Conditional Skewness Modelling for Stock Returns
AbstractThe paper studies two approaches to modelling conditional skewness in a nonlinear model for stock returns. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and in particular a Pearson IV specification with three constant parameters are better supported by data. While the log-generalized gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV model suggests that excess kurtosis rather than skewness should be accounted for.
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Bibliographic InfoPaper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 562.
Length: 18 pages
Date of creation: 01 Jun 2001
Date of revision:
Publication status: Published in Applied Economics Letters , 2003, pages 725-728.
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; nonlinearity; Pearson IV; log-generalized gamma; NYSE;
Other versions of this item:
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-06-08 (All new papers)
- NEP-ECM-2001-06-08 (Econometrics)
- NEP-FIN-2001-06-08 (Finance)
- NEP-FMK-2001-06-08 (Financial Markets)
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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UmeÃ¥ Economic Studies
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