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
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8 issues per year
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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.
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| Keywords: Skewness; Symmetry test; Financial returns; Bootstrap |
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