Estimating skewness persistence in market returns

The conditional returns series for mutual funds and the S&P 500 are analysed to test whether there is persistence in skewness. Three groups of statistical models of market volatility are estimated over the period September 1988 to April 1993 and the empirical evidence provides valuable insights into the skewness persistence.

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Year of publication:	1997
Authors:	Sengupta, Jati ; Zheng, Yijuan
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 7.1997, 5, p. 549-558
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009206733