Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness
利用GARCH-X模型研究股票指数收益的条件偏度与已实现方差计算的方差冲击之间的关系，发现方差冲击强烈影响条件偏度并导致其与条件波动率负相关，对资产定价和风险管理有重要启示。
Abstract I use GARCH-X specifications for stock index returns to investigate the connections between conditional skewness and variance shocks computed from realized variances. The evidence indicates that the conditional skewness of index returns is strongly influenced by variance shocks and displays a remarkable degree of persistence. Indeed, variance shocks not only drive changes in conditional skewness, but also act as a common factor that generates substantial negative correlation between contemporaneous changes in the conditional volatility and conditional skewness of index returns. The resultant linkages between these conditional moments could have important implications in asset pricing, portfolio selection, and risk management applications.