Number of the records: 1
Uncovering the skewness news impact curve
- 1.0466532 - NHÚ 2017 RIV GB eng J - Journal Article
Anatolyev, Stanislav - Petukhov, A.
Uncovering the skewness news impact curve.
Journal of Financial Econometrics. Roč. 14, č. 4 (2016), s. 746-771. ISSN 1479-8409. E-ISSN 1479-8417
Institutional support: RVO:67985998
Keywords : conditional skewness * news impact curve * stock returns
Subject RIV: AH - Economics
Impact factor: 1.800, year: 2016
We investigate, within flexible semiparametric and parametric frameworks, the shape of the news impact curve (NIC) for the conditional skewness of stock returns, that is, how past returns affect present skewness. We find that returns may impact skewness in ways that sharply differ from those proposed in earlier literature. The skewness NIC may exhibit sign asymmetry, other types of nonlinearity, and even non-monotonicity. In particular, the newly discovered “rotated S”-shape of the skewness NIC for the S&P500 index is intriguing. We explore, among other things, properties of skewness NIC estimates and conditional density forecasts, the term structure of the skewness NIC, and previously documented approaches to its modeling.
Permanent Link: http://hdl.handle.net/11104/0264809
Number of the records: 1