Economics at your fingertips  


Radu Lupu () and Adrian Cantemir Calin

Internal Auditing and Risk Management, 2015, vol. 40, issue 1, 1-18

Abstract: We are using a conditional skewness and coskewness model for the log-returns on the most liquid Romanian stocks in order to identify the individual and common asymmetries for the period between January 2010 and September 2015. A Markov switching analysis for all the series revealed the moments when the coskewness coefficient for the theoretical portfolio changed regimes and also the moments when the individual skewness coefficients switched their levels simultaneously. We provide a comment on these changes and their possible implications for risk management and direction of change

Keywords: skewness; coskewness; Markov switching (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) ... OCK-MARKET~1039.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Internal Auditing and Risk Management is currently edited by Emilia Vasile

More articles in Internal Auditing and Risk Management from Athenaeum University of Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Cosmin Catalin Olteanu and Emilia Vasile (). This e-mail address is bad, please contact .

Page updated 2019-06-16
Handle: RePEc:ath:journl:v:40:y:2015:i:1:p:1-18