401
Views
26
CrossRef citations to date
0
Altmetric
Original Articles

Modelling multivariate skewness in financial returns: a SGARCH approach

&
Pages 1113-1131 | Received 18 Dec 2010, Accepted 09 Nov 2011, Published online: 06 Feb 2012

REFERENCES

  • Adcock, C.J. 2004. Capital asset pricing for UK stocks under the multivariate skew-normal distribution. In Skew-elliptical distributions and their applications: A journey beyond normality, ed. M.G. Genton. Boca Raton, 191–204, FL: Chapman & Hall/CRC.
  • Adcock, C.J. 2007. Extensions of Stein's lemma for the skew-normal distribution. Communications in Statistics – Theory and Methods 36, no. 9: 1661–71.
  • Adcock, C.J., and K. Shutes. 2001. Portfolio selection based on the multivariate skew normal distribution. In Financial modelling, ed. A. Skulimowski, 167–77. Krakow: Progress & Business Publishers.
  • Arnold, B.C., and R.J. Beaver. 2000. Hidden truncation models. Sankhya, Series A 62, no. 1: 22–35.
  • Azzalini, A., and A. Dalla Valle. 1996. The multivariate skew-normal distribution. Biometrika 83, no. 4: 715–26.
  • Bai, J., and S. Ng. 2005. Test for skewness, kurtosis and normality for time series data. Journal of Business and Economic Statistics 23, no. 1: 49–60.
  • Badrinath, S.G., and S. Chatterjee. 1988. On measuring skewness and elongation in common stock return distributions: The case of the market index. Journal of Business 61, no. 4: 451–72.
  • Bera, A., and G. Premaratn. 2001. Adjusting the tests for skewness and kurtosis for distributional misspecifications. Working Paper no. 01-0117, Department of Economics, University of Illinois.
  • Bollerslev, T. 1990. Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics 72, no. 3: 498–505.
  • Branco, M.D., and D.K. Dey. 2001. A general class of skew-elliptical distributions. Journal of Multivariate Analysis 79, no. 1: 99–113.
  • Brown, K.C., W.V. Harlow, and S.M. Tinic. 1988. Risk aversion, uncertain information, and market efficiency. Journal of Financial Economics 22, no. 2: 355–85.
  • Campbell, J.Y., and L. Hentschel. 1992. No news is a good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, no. 3: 281–18.
  • Chambers, J.M., W.S. Cleveland, B. Kleiner, and P.A. Tukey. 1983. Graphical methods for data analysis. Boston: Wadsworth International Group (Belmont) and Duxbury Press.
  • Christie, A. 1982. The stochastic behavior of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics 10, no. 4: 407–32.
  • Chunhachindaa, P., K. Dandapanib, S. Hamidb, and A.J. Prakash. 1997. Portfolio selection and skewness: Evidence from international stock markets. Journal of Banking & Finance 21, no. 2: 143–67.
  • Cont, R. 2001. Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance 1, no. 2: 223–36.
  • Davis, A.W. 1982. On the distribution of Hotelling's one-sample T2 under moderate non-normality. Journal of Applied Probability 19, no. 1: 207–16.
  • De Luca, G., M. Genton, and N. Loperfido. 2006. A multivariate skew-GARCH model. Advances in Econometrics 20 (Part A): 33–57.
  • De Luca, G., and N. Loperfido. 2004. A skew-in-mean GARCH model. In Skew-elliptical distributions and their applications: A journey beyond normality, ed. M.G. Genton 205–22. Boca Raton, FL: Chapman & Hall/CRC.
  • Engle, R.F., and A.J. Patton. 2001. What good is a volatility model? Quantitative Finance 1, no. 2: 237–45.
  • Eun, C.S., and S. Shim. 1989. International transmission of stock markets movements. Journal of Financial and Quantitative Analysis 24, no. 2: 241–56.
  • Franceschini, C., and N. Loperfido. 2010. A skewed GARCH-type model for multivariate financial time series. In Mathematical and statistical methods for actuarial sciences and finance, ed. M. Corazza and C. Pizzi, 143–52. Dordrecht: Springer.
  • French, K.R., W.G. Schwert, and R.F. Stambaugh. 1987. Expected stock returns and volatility. Journal of Financial Economics 19, no. 1: 3–29.
  • Genton, M.G., L. He, and X. Liu. 2001. Moments of skew-normal random vectors and their quadratic forms. Statistics and Probability Letters 51, no. 4: 319–25.
  • Hansen, B.E. 1994. Autoregressive conditional density estimation. International Economic Review 35, no. 3: 705–30.
  • Harvey, C.R., J.C. Liechty, M.W. Liechty, and P. Müller. 2002. Portfolio selection with higher moments. Working Paper, Duke University Durham.
  • Harvey, C.R., and A. Siddique. 1999. Autoregressive conditional skewness. Journal Financial and Quantitative Analysis 34, no. 4: 465–87.
  • Harvey, C.R., and A. Siddique. 2000. Conditional skewness in asset pricing tests. Journal of Finance 55, no. 3: 1263–95.
  • Hashmi, A.R., and A.S. Tsay. 2007. Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness. Journal of International Money and Finance 26, no. 3: 430–53.
  • Jondeau, E., and M. Rockinger. 2006. Optimal portfolio allocation under higher moments. European Financial Management 12, no. 1: 29–55.
  • Kim, H.M., and B.K. Mallick. 2003. Moments of random vectors with skew t distribution and their quadratic forms. Statistics and Probability Letters 63, no. 4: 417–23.
  • Kim, H.M., and B.K. Mallick. 2009. Corrigendum to ‘Moments of random vectors with skew t distribution and their quadratic forms’. Statistics and Probability Letters 79, no. 19: 2098–99.
  • Kim, T.H., and A. White. 2004. On more robust estimation of skewness and kurtosis. Finance Research Letters 1, no. 1: 56–73.
  • Koch, P.D., and T.W. Koch. 1991. Evolution in dynamic linkages across daily national stock indexes. Journal of International Money and Finance 10, no. 2: 231–51.
  • Kollo, T. 2008. Multivariate skewness and kurtosis measures with an application in ICA. Journal of Multivariate Analysis 99, no. 10: 2328–38.
  • Kollo, T., and D. von Rosen. 2005. Advanced multivariate statistics with matrices. Dordrecht: Springer.
  • Kraus, A., and R.H. Litzenberger. 1976. Skewness preference and the valuation of risk assets. Journal of Finance 31, no. 4: 1085–100.
  • Lisi, F. 2007. Testing asymmetry in financial time series. Quantitative Finance 7, no. 6: 687–96.
  • Malkovich, J.F., and A.A. Afifi. 1973. On tests for multivariate normality. Journal of the American Statistical Association 68, no. 341: 176–79.
  • Mardia, K.V. 1970. Measures of multivariate skewness and kurtosis with applications. Biometrika 57, no. 3: 519–30.
  • Mardia, K.V., J.T. Kent, and J.M. Bibby. 1979. Multivariate analysis. London: Academic Press.
  • Menciá, J., and E. Sentana. 2009. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation. Journal of Econometrics 153, no. 2: 105–21.
  • Mòri, T.F., V.K. Rohatgi, and G.J. Székely. 1993. On multivariate skewness and kurtosis. Theory of Probability and Its Applications 38, no. 3: 547–51.
  • Muirhead, R.J. 1982. Aspects of multivariate statistical theory. New York: John Wiley & Sons.
  • Ortega, J.M. 1987. Matrix theory: A second course. New York: Plenum Press.
  • Peiró, A. 1999. Skewness in financial returns. Journal of Banking & Finance 23, no. 6: 847–62.
  • Peirò, A. 2004. Asymmetries and tails in stock index returns: Are their distributions really asymmetric? Quantitative Finance 4, no. 1: 37–44.
  • Schwert, G.W. 1989. Why does stock market volatility change over time? Journal of Finance 44, no. 5: 1115–53.
  • Serfling, R.J. 2006. Multivariate symmetry and asymmetry. In Encyclopedia of statistical sciences, 2nd ed., ed. S. Kotz, C.B. Read, N. Balakrishnan and B. Vidakovic, 5338–45. New York: Wiley.
  • Simaan, Y. 1993. Portfolio selection and asset pricing-three parameter framework. Management Science 39, no. 5: 568–87.
  • Zuo, Y., and R. Serfling. 2000. On the performance of some robust nonparametric location measures relative to a general notion of multivariate symmetry. Journal of Statistical Planning and Inference 84, nos. 1–2: 55–79.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.