Bonanno, Graziella; Giovanni, Domenico De; Domma, Filippo - Dipartimento di Scienze Economiche, Statistiche e … - 2015
and flexible specification of the SF model, introducing dependence between the two error components and asymmetry …) the structure of dependence between the error components. This decomposition suggests that the “wrong skewness” anomaly is … displays wrong skewness, estimation of our model rejects the dependence hypothesis, but accepts the asymmetry of the random …
