Journal article | Zeitschriftenartikel

Testing asymmetry in financial time series

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.

Urheber*in: Lisi, Francesco

Free access - no reuse

Extent: Seite(n): 687-696

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Quantitative Finance, 7(6)

Subject: Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften

Event: Geistige Schöpfung

(who): Lisi, Francesco

Event: Veröffentlichung

(where): Vereinigtes Königreich

(when): 2007

DOI: https://doi.org/10.1080/14697680701283739

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

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:27 PM CEST

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Zeitschriftenartikel

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Lisi, Francesco

Time of origin

2007

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Testing asymmetry in financial time series

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Other Objects (12)

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