Testing asymmetry in financial time series
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
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 7 (2007) 6 ; 687-696
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Mannheim
- (wann)
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2007
- Urheber
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Lisi, Francesco
- DOI
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10.1080/14697680701283739
- URN
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urn:nbn:de:0168-ssoar-221044
- Rechteinformation
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
25.03.2025, 13:53 MEZ
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Beteiligte
- Lisi, Francesco
Entstanden
- 2007
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