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

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Year of publication:	[2003]
Authors:	Brannas, Kurt
Other Persons:	Nordman, Niklas (contributor)
Publisher:	[2003]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Applied Financial Economics, Vol. 13, pp. 537-541, 2003 Volltext nicht verfügbar
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

Persistent link: https://www.econbiz.de/10012786446