Download full text
(254.6Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221044
Exports for your reference manager
Testing asymmetry in financial time series
[journal article]
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 ... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Basic Research, General Concepts and History of Economics
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
DOI
https://doi.org/10.1080/14697680701283739
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)