Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "10445"
#_source: array:26 [
"id" => "10445"
"slug" => "10445-a-stochastic-volatility-model-with-conditional-skewness"
"yearMonth" => "2012-10"
"year" => "2012"
"title" => "A Stochastic Volatility Model with Conditional Skewness"
"description" => "FEUNOU, B. et TÉDONGAP, R. (2012). A Stochastic Volatility Model with Conditional Skewness. <i>Journal of Business and Economic Statistics</i>, 30(4), pp. 576-591. 
FEUNOU, B. et TÉDONGAP, R. (2012). A Stochastic Volatility Model with Conditional Skewness. <i>Journ "
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FEUNOU Bruno"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Affine model"
1 => "Conditional skewness"
2 => "Discrete time"
3 => "GMM"
4 => "Option pricing"
]
"updatedAt" => "2021-07-13 14:31:35"
"publicationUrl" => "http://amstat.tandfonline.com/doi/abs/10.1080/07350015.2012.715958?journalCode=ubes20"
"publicationInfo" => array:3 [
"pages" => "576-591"
"volume" => "30"
"number" => "4"
]
"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" => "We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on current factors and past information, which we term contemporaneous asymmetry. Conditional skewness is an explicit combination of the conditional leverage effect and contemporaneous asymmetry. We derive analytical formulas for various return moments that are used for generalized method of moments (GMM) estimation. Applying our approach to S&P500 index daily returns and option data, we show that one- and two-factor SVS models provide a better fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized autoregressive conditional heteroscedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to an overparameterization of the model: the one-factor SVS models have the same number of parameters as their one-factor GARCH competitors and less than the SVJ benchmark. We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness "
"en" => "We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on current factors and past information, which we term contemporaneous asymmetry. Conditional skewness is an explicit combination of the conditional leverage effect and contemporaneous asymmetry. We derive analytical formulas for various return moments that are used for generalized method of moments (GMM) estimation. Applying our approach to S&P500 index daily returns and option data, we show that one- and two-factor SVS models provide a better fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized autoregressive conditional heteroscedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to an overparameterization of the model: the one-factor SVS models have the same number of parameters as their one-factor GARCH competitors and less than the SVJ benchmark. We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness "
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-04-04T02:21:43.000Z"
"docTitle" => "A Stochastic Volatility Model with Conditional Skewness"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>, FEUNOU Bruno"
"docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo, FEUNOU Bruno</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2012</span> <span class="document-property-authors">TÉDONGAP Roméo, FEUNOU Bruno</span><br><span class="document "
"keywordList" => "<a href="#">Affine model</a>, <a href="#">Conditional skewness</a>, <a href="#">Discrete time</a>, <a href="#">GMM</a>, <a href="#">Option pricing</a> <a href="#">Affine model</a>, <a href="#">Conditional skewness</a>, <a href="#">Discrete time</a>, < "
"docPreview" => "<b>A Stochastic Volatility Model with Conditional Skewness</b><br><span>2012-10 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="http://amstat.tandfonline.com/doi/abs/10.1080/07350015.2012.715958?journalCode=ubes20" target="_blank">A Stochastic Volatility Model with Conditional Skewness</a> <a href="http://amstat.tandfonline.com/doi/abs/10.1080/07350015.2012.715958?journalCode=ubes20" targ "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 9.057112
+"parent": null
}
