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WORKING PAPER

Autoregressive Conditional Skewness

Campbell R. Harvey

Duke University, Durham, NC 27708, USA

National Bureau of Economic Research, Cambridge, MA 02138, USA

Akhtar Siddique

Georgetown University, Washington, DC 20057, USA

Abstract

We present a new methodology for estimating time-varying conditional mean, conditional variance and conditional skewness in a maximum likelihood framework using instruments and assuming a noncentral t-distribution and apply it to weekly stock returns for the U.S.