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

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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.

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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
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