ebooks logo journals logo reference works logo abstract databases logo
bullet  SIGN IN Register | Why Register? | Got a Voucher? alerts   marked lists   shopping cart 

informaworld

HOME   |   SEARCH   |   BROWSE
    Issues List       Latest Issue       Forthcoming Articles       Volume 7 Issue 6       Subscribe       Article       References       Related articles      
<< firstfirst   < prevprev   Table of contentstoc   next >next   last >>last
Publisher Logo Publication Cover
Search within this journal

Testing asymmetry in financial time series 

Author: Francesco Lisi a
Affiliation:   a Department of Statistics, University of Padova, Padova 35122, Italy
DOI: 10.1080/14697680701283739
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 7, Issue 6 December 2007 , pages 687 - 696
Formats available: HTML (English) : PDF (English)
You have: FREE ACCESS FREE ACCESS
Article Requests: Order Reprints : Request Permissions


Abstract

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 this 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.
Keywords: Skewness; Symmetry test; Financial returns; Bootstrap
view references (29)
Bookmark with:
  • CiteULike
  • Del.icio.us
  • BibSonomy
  • Connotea
  • More bookmarks
Privacy Policy | Terms & Conditions | Accessibility | RSS
FAQs in: English . Français . Español . 中文(简体和繁體)
© 2010 Informa plc