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Looking for skewness in financial time series

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Author Info
Matteo Grigoletto
Francesco Lisi

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Abstract

In this paper, we study marginal and conditional skewness in financial returns for nine time series of major international stock indices. For this purpose, we develop a new variant of the GARCH model with dynamic skewness and kurtosis. Our empirical results indicate that there is no evidence of marginal asymmetry in the nine time series under consideration. We do however find significant time-varying conditional skewness. The economic significance of conditional skewness is analysed in terms of Value-at-Risk measures and Market Risk Capital Requirements set by the Basel Accord. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2009.00281.x
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Publisher Info
Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): 2 (07)
Pages: 310-323
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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:2:p:310-323

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This page was last updated on 2009-12-24.

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