University of Crete Econ-Seminars 2/12/2020: Negative skewness of asset returns with positive time-varying risk premia by Δήμητρα Κυριακοπούλου

Αύριο Τετάρτη 2/12 στο σεμινάριο του τμήματος Οικονομικών Επιστημών του Πανεπιστημίου Κρήτης θα έχουμε την κα Δήμητρα Κυριακοπούλου από το Πανεπιστήμιο Université Catholique de Louvain (UCLouvain) του Βελγίου.

https://economics.soc.uoc.gr/el/seminar/203/negative-skewness-of-asset-returns-with-positive-time-varying-risk-premia

Negative skewness of asset returns with positive time-varying risk premia
Topics: Econometrics , Applied Research
Wednesday, 02 December 2020, 15:00-16:15

Room: Zoom

Presenter: Kyriakopoulou Dimitra , Université catholique de Louvain (UCLouvain)
The marginal distribution of financial time series such as returns is often negatively skewed. We investigate the relation between positive time-varying risk premia and the unconditional skewness of returns. We show that if the error distribution is symmetric, the negative unconditional asymmetry of returns should be the outcome of a negative correlation between their first two conditional moments. Following one of the implications of the intertemporal capital asset pricing model (ICAPM) of Merton (1973), there is a positive and linear relationship between risk and expected returns. Under a fully parametric EGARCH-in-Mean specification, we propose to use an asymmetric error distribution in order to match the unconditional asymmetry of asset returns. Value-at-Risk prediction of the largest stock market indices is performed as an application.


To σεμινάριo θα διεξαχθεί στις 15:00-16:15 και μπορείτε να το παρακολουθήσετε στον παρακάτω σύνδεσμο στο Zoom:

https://zoom.us/j/96529398305?pwd=eGgrSS9GUWQvSGp2TzV3aGI0MFRBZz09

Θα προεδρεύει η Χαρούλα Δασκαλάκη. Οπότε αν έχετε απορίες μπορείτε να επικοινωνήσετε με τη Χαρούλα, chdaskalaki@uoc.gr