A new GARCH model with higher moments for stock return predictability
Sign Up to like & getrecommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2018.02.016
Abstract: The main purpose of the paper is to propose a new GARCH-SK predictive regression model that accommodates higher order moments (skewness and kurtosis) in testing the null hypothesis of no predictability. Using an extensive and… read more here.
Keywords: predictability; garch model; new garch; higher moments ... See more keywords