An alternative conditional asymmetry specification for stock returns
2003 (English)In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 13, no 7, 537-541 p.Article in journal (Refereed) Published
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.
Place, publisher, year, edition, pages
2003. Vol. 13, no 7, 537-541 p.
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-64758DOI: 10.1080/0960310022000020889OAI: oai:DiVA.org:umu-64758DiVA: diva2:602701