Umeå Economic Studies, Department of Economics, Umeå University
No 556:
An Alternative Conditional Asymmetry Specification for Stock Returns
Kurt Brännäs ()
and Niklas Nordman ()
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; (follow links to similar papers)
JEL-Codes: C22; C51; C52; C53; G14; (follow links to similar papers)
9 pages, April 23, 2001
Download Statistics
- This paper is published as:
-
Brännäs, Kurt and Niklas Nordman, (2003), 'An Alternative Conditional Asymmetry Specification for Stock Returns', Applied Financial Economics, Vol. 13, pages 537-541
Questions (including download problems) about the papers in this series should be directed to Kjell-Göran Holmberg ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
