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- Title
Looking for skewness in financial time series.
- Authors
GRIGOLETTO, MATTEO; LISI, FRANCESCO
- Abstract
In this paper, we study marginal and conditional skewness in financial returns for nine time series of major international stock indices. For this purpose, we develop a new variant of the GARCH model with dynamic skewness and kurtosis. Our empirical results indicate that there is no evidence of marginal asymmetry in the nine time series under consideration. We do however find significant time-varying conditional skewness. The economic significance of conditional skewness is analysed in terms of Value-at-Risk measures and Market Risk Capital Requirements set by the Basel Accord.
- Subjects
STOCKS (Finance); ECONOMETRICS; ANALYSIS of variance; MATHEMATICAL models; CAPITAL requirements
- Publication
Econometrics Journal, 2009, Vol 12, Issue 2, p310
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2009.00281.x