An Alternative Conditional Asymmetry Specification for Stock Returns

Kurt Braennaes () and Niklas Nordman
Authors registered in the RePEc Author Service: Kurt Brännäs ()

No CESifo Working Paper No. 448, CESifo Working Paper Series from CESifo Group Munich

Abstract: 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.

Keywords: Time series; finance; nonlinearity; skewness; gamma; estimation; NYSE (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 C53 G14 (search for similar items in EconPapers)
Date: 2001
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Related works:
Working Paper: An Alternative Conditional Asymmetry Specification for Stock Returns (2001)
Journal Article: An alternative conditional asymmetry specification for stock returns (2003)
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