English, Article edition: Modelling skewness and elongation in financial returns: the case of exchange-traded funds Sanjiv Jaggia; Alison Kelly-Hawke

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50178
Physical Description
  • article
Language
  • English

Edition details

Title
  • Modelling skewness and elongation in financial returns: the case of exchange-traded funds
Author
  • Sanjiv Jaggia
  • Alison Kelly-Hawke
Physical Description
  • article
Notes
  • Recent studies have documented the importance of asymmetry and tail-fatness of returns on portfolio-choice, asset-pricing, value-at-risk and option-valuation models. This article explores the nature of skewness and elongation in daily Exchange-traded Fund (ETF) return distributions using g, h and (g × h) distributions. These exploratory data analytic techniques of Tukey (1977) reveal patterns that are hidden from a cursory glance at conventional measures for skewness and elongation. The g, h and (g × h) distributions provide parameter estimates that indicate substantial variation in skewness and elongation for individual ETFs; nonetheless, some trends are discovered when the funds are grouped by fund size and style of investing. Monte Carlo simulations suggest that these exploratory techniques are able to capture patterns found in commonly used Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family of models.
  • RePEc:taf:apfiec:v:19:y:2009:i:16:p:1305-1316
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment