Conditional skewness modelling for stock returns
2003 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 10, no 11, 725-728 p.Article in journal (Refereed) Published
Two approaches to modelling conditional skewness in a nonlinear model for stock returns are studied. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and a Pearson IV specification with three parameters are better supported by data. While the log-generalized gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV model suggests that excess kurtosis rather than skewness should be accounted for.
Place, publisher, year, edition, pages
2003. Vol. 10, no 11, 725-728 p.
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-64757DOI: 10.1080/1350485032000139015OAI: oai:DiVA.org:umu-64757DiVA: diva2:602702
Source: Scopus2013-02-022013-02-022013-02-12Bibliographically approved