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An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …

Persistent link: https://www.econbiz.de/10011398115

Expected skewness and momentum

Jacobs, Heiko; Regele, Tobias; Weber, Martin - 2015

Persistent link: https://www.econbiz.de/10011289238

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434

Persistent link: https://www.econbiz.de/10011298962

Higher moments and beta asymmetry : evidence from Australia

Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807

Persistent link: https://www.econbiz.de/10011348087

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120