Mean, Volatility, and Skewness Spillovers in Equity Markets

Author

Aamir R. Hashmi, National University of Singapore
Anthony S. TAY, Singapore Management UniversityFollow

Publication Type

Book Chapter

Publication Date

3-2012

Keywords

mean, volatility, skewness spillovers in equity markets, data and summary statistics, spillover effects in variance and skewness

Discipline

Econometrics | Finance

Research Areas

Econometrics

Publication

Handbook of volatility models and their applications

First Page

127

Last Page

145

ISBN

9780470872512

Identifier

10.1002/9781118272039.ch5

Publisher

Wiley

City or Country

Hoboken, NJ

Citation

Hashmi, Aamir R. and TAY, Anthony S.. Mean, Volatility, and Skewness Spillovers in Equity Markets. (2012). Handbook of volatility models and their applications. 127-145.
Available at: https://ink.library.smu.edu.sg/soe_research/1362

Comments

(Luc Bauwens, Christian Hafner, and Sebastien Laurent, editors) (forthcoming) - expected publication date April

Additional URL

https://doi.org/10.1002/9781118272039.ch5