How should we interpret evidence of time varying conditional skewness?

How should we interpret evidence of time varying conditional skewness?

Several recent articles report evidence of predictability in the skewness of equity returns, raising hopes that predictability in third moments will be useful for forecasting the probability of tail events. The evidence is unfortunately difficult to interpret, partly because they were obtained mainl...

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Bibliographic Details
Main Authors: PREMARATNE, Gamini, TAY, Anthony S.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
Subjects:
Conditional skewness
Runs test
ARCD model
Hansen t
heteroskewness
heterokurtosis
third moments
time-varying higher moments
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1903
https://ink.library.smu.edu.sg/context/soe_research/article/2902/viewcontent/SOEHow_should_we_interpret_evidence_of_time_varying_conditional_skewness.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1903
https://ink.library.smu.edu.sg/context/soe_research/article/2902/viewcontent/SOEHow_should_we_interpret_evidence_of_time_varying_conditional_skewness.pdf

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