Search Results - subject:"conditional skewness"

Is volatility spillover enough for investor decisions? : a new viewpoint from higher moments

He, Xie; Hamori, Shigeyuki - In: Journal of international money and finance 116 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013206923

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures

Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265

Persistent link: https://www.econbiz.de/10012216958

Modelling conditional skewness : Heterogeneous beliefs, short sale restrictions and market declines

Shum, Wai Yan - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012659587

Which parametric model for conditional skewness?

Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tédongap, Roméo - In: The European journal of finance 22 (2016) 13/15, pp. 1237-1271

Persistent link: https://www.econbiz.de/10011715405

Uncovering the skewness news impact curve

Anatolyev, Stanislav; Petukhov, Anton - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 746-771

Persistent link: https://www.econbiz.de/10011623864

Conditional Skewness of Aggregate Market Returns

Charoenrook, Anchada; Daouk, Hazem - Charles H. Dyson School of Applied Economics and … - 2009

paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic … uncertainty theory (Veronesi, 1999) are not driving the predictability of conditional skewness at the market level. The relation …

Persistent link: https://www.econbiz.de/10004979527

Bad environments, good environments: A non-Gaussian asymmetric volatility model

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of Econometrics 186 (2015) 1, pp. 258-275

We propose an extension of standard asymmetric volatility models in the generalized autoregressive conditional heteroskedasticity (GARCH) class that admits conditional non-Gaussianities in a tractable fashion. Our “bad environment–good environment” (BEGE) model utilizes two...

Persistent link: https://www.econbiz.de/10011209276

Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution

Belhachemi, Rachid; Rostan, Pierre; Racicot, François-Éric - In: Applied economics 47 (2015) 49/51, pp. 5461-5475

Persistent link: https://www.econbiz.de/10011341770

Unfolded GARCH models

Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217

Persistent link: https://www.econbiz.de/10011574655

Bad environments, good environments : a non-Gaussian asymmetric volatility model

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of econometrics 186 (2015) 1, pp. 258-275

Persistent link: https://www.econbiz.de/10011349501