Go to the content. | Move to the navigation | Go to the site search | Go to the menu | Contacts | Accessibility

| Create Account

Lisi, Francesco (2005) Testing asymmetry in financial time series. [Working Paper] WORKING PAPER SERIES, 15/2005 . , PADOVA (Inedito)

Full text disponibile come:

[img]
Preview
PDF Document
226Kb

Abstract (english)

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 which leads to an approximation of the Bai and Ng test under weaker assumptions. 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.


Statistiche Download - Aggiungi a RefWorks
EPrint type:Working Paper
Anno di Pubblicazione:December 2005
Key Words:Skewness, symmetry test, financial time series, bootstrap
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7077
Depositato il:09 Sep 2014 10:33
Simple Metadata
Full Metadata
EndNote Format

Download statistics

Solo per lo Staff dell Archivio: Modifica questo record