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
We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall...
Abstract. In this paper, we suggest and evaluate specification tests to test the validity of the con...
Skewness-based proxies are widely used in accounting and finance research. To study how the skewness...
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility...
We present the results of an application of Bayesian inference in testing the relation between risk ...
This paper examines the problem of evaluating the presence of asymmetry in the marginal distribution...
We present the results of an application of Bayesian inference in testing the relation between risk ...
In this paper marginal and conditional skewness of financial return time series is studied, by means...
Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrel...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrel...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
Abstract: Traditional tests for conditional heteroscedasticity are based on testing for signicant au...
We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall...
We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall...
Abstract. In this paper, we suggest and evaluate specification tests to test the validity of the con...
Skewness-based proxies are widely used in accounting and finance research. To study how the skewness...
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility...
We present the results of an application of Bayesian inference in testing the relation between risk ...
This paper examines the problem of evaluating the presence of asymmetry in the marginal distribution...
We present the results of an application of Bayesian inference in testing the relation between risk ...
In this paper marginal and conditional skewness of financial return time series is studied, by means...
Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrel...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
Traditional tests for conditional heteroscedasticity are based on testing for significant autocorrel...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. ...
Abstract: Traditional tests for conditional heteroscedasticity are based on testing for signicant au...
We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall...
We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall...
Abstract. In this paper, we suggest and evaluate specification tests to test the validity of the con...
Skewness-based proxies are widely used in accounting and finance research. To study how the skewness...