The time-varying risk premium coefficient and the conditional skewness

被引：0

作者：

Wen, Fenghua ^{[1
]}

Xiao, Jinli ^{[1
]}

Liu, Zhifeng ^{[1
]}

Dai, Zhifeng ^{[2
]}

Yang, Xiaoguang ^{[3
]}

机构：

[1] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Hunan, Peoples R China

[2] Changsha Univ Sci & Technol, Sch Math & Comp Sci, Changsha, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China

来源：

2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2012年

基金：

湖南省自然科学基金;

关键词：

conditional skewness; risk premium coefficient; GARCHS;

D O I：

10.1109/BIFE.2012.55

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As a further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCHS-M Model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the time-varying skewness in the return distribution and the time-varying risk premium coefficient. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the time-varying skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium.

引用

页码：224 / 228

页数：5

共 50 条

[41] Volatility, momentum, and time-varying skewness in foreign exchange returns
Johnson, TC
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) : 390 - 411
[42] Time-varying coefficient estimation in differential equation models with noisy time-varying covariates
Hong, Zhaoping
Lian, Heng
JOURNAL OF MULTIVARIATE ANALYSIS, 2012, 103 (01) : 58 - 67
[43] Time-varying autoregressive conditional duration model
Bortoluzzo, Adriana B.
Morettin, Pedro A.
Toloi, Clelia M. C.
JOURNAL OF APPLIED STATISTICS, 2010, 37 (05) : 847 - 864
[44] The factor structure of time-varying conditional volume
Chang, Enic C.
Cheng, Joseph W.
Pinegar, J. Michael
JOURNAL OF EMPIRICAL FINANCE, 2008, 15 (02) : 251 - 264
[45] Bayesian Modelling of Time-Varying Conditional Heteroscedasticity
Karmakar, Sayar
Roy, Arkaprava
BAYESIAN ANALYSIS, 2021, 16 (04): : 1157 - 1185
[46] Conditional market comovements, welfare, and contagions: The role of time-varying risk aversion
Chue, TK
JOURNAL OF BUSINESS, 2005, 78 (03): : 949 - 967
[47] Tail risk management and the skewness premium
Kipp, Martin
Koziol, Christian
JOURNAL OF ASSET MANAGEMENT, 2022, 23 (06) : 534 - 546
[48] The skewness risk premium in currency markets
Broll, Michael
ECONOMIC MODELLING, 2016, 58 : 494 - 511
[49] Investor sentiment and skewness risk premium
Yaakoubi, Soumaya
APPLIED ECONOMICS, 2024, 56 (35) : 4194 - 4208
[50] Tail risk management and the skewness premium
Martin Kipp
Christian Koziol
Journal of Asset Management, 2022, 23 : 534 - 546

← 1 2 3 4 5 →