Looking for skewness in financial time series
寻找金融时间序列中的偏度
In this paper, we study marginal and conditional skewness in financial returns for nine time series of major international stock indices. For this purpose, we develop a new variant of the GARCH model with dynamic skewness and kurtosis. Our empirical results indicate that there is no evidence of marginal asymmetry in the nine time series under consideration. We do however find significant time-varying conditional skewness. The economic significance of conditional skewness is…