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Conditional skewnes...
Conditional skewness modelling for stock returns
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- Brännäs, Kurt (författare)
- Umeå universitet,Nationalekonomi
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- Nordman, Niklas (författare)
- Umeå universitet,Nationalekonomi
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(creator_code:org_t)
- 2010-06-04
- 2003
- Engelska.
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 10:11, s. 725-728
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- Two approaches to modelling conditional skewness in a nonlinear model for stock returns are studied. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and a Pearson IV specification with three parameters are better supported by data. While the log-generalized gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV model suggests that excess kurtosis rather than skewness should be accounted for.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Econometrics
- Ekonometri
- Econometrics
- ekonometri
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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