Research Article
Time-Varying Risk Attitude and Conditional Skewness
Table 2
Risk premium coefficients and skewness of indices.
| | SK1 | SK2 | | value |
| S&P 500 | −0.114384 | −0.070551 | 0.059168 | 0.0026 | Dow Jones | 0.047682 | −0.047682 | 0.055383 | 0.0046 | NASDAQ | 0.175155 | −0.057890 | 0.050780 | 0.0108 | NYSE | −0.283905 | −0.074509 | 0.070776 | 0.0004 | Nikkei225 | −0.292542 | −0.031569 | 0.036404 | 0.0763 | FTSE 100 | −0.106906 | −0.048346 | 0.052449 | 0.0098 | SSE | −0.105263 | −0.040100 | 0.046433 | 0.0096 | DAX | 0.070301 | −0.066459 | 0.068993 | 0.0005 | CAC 40 | 0.052661 | −0.032634 | 0.047085 | 0.0193 | GSPTSE | −0.679786 | −0.045354 | 0.074935 | 0.0001 | MIBTEL | −0.158677 | −0.065010 | 0.056490 | 0.0044 | IGBM | −0.061860 | −0.063446 | 0.095071 | 0.0000 | BVSP | −0.093354 | −0.048321 | 0.080769 | 0.0001 | Hangseng | 0.037793 | −0.029994 | 0.048903 | 0.0111 |
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