Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10661"
  #_source: array:26 [
    "id" => "10661"
    "slug" => "which-parametric-model-for-conditional-skewness"
    "yearMonth" => "2016-11"
    "year" => "2016"
    "title" => "Which Parametric Model for Conditional Skewness?"
    "description" => "FEUNOU, B., JAHAN-PARVAR, M. et TÉDONGAP, R. (2016). Which Parametric Model for Conditional Skewness? <i>The European Journal of Finance</i>, 22(13), pp. 1237-1271."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "TÉDONGAP Roméo"
        "bid" => "B00693411"
        "slug" => "tedongap-romeo"
      ]
      1 => array:1 [
        "name" => "FEUNOU Bruno"
      ]
      2 => array:1 [
        "name" => "JAHAN-PARVAR Mohammad"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "http://www.tandfonline.com/doi/full/10.1080/1351847X.2013.877515?scroll=top&needAccess=true"
    "publicationInfo" => array:3 [
      "pages" => "1237-1271"
      "volume" => "22"
      "number" => "13"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "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. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes."
      "en" => "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. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T15:21:45.000Z"
    "docTitle" => "Which Parametric Model for Conditional Skewness?"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>, FEUNOU Bruno, JAHAN-PARVAR Mohammad"
    "docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo, FEUNOU Bruno, JAHAN-PARVAR Mohammad</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2016</span>"
    "keywordList" => ""
    "docPreview" => "<b>Which Parametric Model for Conditional Skewness?</b><br><span>2016-11 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="http://www.tandfonline.com/doi/full/10.1080/1351847X.2013.877515?scroll=top&needAccess=true" target="_blank">Which Parametric Model for Conditional Skewness?</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.846382
  +"parent": null
}