Modeling Asymmetry and Excess Kurtosis in Stock Return Data

By G. Premaratne, Anil K. Bera. 2000

117 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/82002e0f9e0f4f0aebbb4b713d49b5dce88eef86

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In Management Science and Operations Research

1. Michael Rockinger
2. Eric Jondeau
3. C. Bontemps
4. Nour Meddahi
5. Anil K. Bera

Citations in the corpus

• Testing Distributional Assumptions: A GMM Approach (2007, methodology): “This case corresponds to Type IV and is not a popular example and had been recently used by Premaratne and Bera (2001) for modeling stock return data.”
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009, unknown): “…and kurtosis in economic and financial time series; see, e.g., Gallant, Hsieh, and Tauchen (1991), Hansen (1994), Harvey and Siddique (1999, 2000), Premaratne and Bera (2001), Jondeau and Rockinger (2003), Leon, Rubio, and Serna (2005), and Brooks, Burke, Heravi, and Persand (2005), among many…”
• Maximum entropy autoregressive conditional heteroskedasticity model (2009, background): “As is well known, financial data also displays asymmetry (skewness), see for instance, Premaratne and Bera (2000).”
• Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003, methodology): “Premaratne and Bera (1999) use the Pearson family of distributions.”