Fujiwara, Ippei; Körber, Lena Mareen; Nagakura, Daisuke - Federal Reserve Bank of Dallas - 2011
We measure asymmetries in the distribution of bond returns and exchange rates and test their statistical significance. Asymmetries are sizable when measured by the coefficient of skewness, a measure that is highly affected by outliers. In contrast, robustly measured asymmetries to outliers often...