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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - In: Applied financial economics 13 (2003) 7, pp. 537-541
Persistent link: https://www.econbiz.de/10001770785
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Conditional skewness modelling for stock returns
Brännäs, Kurt; Nordman, Niklas - In: Applied economics letters 10 (2003) 11, pp. 725-728
Persistent link: https://www.econbiz.de/10001820302
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Tourist accommodation effects of festivals
Brännäs, Kurt (contributor); Nordström, Jonas (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001730681
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Conditional heteroskedasticity in count data regression : self-feeding activity in fish
Brännäs, Kurt (contributor); Brännäs, Eva (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001730798
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Value at Risk and Expected Shortfall for large portfolios
Lönnbark, Carl; Holmberg, Ulf; Brännäs, Kurt - In: Finance research letters 8 (2011) 2, pp. 59-68
Persistent link: https://www.econbiz.de/10009301309
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
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...
Persistent link: https://www.econbiz.de/10011398115
Cover Image
An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt - 2001
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...
Persistent link: https://www.econbiz.de/10014460986