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Testing asymmetry in financial time series

[journal article]

dc.contributor.authorLisi, Francescode
dc.date.accessioned2011-02-23T03:44:00Zde
dc.date.accessioned2012-08-29T23:07:04Z
dc.date.available2012-08-29T23:07:04Z
dc.date.issued2007de
dc.identifier.urihttp://www.ssoar.info/ssoar/handle/document/22104
dc.description.abstractThis 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.en
dc.languageende
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.subject.otherSkewness; Symmetry test; Financial returns; Bootstrap
dc.titleTesting asymmetry in financial time seriesen
dc.description.reviewbegutachtet (peer reviewed)de
dc.description.reviewpeer revieweden
dc.source.journalQuantitative Financede
dc.source.volume7de
dc.publisher.countryGBR
dc.source.issue6de
dc.subject.classozBasic Research, General Concepts and History of Economicsen
dc.subject.classozEconomic Statistics, Econometrics, Business Informaticsen
dc.subject.classozWirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatikde
dc.subject.classozAllgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaftende
dc.identifier.urnurn:nbn:de:0168-ssoar-221044de
dc.date.modified2011-03-15T12:48:00Zde
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)de
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)en
ssoar.gesis.collectionSOLIS;ADISde
ssoar.contributor.institutionhttp://www.peerproject.eu/de
internal.status3de
dc.type.stockarticlede
dc.type.documentjournal articleen
dc.type.documentZeitschriftenartikelde
dc.rights.copyrightfde
dc.source.pageinfo687-696
internal.identifier.classoz10905
internal.identifier.classoz10901
internal.identifier.document32
internal.identifier.ddc330
dc.identifier.doihttps://doi.org/10.1080/14697680701283739de
dc.description.pubstatusPostprinten
dc.description.pubstatusPostprintde
internal.identifier.licence7
internal.identifier.pubstatus2
internal.identifier.review1
internal.check.abstractlanguageharmonizerCERTAIN
internal.check.languageharmonizerCERTAIN_RETAINED


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