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A Two-Regime Threshold Model with Conditional Skewed Student t Distributions for Stock Returns
Year Of Publication: 2013
Month Of Publication: May
Resource Link: Click here to open
Pages: 15
Download Count: 0
View Count: 1395
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-31-2014
Publisher: Administrator
Summary
This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t distribution within each regime: the model allows to capture time variation in the conditional distribution of returns, as well as higher order moments. An application of the model to daily U.S. stock returns illustrates the advantages of the proposed model in comparison to alternative specifications: the model performs well in terms of in-sample fit; it more accurately estimates the conditional volatility; and it produces useful risk assessment as measured by the term structure of value at risk.
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This document is published in Economic Modelling (December 2014), 9-20. http://dx.doi.org/10.1016/j.econmod.2014.07.032
Author(s)
Massacci, Daniele Sign in to follow this author
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