Anmerkungen:
Literaturverz. S. 8
Internetausg.: ftp://129.187.96.124/CESifo_WP/448.pdf
Beschreibung:
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.