An Alternative Conditional Asymmetry Specification for Stock Returns

Kurt Brännäs () and Niklas Nordman

No 448, CESifo Working Paper Series from CESifo

Abstract: The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.

Keywords: Time series; finance; nonlinearity; skewness; gamma; estimation; NYSE (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: An alternative conditional asymmetry specification for stock returns (2003)
Working Paper: An Alternative Conditional Asymmetry Specification for Stock Returns (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_448

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