Variance Spillover and Skewness in Financial Asset Returns

Korkie, Bob; Sivakumar, Ranjini; Turtle, Harry J. - In: The Financial Review 41 (2006) 1, pp. 139-156

Bond and stock returns have been observed in the literature to exhibit unconditional skewness and temporal persistence in conditional skewness. We demonstrate that observed persistence in conditional third central moments can be due to the spillover of conditional variance dynamics. The...

Persistent link: https://www.econbiz.de/10005234009

Variance Spillover and Skewness in Financial Asset Returns

Korkie, Bob; Sivakumar, Ranjini; Turtle, Harry J. - In: The financial review : the official publication of the … 41 (2006) 1, pp. 139

Persistent link: https://www.econbiz.de/10005918641

Measuring performance in a dynamic world : conditional meanvariance fundamentals

Jha, Ranjini; Korkie, Robert M.; Turtle, Harry J. - In: Journal of banking & finance 33 (2009) 10, pp. 1851-1859

Persistent link: https://www.econbiz.de/10003886788

The intertemporal performance of investment opportunity sets

Korkie, Bob; Turtle, Harry - In: Performance measurement in finance, (pp. 229-260). 2002

Persistent link: https://www.econbiz.de/10001718613

Tests of conditional asset pricing with time-varying moments and risk prices

Turtle, Harry J. - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 15-29

Persistent link: https://www.econbiz.de/10001166028

A contingent claim analysis of closed-end fund premia

Korkie, Robert M.; Nakamura, Masao; Turtle, Harry J. - In: International review of financial analysis 10 (2001) 4, pp. 365-394

Persistent link: https://www.econbiz.de/10001651756

A note on the analytics and geometry of limiting mean : variance investment opportunity sets

Korkie, Robert M.; Turtle, Harry J. - In: Review of quantitative finance and accounting 9 (1997) 3, pp. 289-300

Persistent link: https://www.econbiz.de/10001591118

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