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.
Testing asymmetry in financial time series
LISI, FRANCESCO
2007
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.File in questo prodotto:
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