propose a conditionally heteroskedastic factor model that takes into account the presence of both the conditional skewness and … dynamic conditional skewness and leverage with a sharp efficiency gain resulting from accounting for both effects. The … findings of Harvey and Siddique (1999) and Jondeau and Rockinger (2003), namely that accounting for conditional skewness …

empirical application on a basket of daily returns reveals that financial data often present dynamics in the conditional … skewness. …

In this paper we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on … than no news at all. Moreover, the symmetric GARCH-M model not allowing for conditional skewness is found to systematically … series. The need to allow for skewness can also be readily tested. Our empirical results indicate the presence of conditional …

stock indices—five indices each from developed and emerging markets. The conditional skewness process is specified as both …

Poor 500 index. An analysis for the conditional skewness and kurtosis implied by the process is also presented in the paper …

postwar U.S. stock market data. Our results indicate the presence of conditional skewness in U.S. stock returns, and, in … uncovered, once an appropriate probability distribution is employed to allow for conditional skewness …

In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on … effect in that conditional skewness is dependent on conditional variance. Compared to previously presented GARCH models … allowing for conditional skewness, the model is analytically tractable, parsimonious and facilitates straightforward …