SKEWNESS AND COSKEWNESS DYNAMICS FOR THE ROMANIAN STOCK MARKET
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Authors:
• Senior Researcher, PhD. Radu LUPU, email: radulupu.ase@gmail.com, Afiliation: Institute for Economic Forecasting
• Senior Researcher, PhD. Adrian Cantemir CĂLIN, email: cantemircalin@ipe.ro, Afiliation: Institute for Economic ForecastingPages:
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Keywords: skewness, coskewness, Markov switching
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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.
