Journal of Derivatives and Quantitative Studies: 선물연구: Volume 18 Issue 2 , Open Access
Subjects:
Table of contents
Default Correlations in the Presence of Coskewness and Cokurtosis Between Two Firm Values
Hwa-Sung Kim, Kwangil BaeThe previous studies on coskewness and cokurtosis between assets concentrate on the effects of coskewness and cokurtosis on the returns and prices of financial assets. This paper…
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How Valuable are the Commodity Assets to Investors?
Jangkoo Kang, Jah Yeun Wang, Changjun LeeThis study examines how commodity assets affect investors. Our main findings can be summarized as follows. First, the Sharpe ratio of commodity indexes is higher than that of…
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