Arbeitspapier
Testing for skewness in AR conditional volatility models for financial return series
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to explore the applicability and the capabilities of the proposed testing procedure.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 4/2012
- Classification
-
Wirtschaft
Econometrics
Hypothesis Testing: General
Statistical Simulation Methods: General
- Subject
-
ARCH /GARCH model
kurtosis
NoVaS
skewness
- Event
-
Geistige Schöpfung
- (who)
-
Mantalos, Panagiotis
Karagrigoriou, Alex
- Event
-
Veröffentlichung
- (who)
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Örebro University School of Business
- (where)
-
Örebro
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mantalos, Panagiotis
- Karagrigoriou, Alex
- Örebro University School of Business
Time of origin
- 2012
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