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| Tekijä: | Lanne, M. Saikkonen, P. |
| Otsikko: | Modeling conditional skewness in stock returns |
| Lehti: | European Journal of Finance
2007 : OCT/DEC, VOL. 13:7-8, p. 691-704 |
| Asiasana: | finance stock returns assets pricing models |
| Kieli: | eng |
| Tiivistelmä: | This paper proposes a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness (hereafter as: c-skws). The model is consistent with the volatility feedback effect in that c-skws. depends on conditional variance. Compared to previously presented GARCH models allowing for conditional skewness, the model is analytically tractable etc. The empirical results indicate the presence of c-skws. in the monthly postwar U.S. stock returns. There is also reported on more results. |
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