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An Alternative Conditional Asymmetry Specification for Stock Returns

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Author Info

  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå University)

  • Nordman, Niklas

    ()
    (Department of Economics, Umeå University)

Abstract

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 almost symmetry. The conditional variance and skewness measures are negatively correlated.

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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 556.

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Length: 9 pages
Date of creation: 23 Apr 2001
Date of revision:
Publication status: Published in Applied Financial Economics , 2003, pages 537-541.
Handle: RePEc:hhs:umnees:0556

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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Keywords: Time series; finance; nonlinearity; skewness; gamma; estimation; NYSE;

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References

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  1. 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.
  2. 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.
  3. 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.
  4. Allan D. Brunner, 1990. "Conditional asymmetries in real GNP: a semi-nonparametric approach," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 140, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 169, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Kurt Brannas & Niklas Nordman, 2003. "Conditional skewness modelling for stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 725-728.
  3. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(1), pages 72-83.
  4. Brännäs, Kurt & Soultanaeva, Albina, 2006. "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," Umeå Economic Studies 696, Umeå University, Department of Economics.
  5. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," Umeå Economic Studies 614, Umeå University, Department of Economics.
  6. 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.
  7. C. James Hueng, 2006. "Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(10), pages 707-716.

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