He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - Finance Discipline Group, Business School - 2005
In this paper we consider the third-moment structure of a class of nonlinear time series models. Empirically it is often found that the marginal distribution of financial time series is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...