Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244478 
Year of Publication: 
2012
Series/Report no.: 
Working Paper No. 4/2012
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to explore the applicability and the capabilities of the proposed testing procedure.
Subjects: 
ARCH /GARCH model
kurtosis
NoVaS
skewness
JEL: 
C01
C12
C15
Document Type: 
Working Paper

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