Testing asymmetry in financial time series

DOI10.1080/14697680701283739zbMath1155.91389OpenAlexW2137306424MaRDI QIDQ5440109

Francesco Lisi

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22104

zbMATH Keywords

bootstrapskewnesssymmetry testfinancial returns

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

Bayesian analysis of tail asymmetry based on a threshold extreme value model ⋮ Bayesian inference for a mixture double autoregressive model ⋮ The bootstrap for testing the equality of two multivariate time series with an application to financial markets ⋮ Practical implications of higher moments in risk management

Cites Work

• The power of bootstrap and asymptotic tests
• Tests for departure from normality in the case of linear stochastic processes
• Testing for skewness of regression disturbances
• On the robustness of nonlinearity tests to moment condition failure
• Pseudo Maximum Likelihood Methods: Theory
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Adjusting the tests for skewness and kurtosis for distributional misspecifications
• Maximum Likelihood Estimation of Misspecified Models

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