BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//jEvents 2.0 for Joomla//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
UID:fcc773d1ae4b8b35eb567e09c6c40afe
CATEGORIES:Seminars
CREATED:20150105T162839
SUMMARY:Stanislav Anatolyev - New Economic School
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p style="text-align: justify;"><strong>Uncovering the Skewness News Impact
  Curve</strong></p><p style="text-align: justify;">Abstract:</p><p style="t
 ext-align: justify;">We propose and evaluate a flexible method to model the
  dynamics of conditional skewness. The method uses the partially nonparamet
 ric model of Engle & Ng (1993, The Journal of Finance 48, 1749{1778) who un
 cover the news impact curve (NIC) for volatility. The model is estimated an
 d analyzed on series of daily returns on major stock indexes. We find that 
 past returns may impact skewness in the way that sharply differs from those
  proposed in earlier literature. In particular, the NIC for skewness is non
 linear and non-monotonic. We also run simulation experiments to examine how
  well the estimation procedure identifies parameters of the NIC. Finally, w
 e show that parametric models for skewness typically used in the literature
  are unable to capture the skewness dynamics found in our empirical study.<
 /p>
DTSTAMP:20260406T065514Z
DTSTART:20140417T173000Z
DTEND:20140417T190000Z
SEQUENCE:0
TRANSP:OPAQUE
END:VEVENT
END:VCALENDAR