This thesis has been written during my time as a Ph.D. candidate in Finance at Lancaster University and as a visiting Ph.D. scholar at the Econometrics Department of the University of Amsterdam. This Ph.D. thesis starts with an introduction to finance for a general audience. Followed by an extensive literature overview, which I have continued to enrich over the years, of interesting topics in the econometrics-intense field of finance so I felt the need to incorporate it into my Ph.D. – which is a documentation of my work over the last years. I then start with a very brief teaser regarding finite sample properties of the classical skewness estimator and a robust alternative. This paves the way to the first paper in this thesis on Realized Skewness, Asymmetric Volatility and Risk Management which is co-authored with my supervisor and was influenced by my time spent in Amsterdam. The next paper, asymmetric dynamics in index volatility and constituent correlation was my first work after completing my M.Sc. in Quantitative Finance at Lancaster University on jump detection methodologies. It largely developed during the first period of my Ph.D.
with the great support of my supervisor and my thesis advisor. These two papers are linked by an overarching theme: the asymmetric effects of returns on future volatility and vice versa. The last chapter, co-authored with Cisil Sarisoy, developed more recently and concentrates on transformations of the covariance matrix, also known as the beta, in a noisy setting.