Saikkonen, Pentti; Lanne, Markku - Econometric Society - 2004
capable of modeling moderate skewness and kurtosis typically encountered in financial return series, and the need to allow for … skewness can be readily tested. We apply the new GARCH-M model to study the relationship between risk and return in monthly … postwar U.S. stock market data. Our results indicate the presence of conditional skewness in U.S. stock returns, and, in …