Conditional skewness modelling for stock returns

被引:26
|
作者
Brännäs, K [1 ]
Nordman, N [1 ]
机构
[1] Umea Univ, Dept Econ, SE-90187 Umea, Sweden
关键词
D O I
10.1080/1350485032000139015
中图分类号
F [经济];
学科分类号
02 ;
摘要
Two approaches to modelling conditional skewness in a nonlinear model for stock returns are studied. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and a Pearson IV specification with three 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.
引用
收藏
页码:725 / 728
页数:4
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