{"id":1374,"date":"2020-10-08T16:14:56","date_gmt":"2020-10-08T14:14:56","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model\/"},"modified":"2020-10-08T16:14:56","modified_gmt":"2020-10-08T14:14:56","slug":"research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model\/","title":{"rendered":"Research Economic Seminar: The good, the bad, and the asymmetric: Evidence from a new conditional density model"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p>We propose a conditional density model where returns are decomposed into a sum of copula-connected positive and negative shocks, both continuous and discrete. We compare 52 variants of our model with different marginal distributions and copul\u00e6 to 40 well-established GARCH variants. Our models with dynamic scale parameters and without jumps perform better both in sample and out of sample. We show that the independence assumption for signed shocks does not hold: covariance is an important component of total variance, and it is time-dependent with a leverage-like effect. Conditional skewness behaviour reveals na\u00efve investors\u2019 expectations. The U.S. market on average has a propensity for bull trends. The relation between returns and volatility is either very non-linear or insignificant. Results for models with jumps show that introduction of discrete jumps does not improve the model performance; however, negative jumps have greater sizes, and occur more frequently.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"","protected":false},"author":0,"featured_media":1375,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2021-01-19 13:00:00","event_end_date":"2021-01-19 14:00:00","event_speaker_name":"Andre\u00ef, V. Kostyrka, Department of Economics and Management, Universit\u00e9 du Luxembourg","event_speaker_link":"","event_is_online":false,"event_location":"Online via Webex","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[298],"events-type":[],"organisation":[137,100],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Research Economic Seminar: The good, the bad, and the asymmetric: Evidence from a new conditional density model - FDEF I Uni.lu<\/title>\n<meta name=\"description\" content=\"We propose a conditional density model where returns are decomposed into a sum of copula-connected positive and negative shocks, both continuous and\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Research Economic Seminar: The good, the bad, and the asymmetric: Evidence from a new conditional density model\" \/>\n<meta property=\"og:description\" content=\"We propose a conditional density model where returns are decomposed into a sum of copula-connected positive and negative shocks, both continuous and\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model\/\" \/>\n<meta property=\"og:site_name\" content=\"FDEF FR\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.FDEF.lu\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/18\/2026\/03\/03111953\/FDEF_SM-Profile_1600x1600px-scaled.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"2560\" \/>\n\t<meta property=\"og:image:height\" content=\"2560\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model\/\",\"url\":\"https:\/\/www.uni.lu\/fdef-fr\/events\/research-economic-seminar-the-good-the-bad-and-the-asymmetric-evidence-from-a-new-conditional-density-model\/\",\"name\":\"Research Economic Seminar: The good, the bad, and the asymmetric: Evidence from a new conditional density model - 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