The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...