Testing asymmetry in financial time series

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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Year of publication:	2007
Authors:	Lisi, Francesco
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 7.2007, 6, p. 687-696
Publisher:	Taylor & Francis Journals
Subject:	Skewness \| Symmetry test \| Financial returns \| Bootstrap

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462638