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.