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...

This paper is concerned with univariate noncausal autoregressive models and their potential usefulness in economic applications. In these models, future errors are predictable, indicating that they can be used to empirically approach rational expectations models with nonfundamental solutions. In...