A note on the use of the Box-Cox transformation for financial data

Dimitrios Kartsonakis-Mademlis and Nikolaos Dritsakis

International Journal of Computational Economics and Econometrics, 2020, vol. 10, issue 4, 419-422

Abstract: This paper tests whether the Box-Cox transformation reduces the problem of non-normality in financial data.

Keywords: ARIMA models; Box-Cox transformation; Box-Jenkins methodology; normality; stock market; oil prices. (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:10:y:2020:i:4:p:419-422

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