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An alternative conditional asymmetry specification for stock returns
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
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
Abstract [en]

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.
National Category
Economics
Research subject
Econometrics
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URN: urn:nbn:se:umu:diva-64758DOI: 10.1080/0960310022000020889OAI: oai:DiVA.org:umu-64758DiVA: diva2:602701
Available from: 2013-02-02 Created: 2013-02-02 Last updated: 2017-12-06Bibliographically approved

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Brännäs, Kurt

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