Liu, Xiaochun - Volkswirtschaftliche Fakultät, … - 2011
This paper models time-varying skewness for financial return dynamics. We decompose nancial returns into the product of … estimate the dynamic nonlinear dependence between absolute returns and signs, which governs time- varying skewness for out …-down approach. Beyond the pure statistical sense, we find that the forecasts of time-varying skewness trace closely to NBER …