Coskewness and cokurtosis in futures markets

By R. Christie-David, Mukesh K. Chaudhry. 2001

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CAPM, Higher Co-moment and Factor Models of UK Stock Returns (2004, unknown): “Although a number of papers have tested higher order pricing models for US stock data (Harvey and Siddique, 2000; Dittmar, 2002; and Barone-Adesi, Gagliardini and Urga, 2002) and for commodity contracts (Christie-David and Chaudhry, 2001), there has been little work outside the US (Galagedera, Henry”
Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (2006, background): “In related work, Christie-David and Chaudhry (2001) find that co-kurtosis (a measure of covariation with market skewness) is priced in futures markets.”
An empirical analysis of dynamic multiscale hedging using wavelet decomposition (2011, result): “f hedging effectiveness at each scale. However, both in- and out-of-sample the effectiveness was found to be very similar to that of the variance measure. These results are available on request. 8See Christie-David and Chaudhry (2001) where they demonstrate the importance of skewness and kurtosis in”