An alternative conditional asymmetry specification for stock returns

Media type: Book
Title: An alternative conditional asymmetry specification for stock returns
Contributor: Brännäs, Kurt [Author]; Nordman, Niklas [Other]
imprint: Munich: Univ., Center for Economic Studies, 2001
Published in: CESifo GmbH: CESifo working papers ; 448
Extent: 8 S.; graph. Darst
Language: English
RVK notation: QC 000 : Allgemeines
Keywords: Börsenkurs > Kapitalertrag > ARCH-Prozess > Wahrscheinlichkeitsverteilung
Origination:
Footnote: Literaturverz. S. 8
Internetausg.: ftp://129.187.96.124/CESifo_WP/448.pdf
Description: 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 almostsymmetry. The conditional variance and skewness measures are negatively correlated.

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