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Testing asymmetry in financial time series
[Zeitschriftenartikel]
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 ... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Freie Schlagwörter
Skewness; Symmetry test; Financial returns; Bootstrap
Sprache Dokument
Englisch
Publikationsjahr
2007
Seitenangabe
S. 687-696
Zeitschriftentitel
Quantitative Finance, 7 (2007) 6
DOI
https://doi.org/10.1080/14697680701283739
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)