A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
Year of publication: |
2004-08-11
|
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Authors: | Saikkonen, Pentti ; Lanne, Markku |
Institutions: | Econometric Society |
Subject: | Conditional skewness | GARCH-in-Mean | Risk-return tradeoff |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society North American Summer Meetings 2004 Number 469 |
Classification: | C22 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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