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UID:fcc773d1ae4b8b35eb567e09c6c40afe
CATEGORIES:Seminars
CREATED:20150105T162839
SUMMARY:Stanislav Anatolyev - New Economic School
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Uncovering the Skewness News Impact Curve\nAbstract:\nWe propose and evalua
 te a flexible method to model the dynamics of conditional skewness. The met
 hod uses the partially nonparametric model of Engle & Ng (1993, The Journal
  of Finance 48, 1749{1778) who uncover the news impact curve (NIC) for vola
 tility. The model is estimated and analyzed on series of daily returns on m
 ajor stock indexes. We find that past returns may impact skewness in the wa
 y that sharply differs from those proposed in earlier literature. In partic
 ular, the NIC for skewness is nonlinear and non-monotonic. We also run simu
 lation experiments to examine how well the estimation procedure identifies 
 parameters of the NIC. Finally, we show that parametric models for skewness
  typically used in the literature are unable to capture the skewness dynami
 cs found in our empirical study.\n
DTSTAMP:20260405T170116Z
DTSTART:20140417T173000Z
DTEND:20140417T190000Z
SEQUENCE:0
TRANSP:OPAQUE
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