Parameterizing unconditional skewness in models for financial time series

Journal of Financial Econometrics

Volumn 6, Issue 2, 2008, Pages 208-230

  He, Changli ^a   Silvennoinen, Annastiina ^b   Teräsvirta, Timo ^c  

^a SOUTHWESTERN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^c AARHUS UNIVERSITY   (Denmark)

Author keywords

Asymmetry; GARCH; Nonlinearity; Shock impact curve; Time series; Unconditional skewness

Indexed keywords

EID: 41049098267     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn002     Document Type: Article

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