An alternative conditional asymmetry specification for stock returns

Kurt Brännäs; Niklas Nordman

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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Year of publication:	2001
Authors:	Brännäs, Kurt ; Nordman, Niklas
Publisher:	München : CESifo
Subject:	Time series \| finance \| nonlinearity \| skewness \| gamma \| estimation \| NYSE \| Kapitaleinkommen \| Capital income \| Zeitreihenanalyse \| Time series analysis \| Statistische Verteilung \| Statistical distribution \| Schätzung \| Estimation \| Börsenkurs \| Share price \| ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory

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Extent:	Online-Ressource (8 S.) graph. Darst.
Series:	CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. 448
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: PDF Reader
Other identifiers:	hdl:10419/75827 [Handle]
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

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