Dynamics of Conditional Bivariate Distribution’s Shape Parameters: The Case of Central Europe Stock Market Returns

Ryszard Doman ()
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Ryszard Doman: Adam Mickiewicz University, Poznań, Poland

Chapter 6 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 85-100 from University of Lodz

Abstract: In Chapter 6 R. Doman allows for time-varying higher moments of conditional distribution of daily stock index returns in three Central European ex-change markets. He finds the estimated pair-wise co-skewness and co-kurtosis evolving non-trivially over 2001–2006 sample period.

Keywords: Stock market returns; Conditional bivariate distribution’s shape parameters; Time-varying higher moments of conditional distribution (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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