English, Article edition: Looking for skewness in financial time series Matteo Grigoletto; Francesco Lisi

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/107110
Physical Description
  • article
Language
  • English

Edition details

Title
  • Looking for skewness in financial time series
Author
  • Matteo Grigoletto
  • Francesco Lisi
Physical Description
  • article
Notes
  • 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. Copyright © 2009 The Author(s). Journal compilation © Royal Economic Society 2009
  • RePEc:ect:emjrnl:v:12:y:2009:i:2:p:310-323
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment