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A Market Risk Model for Asymmetric Distributed Series of Return

dc.contributor.authorGiannopoulos, Kostas
dc.contributor.authorNekhili, Ramzi
dc.date.accessioned2015-12-10T13:50:44Z
dc.date.available2015-12-10T13:50:44Z
dc.date.issued2012
dc.identifier.issn2229 – 6891
dc.identifier.urihttp://hdl.handle.net/11728/6539
dc.description.abstractIn this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. We show that conditional skewness is negatively related to spot price interest rates and that negative conditional skewness can lead the process to generate steady returns.en_UK
dc.language.isoenen_UK
dc.relation.ispartofseriesInternational Research Journal of Applied Finance;Volume 3, Issue 1
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en_UK
dc.subjectShort-term interest ratesen_UK
dc.subjectPearson IVen_UK
dc.subjectGARCHen_UK
dc.subjectConditional skewnessen_UK
dc.titleA Market Risk Model for Asymmetric Distributed Series of Returnen_UK
dc.typeArticleen_UK
dc.doi10.2139/ssrn.1803117


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