Time-Varying Risk Attitude and Conditional Skewness
Joint Authors
Liu, Zhifeng
Wen, Fenghua
Zhang, Tingting
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-04
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
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 further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCH-M model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the conditional skewness in the return distribution and the time-varying risk attitude.
The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the conditional skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium.
American Psychological Association (APA)
Liu, Zhifeng& Zhang, Tingting& Wen, Fenghua. 2014. Time-Varying Risk Attitude and Conditional Skewness. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013411
Modern Language Association (MLA)
Liu, Zhifeng…[et al.]. Time-Varying Risk Attitude and Conditional Skewness. Abstract and Applied Analysis No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1013411
American Medical Association (AMA)
Liu, Zhifeng& Zhang, Tingting& Wen, Fenghua. Time-Varying Risk Attitude and Conditional Skewness. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013411
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013411