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TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES
Mantalos, Panagiotis; Karagrigoriou, Alex - Handelshögskolan, Örebro Universitet - 2012
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size …
Persistent link: https://www.econbiz.de/10010818623
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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - 2010
. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more … problematic than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall …
Persistent link: https://www.econbiz.de/10010288480
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Jarque-Bera test and its competitors for testing normality: A power comparison
Thadewald, Thorsten; Büning, Herbert - Fachbereich Wirtschaftswissenschaft, Freie Universität … - 2004
For testing normality we investigate the power of several tests, first of all, the well known test of Jarque and Bera (1980) and furthermore the tests of Kuiper (1960) and Shapiro and Wilk (1965) as well as tests of Kolmogorov-Smirnov and Cramer-von Mises type. The tests on normality are based,...
Persistent link: https://www.econbiz.de/10009323159
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Testing for Structural Breaks at Unknown Time: A Steeplechase
El-Shagi, Makram; Giesen, Sebastian - Institut für Wirtschaftsforschung Halle (IWH) - 2010
. However, each test is significantly affected by leptokurtosis. Contrarily to other tests, where skewness is far more problematic … than kurtosis, it has no additional effect for any of the endogenous break tests we analyze. Concerning overall robustness …
Persistent link: https://www.econbiz.de/10008519860
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Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
Dufour, Jean-Marie; Farhat, Abdeljelil; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005
This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...
Persistent link: https://www.econbiz.de/10005100723
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005
distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …
Persistent link: https://www.econbiz.de/10005100963
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Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
DUFOUR, Jean-Marie; FARHAT, Abdeljelil; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005
This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...
Persistent link: https://www.econbiz.de/10008671569
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005
distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …
Persistent link: https://www.econbiz.de/10008671570
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Statistical Power Comparisons For Equal Skewness Different Kurtosis And Equal Kurtosis Different Skewness Coefficients In Nonparametric Tests
Senger, Otuken - In: Istanbul University Econometrics and Statistics e-Journal 18 (2013) 1, pp. 81-115
change in kurtosis coefficients under the assumption of equal skewness coefficients and analyzing the change in skewness … coefficients under the assumption of equal kurtosis coefficients. Variances are assumed as heterogeneous for both situations and …
Persistent link: https://www.econbiz.de/10010699561
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2005
distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …
Persistent link: https://www.econbiz.de/10005729882