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Conditional skewness modelling 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 Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 10, no 11, 725-728 p.Article in journal (Refereed) Published
Abstract [en]

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.
National Category
Economics
Research subject
Econometrics
Identifiers
URN: urn:nbn:se:umu:diva-64757DOI: 10.1080/1350485032000139015OAI: oai:DiVA.org:umu-64757DiVA: diva2:602702
Note

Source: Scopus

Available from: 2013-02-02 Created: 2013-02-02 Last updated: 2017-12-06Bibliographically approved

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