Conditional skewness modelling for stock returns

Applied Economics Letters

Volumn 10, Issue 11, 2003, Pages 725-728

  Brännäs, Kurt ^a   Nordman, Niklas ^a  

^a UMEÅ UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

MODELING; STOCK MARKET;

EID: 0344083362     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485032000139015     Document Type: Article

References (13)

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4. Brännäs, K. and Nordman, N. (2001) An alternative conditional asymmetry specification for stock returns, Applied Financial Economics, 13(7), 537-41.
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11. Premaratne, G. and Bera, A. K. (2000) Modeling asymmetry and excess kurtosis in stock return data. Working Paper 00-123, Department of Economics, University of Illinois, Champaign.
12. Prentice, R. L. (1974) A log gamma model and its maximum likelihood estimation, Biometrika, 61, 539-44.
13. Wecker, W. E. (1981) Asymmetric time series, Journal of the American Statistical Association, 76, 16-21.