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An alternative cond...
An alternative conditional asymmetry specification 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)
- Informa UK Limited, 2003
- 2003
- Engelska.
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Ingår i: Applied Financial Economics. - : Informa UK Limited. - 0960-3107 .- 1466-4305. ; 13:7, s. 537-541
- Relaterad länk:
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https://www.cesifo.o...
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visa fler...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- 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 negatively correlated.
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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