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Uncovering the skewness news impact curve
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SYSNO ASEP 0466532 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Uncovering the skewness news impact curve Author(s) Anatolyev, Stanislav (NHU-N)
Petukhov, A. (RU)Source Title Journal of Financial Econometrics. - : Oxford University Press - ISSN 1479-8409
Roč. 14, č. 4 (2016), s. 746-771Number of pages 26 s. Language eng - English Country GB - United Kingdom Keywords conditional skewness ; news impact curve ; stock returns Subject RIV AH - Economics Institutional support NHU-N - RVO:67985998 UT WOS 000385345100005 EID SCOPUS 84993990161 DOI 10.1093/jjfinec/nbw005 Annotation 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. Workplace Economics Institute Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2017
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