哪种参数模型适合条件偏度

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2016-10-20 DOI:10.2139/SSRN.968091

Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tédongap

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引用次数: 24

摘要

本文解决了发展中文献中关于条件偏度的现有差距。我们开发了一个简单的程序来评估参数条件偏度模型。该过程基于对模型隐含条件偏度值的实现偏度度量的回归。我们发现，具有偏斜广义误差分布的形状参数的非对称广义自回归条件异方差规范提供了数据的最佳样本内拟合，以及对实现偏度度量的合理预测。我们的实证研究结果表明，在条件不对称和峰度过程中，积极和消极新闻都具有显著的不对称性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Which Parametric Model for Conditional Skewness

This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes.

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.