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2024-03-28T08:47:35+00:00
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Which Parametric Model for Conditional Skewness?
https://www.bankofcanada.ca/2013/09/working-paper-2013-32/
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.
2013-09-06T09:08:40+00:00
en
Which Parametric Model for Conditional Skewness?
2013-09-06
Econometric and statistical methods
Working Paper 2013-32
https://www.bankofcanada.ca/wp-content/uploads/2013/09/wp2013-32.pdf
Which Parametric Model for Conditional Skewness?
Bruno Feunou
Mohammad R. Jahan-Parvar
Roméo Tedongap
September 2013
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