Assessing symmetry of financial returns series

H. F. Coronel-Brizio, A. R. Hernandez-Montoya, Huerta-Quintanilla, M. Rodriguez-Achach and .
Additional contact information
H. F. Coronel-Brizio: Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico
A. R. Hernandez-Montoya: Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico
Huerta-Quintanilla: Depto de Fisica Aplicada, Cinvestav-Merida, Mexico
M. Rodriguez-Achach: Facultad de Fisica e Inteligencia Artificial. Universidad Veracruzana. Mexico

Papers from arXiv.org

Abstract: Testing symmetry of a probability distribution is a common question arising from applications in several fields. Particularly, in the study of observables used in the analysis of stock market index variations, the question of symmetry has not been fully investigated by means of statistical procedures. In this work a distribution-free test statistic Tn for testing symmetry, derived by Einmahl and McKeague, based on the empirical likelihood approach, is used to address the study of symmetry of financial returns. The asymptotic points of the test statistic Tn are also calculated and a procedure for assessing symmetry for the analysis of the returns of stock market indices is presented.

Date: 2007-01
References: View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in Physica A, Vol 383, Issue 1, Pgs 5-9, (2007) (updated version).

Downloads: (external link)
http://arxiv.org/pdf/physics/0701189 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0701189

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().