An alternative conditional asymmetry specification for stock returns
AbstractThe 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 almost symmetry. The conditional variance and skewness measures are negatively correlated.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 13 (2003)
Issue (Month): 7 ()
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Other versions of this item:
- Brännäs, Kurt & Nordman, Niklas, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," UmeÃ¥ Economic Studies 556, Umeå University, Department of Economics.
- Kurt Brännäs & Niklas Nordman, 2001. "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series 448, CESifo Group Munich.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- C. James Hueng, 2006. "Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 707-716.
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- Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
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