Sökning: "Brian Lynch"

Hittade 1 uppsats innehållade orden Brian Lynch.

  1. 1. Volatility and Skewness Transmission in International Stock Markets - A Comparison Study on ETFs and Their Underlying Indices

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Zihao Liu; Brian Lynch; [2014]
    Nyckelord :exchange traded funds ETFs ; volatility transmission; skewness transmission; VAR; upside downside volatility;

    Sammanfattning : This paper employs a VAR framework to investigate the differences be- tween index tracking ETFs in Germany, Japan, UK and US and their under- lying indices. Our paper investigates these differences in two different settings. LÄS MER