Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/75827 
Year of Publication: 
2001
Series/Report no.: 
CESifo Working Paper No. 448
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.
Subjects: 
Time series
finance
nonlinearity
skewness
gamma
estimation
NYSE
Document Type: 
Working Paper
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