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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 556.
Length: 9 pages
Date of creation: 23 Apr 2001
Date of revision:
Publication status: Published in Applied Financial Economics , 2003, pages 537-541.
Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
More information through EDIRC
Time series; finance; nonlinearity; skewness; gamma; estimation; NYSE;
Other versions of this item:
- Kurt Brannas & Niklas Nordman, 2003. "An alternative conditional asymmetry specification for stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 13(7), pages 537-541.
- 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
- 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
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.:
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001.
"Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices,"
Journal of Financial Economics,
Elsevier, vol. 61(3), pages 345-381, September.
- Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc.
- Brännäs, Kurt & de Gooijer, Jan G., 2000.
"ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH,"
UmeÃ¥ Economic Studies
535, Umeå University, Department of Economics.
- Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
- Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute.
- Brunner, Allan D, 1992.
"Conditional Asymmetries in Real GNP: A Seminonparametric Approach,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(1), pages 65-72, January.
- Allan D. Brunner, 1990. "Conditional asymmetries in real GNP: a semi-nonparametric approach," Finance and Economics Discussion Series 140, Board of Governors of the Federal Reserve System (U.S.).
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
- Brännäs, Kurt & Soultanaeva, Albina, 2006. "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," UmeÃ¥ Economic Studies 696, Umeå University, Department of Economics.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Parameterizing unconditional skewness in models for financial time series,"
CREATES Research Papers
2008-07, School of Economics and Management, University of Aarhus.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 208-230, Spring.
- Changli He & Annastiina Silvennoinen & Timo Ter?svirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
- Kurt Brannas & Niklas Nordman, 2003.
"Conditional skewness modelling for stock returns,"
Applied Economics Letters,
Taylor and Francis Journals, vol. 10(11), pages 725-728.
- 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.
- C. James Hueng, 2006. "Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 16(10), pages 707-716.
- Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," UmeÃ¥ Economic Studies 614, Umeå University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kjell-Göran Holmberg).
If references are entirely missing, you can add them using this form.