IDEAS home Printed from https://ideas.repec.org/a/mtn/ancoec/100303.html
   My bibliography  Save this article

Modelling conditional heteroskedasticity and skewness using the skew-normal distribution

Author

Listed:
  • Thomas R. Allen Corns
  • Stephen E. Satchell

Abstract

No abstract is available for this item.

Suggested Citation

  • Thomas R. Allen Corns & Stephen E. Satchell, 2010. "Modelling conditional heteroskedasticity and skewness using the skew-normal distribution," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilit√† e Statistiche Applicate - University of Rome, vol. 0(3), pages 251-263.
  • Handle: RePEc:mtn:ancoec:100303
    as

    Download full text from publisher

    File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2010-3-3.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 195-202.
    2. Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
    3. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
    4. Arellano-Valle, Reinaldo B. & Genton, Marc G., 2005. "On fundamental skew distributions," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 93-116, September.
    5. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
    6. 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.
    7. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.
    8. Scott, Robert C & Horvath, Philip A, 1980. " On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-919, September.
    9. Marc Genton & Nicola Loperfido, 2005. "Generalized skew-elliptical distributions and their quadratic forms," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(2), pages 389-401, June.
    10. Aigner, Dennis & Lovell, C. A. Knox & Schmidt, Peter, 1977. "Formulation and estimation of stochastic frontier production function models," Journal of Econometrics, Elsevier, vol. 6(1), pages 21-37, July.
    11. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew "t"-distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun, 2014. "High-order moments and extreme value approach for value-at-risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 421-434.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mtn:ancoec:100303. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alessio Farcomeni). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.