The Impact of Conditional Skewness Assumption on the Relation between Risk and Return. Bayesian Analysis for WIG Data

Mateusz Pipień

Chapter 3 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 41-58 from University of Lodz

Abstract: In Chapter 3 Pipień considers the skewness of conditional distribution of stock returns as an alternative source of relationship between risk and return. The models measuring this relationship based on the transformation of beta distribution receive the greatest data support by Bayesian inference techniques.

Keywords: Conditional skewness; Relation between risk and return; Bayesian analysis; WIG Data (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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