An Alternative Conditional Asymmetry Specification for Stock Returns
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.
|Date of creation:||2001|
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- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001.
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Elsevier, vol. 61(3), pages 345-381, September.
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- 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.).
- 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.
- 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.
- 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.
- Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," Umeå Economic Studies 535, Umeå University, Department of Economics.
- 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.
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