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A robust test for monotonicity in asset returns - MaRDI portal

A robust test for monotonicity in asset returns

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Publication:6581763

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DOI10.1515/jtse-2019-0068zbMath1542.62115MaRDI QIDQ6581763

Victor Troster, Unnamed Author, Muhammad Qaiser Shahbaz

Publication date: 1 August 2024

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

zbMATH Keywords

heavy-tailed distributions sign test portfolio sorts expected asset returns monotonicity tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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