Feunou, Bruno; Tédongap, Roméo - In: Journal of Business & Economic Statistics 30 (2012) 4, pp. 576-591
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...