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Grigoletto, Matteo and Lisi, Francesco (2006) Looking for skewness in financial time series. [Working Paper] WORKING PAPER SERIES, 7/2006 . , PADOVA (Inedito)

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Abstract (english)

In this paper marginal and conditional skewness of financial return time series is studied, by means of testing procedures and suitable models, for nine major international stock indexes. To analyze time-varying conditional skewness a new GARCH-type model with dynamic skewness and kurtosis is proposed. Results indicate that there are no evidences of marginal asymmetry in the nine series, but there are clear findings of significant time-varying conditional skewness. The economic significance of conditional skewness is analyzed and compared by considering Value-at-Risk, Expected Shortfall and Market Risk Capital Requirements set by the Basel Accord.

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EPrint type:Working Paper
Anno di Pubblicazione:December 2006
Key Words:GARCH models, skewness, conditional skewness, time-varying skewness, financial returns.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7094
Depositato il:09 Sep 2014 14:44
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