Testing quantile‐preserving spreads

Haim Mendelson

Applied Stochastic Models and Data Analysis, 1988, vol. 4, issue 2, 115-125

Abstract: This paper derives a two‐sample non‐parametric procedure for testing quantile‐preserving spreads. The asymptotic properties of the test statistic are studied, and the use of the test is demonstrated in comparing the dispersion of the returns on a stock‐index between months.

Date: 1988
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https://doi.org/10.1002/asm.3150040206

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:4:y:1988:i:2:p:115-125

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