A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
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More about this item
KeywordsConditional skewness; GARCH-in-Mean; Risk-return tradeoff;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2004-10-30 (Econometrics)
- NEP-ETS-2004-10-30 (Econometric Time Series)
- NEP-RMG-2004-10-30 (Risk Management)
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