EconPapers    
Economics at your fingertips  
 

Modelling multivariate skewness in financial returns: a SGARCH approach

Giovanni De Luca () and Nicola Loperfido ()

The European Journal of Finance, 2015, vol. 21, issue 13-14, 1113-1131

Abstract: Skewness of financial time series is a relevant topic, due to its implications for portfolio theory and for statistical inference. In the univariate case, its default measure is the third cumulant of the standardized random variable. It can be generalized to the third multivariate cumulant that is a matrix containing all centered moments of order three which can be obtained from a random vector. The present paper examines some properties of the third cumulant under the assumptions of the multivariate SGARCH model introduced by De Luca, Genton, and Loperfido [2006. A multivariate skew-GARCH model. Advances in Econometrics 20: 33-57]. In the first place, it allows for parsimonious modelling of multivariate skewness. In the second place, all its elements are either null or negative, consistently with previous empirical and theoretical findings. A numerical example with financial returns of France, Spain and Netherlands illustrates the theoretical results in the paper.

Date: 2015
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/1351847X.2011.640342 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:21:y:2015:i:13-14:p:1113-1131

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Series data maintained by Chris Longhurst ().

 
Page updated 2017-10-21
Handle: RePEc:taf:eurjfi:v:21:y:2015:i:13-14:p:1113-1131