Umeå Economic Studies, Department of Economics, Umeå University
No 562:
Conditional Skewness Modelling for Stock Returns
Kurt Brännäs ()
and Niklas Nordman ()
Abstract: The paper studies two approaches to modelling conditional
skewness in a nonlinear model for stock returns. It is found that a normal
distribution can be rejected. A log-generalized gamma distribution with one
time-varying density parameter, and in particular a Pearson IV
specification with three constant parameters are better supported by data.
While the log-generalized gamma indicates that time-varying skewness is an
important feature of the daily composite returns of NYSE, the Pearson IV
model suggests that excess kurtosis rather than skewness should be
accounted for.
Keywords: Time series; nonlinearity; Pearson IV; log-generalized gamma; NYSE; (follow links to similar papers)
JEL-Codes: C22; C51; C52; C53; G14; (follow links to similar papers)
18 pages, June 1, 2001
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- This paper is published as:
-
Brännäs, Kurt and Niklas Nordman, (2003), 'Conditional Skewness Modelling for Stock Returns', Applied Economics Letters, Vol. 10, pages 725-728
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