Lanne, Markku; Pentti, Saikkonen - In: The European Journal of Finance 13 (2007) 8, pp. 691-704
In this paper, we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling skewness and kurtosis of the size typically encountered in stock return series. The need to allow for skewness can also be...