Testing asymmetry in financial time series

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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

Location: Deutsche Nationalbibliothek Frankfurt am Main

Extent: Online-Ressource

Language: Englisch

Notes: Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 7 (2007) 6 ; 687-696

Classification: Wirtschaft

Event: Veröffentlichung

(where): Mannheim

(when): 2007

Creator: Lisi, Francesco

DOI: 10.1080/14697680701283739

URN: urn:nbn:de:0168-ssoar-221044

Rights: Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.

Last update: 25.03.2025, 1:53 PM CET

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Lisi, Francesco

Time of origin

2007

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Testing asymmetry in financial time series

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