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Quantitative Finance Volume 7, 2007 - Issue 6
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Original Articles

Testing asymmetry in financial time series

Francesco Lisi Department of Statistics, University of Padova, V. Battisti 241, Padova 35122, ItalyCorrespondence[email protected]
Pages 687-696 | Received 03 Jan 2006, Accepted 15 Feb 2007, Published online: 28 Nov 2007

Citations (13)

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Giovanni De Luca & Nicola Loperfido. (2015) Modelling multivariate skewness in financial returns: a SGARCH approach. The European Journal of Finance 21:13-14, pages 1113-1131.
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Articles from other publishers (12)

Kai Yang, Qingqing Zhang, Xinyang Yu & Xiaogang Dong. (2022) Bayesian inference for a mixture double autoregressive model. Statistica Neerlandica 77:2, pages 188-207.
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Ángel López-Oriona & José A. Vilar. (2022) The bootstrap for testing the equality of two multivariate time series with an application to financial markets. Information Sciences 616, pages 255-275.
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HASAN F. BAKLACI, ÖMÜR SÜER & TEZER YELKENCİ. (2018) PRICE LINKAGES AMONG EMERGING GOLD FUTURES MARKETS. The Singapore Economic Review 63:05, pages 1345-1365.
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Julio Escolano & Vitor Gaspar. (2016) Optimal Debt Policy Under Asymmetric Risk. IMF Working Papers 16:178, pages 1.
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Mike K.P. So & Raymond K.S. Chan. (2014) Bayesian analysis of tail asymmetry based on a threshold extreme value model. Computational Statistics & Data Analysis 71, pages 568-587.
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Peng Wang & Tao Xiong. (2014) Is the Distribution of Returns Symmetric?—Empirical Evidence from Agricultural Futures Market of China. Journal of Financial Risk Management 03:02, pages 29-39.
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Matteo Grigoletto & Francesco Lisi. (2011) Practical implications of higher moments in risk management. Statistical Methods & Applications 20:4, pages 487-506.
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Matteo Grigoletto & Francesco Lisi. (2009) Looking for skewness in financial time series. Econometrics Journal 12:2, pages 310-323.
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Peng Wang. (2014) Is the Distribution of Financial Returns Symmetric? Empirical Evidence from the International Exchange Market. SSRN Electronic Journal.
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Mike K. P. So & Raymond K. S. Chan. (2012) Bayesian Analysis of Tail Asymmetry Based on a Threshold Extreme Value Model. SSRN Electronic Journal.
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Wei-Ming Lee. (2010) Robust M Tests for Distribution Symmetry with Time Series Data. SSRN Electronic Journal.
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Matteo Grigoletto & Francesco Lisi. (2009) Value-at-Risk Prediction by Higher Moment Dynamics. SSRN Electronic Journal.
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