@article{Conditional:1657,
      recid = {1657},
      author = {Feunou, Bruno and Jahan-Parvar, Mohammad R. and Tedongap,  Roméo},
      title = {Which Parametric Model for Conditional Skewness?},
      address = {2013},
      pages = {1 online resource (iii, 40 pages)},
      abstract = {This paper addresses an existing gap in the developing  literature on conditional skewness. We develop a simple  procedure to evaluate parametric conditional skewness  models. This procedure is based on regressing the realized  skewness measures on model-implied conditional skewness  values. We find that an asymmetric GARCH-type specification  on shape parameters with a skewed generalized error  distribution provides the best in-sample fit for the data,  as well as reasonable predictions of the realized skewness  measure. Our empirical findings imply significant asymmetry  with respect to positive and negative news in both  conditional asymmetry and kurtosis processes.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1657},
      doi = {https://doi.org/10.34989/swp-2013-32},
}