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Testing asymmetry in financial time series

[journal article]

Lisi, Francesco

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Abstract This paper examines the problem of evaluating the presence of asymmetry in the marginal distribution of financial returns, by means of a suitable statistical test. After a brief description of existing tests, a bootstrap procedure is proposed. A Monte Carlo study showed that our test works properly and that, in terms of power, it is competitive with existing tests. An application to real financial time series is also presented.
Classification Basic Research, General Concepts and History of Economics; Economic Statistics, Econometrics, Business Informatics
Free Keywords Skewness; Symmetry test; Financial returns; Bootstrap
Document language English
Publication Year 2007
Page/Pages p. 687-696
Journal Quantitative Finance, 7 (2007) 6
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)