Arbeitspapier
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 GARCH-type 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.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2013-32
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Subject
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Econometric and statistical methods
- Event
-
Geistige Schöpfung
- (who)
-
Feunou, Bruno
Jahan-Parvar, Mohammad R.
Tédongap, Roméo
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2013
- DOI
-
doi:10.34989/swp-2013-32
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Feunou, Bruno
- Jahan-Parvar, Mohammad R.
- Tédongap, Roméo
- Bank of Canada
Time of origin
- 2013
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