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Skewness And Coskewness Dynamics For The Romanian Stock Market

Author

Listed:
  • Radu LUPU

    (Institute for Economic Forecasting)

  • Adrian Cantemir CALIN

    (Institute for Economic Forecasting)

Abstract
We are using a conditional skewness and coskewness model for the log-returns on the most liquid Romanian stocks in order to identify the individual and common asymmetries for the period between January 2010 and September 2015. A Markov switching analysis for all the series revealed the moments when the coskewness coefficient for the theoretical portfolio changed regimes and also the moments when the individual skewness coefficients switched their levels simultaneously. We provide a comment on these changes and their possible implications for risk management and direction of change

Suggested Citation

  • Radu LUPU & Adrian Cantemir CALIN, 2015. "Skewness And Coskewness Dynamics For The Romanian Stock Market," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 40(1), pages 1-18, December.
    • Handle: RePEc:ath:journl:v:40:y:2015:i:1:p:1-18
    as

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