Stock and currency market linkages: New evidence from realized spillovers in higher moments

Asymmetric volatility connectedness on the forex market

“…A similar conclusion is found by Do et al (2015), who also emphasize that it is important to account for the volatility spillover information transmission especially during turbulent periods. Further, significant directional spillovers are identified between the forex and stock markets in several studies targeting developed and emerging markets (Do et al, 2016;Andreou et al, 2013;Kumar, 2013;Kanas, 2001) or specific countries or regions including the U.S. (Ito and Yamada, 2015), Japan (Jayasinghe and Tsui, 2008), China (Zhao, 2010), the Middle East, and North Africa (Arfaoui and Ben Rejeb, 2015).…”

Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China

“…Understanding how skewness behaves can shed light on asset pricing and risk management. It is particularly of interest to examine the spillover of skewness between markets when they are highly inter-related as the tail dependence can provide 14 additional insights on informational efficiency as well as inherent informational linkages among markets (Del Brio et al, 2017;Do et al, 2016). The lead-lag relationship of skewness between markets indicates the direction of information flow between them.…”

“…That is, information transmission in terms of skewness spillover pertains to how markets are linked in terms of the level of asymmetry of returns distribution that directly pertains to downside (upside) risk. Therefore, informational efficiency in the perspective of capability to absorb cross-border information with respect to downside (upside) risk between financial markets is unveiled by skewness spillover (Do et al, 2016;Del Brio et al, 2017). In particular, skewness spillover in a financial crisis is particularly important since the dependence of extreme negative returns across markets is much more often during a crisis period than a normal trading period (Del Brio et al, 2017).…”

“…Do et al (2015) use intraday data to construct realised skewness series and explore spillover of these series between equity and foreign exchange (FX) markets at a regional level. By employing a similar method, Do et al (2016) find significant evidence of realised skewness spillover between equity and FX markets in emerging economies. Meanwhile, Del Brio et al (2017) examine skewness spillover of the MSCI index prices between regions of North America, Europe, Latin America and Asia Pacific.…”

On pth moment stabilization of hybrid systems by discrete-time feedback control

“…Moment risk premiums in finance involve the skewness swaps (p = 3) and kurtosis swaps (p = 4); pseudo-Zernike moments in image processing techniques could require, say, moment order up to 50 (see e.g. [25,26,27,28]). On the other hand, some problems only require a lower moment stability.…”