How should we interpret evidence of time varying conditional skewness?

• المؤلفون الرئيسيون: PREMARATNE, Gamini, TAY, Anthony S.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2002
• الموضوعات: Conditional skewness; Runs test; ARCD model; Hansen t; heteroskewness; heterokurtosis; third moments; time-varying higher moments; Econometrics
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...