Cheng, Ai-Ru; Jahan-Parvar, Mohammad R. - In: Emerging Markets Review 18 (2014) C, pp. 123-140
sampling (MIDAS), as well as binormal GARCH (BiN-GARCH) model which allows for non-zero conditional skewness in returns. Our … findings imply that the BiN-GARCH model, which allows for time-variation in the conditional skewness and market price of risk … skewness models such as MIDAS or GARCH variants fail to capture positive and statistically significant market price of risk …