Testing asymmetry in financial time series

Francesco Lisi ()

Quantitative Finance, 2007, vol. 7, issue 6, 687-696

Abstract: 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.

Keywords: Skewness; Symmetry test; Financial returns; Bootstrap (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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DOI: 10.1080/14697680701283739

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