SKEWNESS AND COSKEWNESS DYNAMICS FOR THE ROMANIAN STOCK MARKET
Radu Lupu () and
Adrian Cantemir Calin
Internal Auditing and Risk Management, 2015, vol. 40, issue 1, 1-18
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)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://aimr.univath.ro/en/article/SKEWNESS-AND-COS ... OCK-MARKET~1039.html (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ath:journl:v:40:y:2015:i:1:p:1-18
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 .