Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness

Journal of Empirical Finance

Volumn 12, Issue 5, 2005, Pages 666-685

  Hueng, C James ^a   McDonald, James B ^b  

^a WESTERN MICHIGAN UNIVERSITY   (United States)

^b BRIGHAM YOUNG UNIVERSITY   (United States)

Author keywords

Asymmetry; Autoregressive conditional density models; Differences of opinion; Skewed t distribution

Indexed keywords

EID: 27744452896     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2005.01.001     Document Type: Article

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