This paper extends the results in He et al. (2008) and Francq and Zakoian (2010) by obtaining the moments and some cross-moments of the unconditional distribution of the TGARCH(1,1) model under different specifications of the conditional mean. We find analytical expressions for the unconditional...

In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for symmetry with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier...

In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for symmetry with those based on the implied unconditional skewness in a TGARCH model with Gram-Charlier...

In this paper we estimate the skewness of the marginal distribution of energy returns and test its statistical significance. We use traditional tests of symmetry but we also estimate a TGARCH model assuming a Gram-Charlier distribution for the innovations. Our results show that crude oil (Brent...