Testing asymmetry in financial time series

References

• Azzalini , A . 1985 . A class of distributions which includes the normal ones . Scand. J. Statist. , 12 : 171 – 178 .
   Web of Science ®Google Scholar
• Azzalini , A . 1986 . Further results on a, class of distributions which includes the normal ones . Statistica , XLVI : 199 – 208 .
   Google Scholar
• Bai , J and Ng , S . 2005 . Test for skewness, kurtosis and normality for time series data . J. Bus. Econ. Statist. , 23 : 49 – 60 .
   Web of Science ®Google Scholar
• Bera , A and Premaratne , G . 2001 . “ Adjusting the tests for skewness and kurtosis for distributional misspecifications ” . Department of Economics, University of Illinois . Working Paper 01-0117
   Google Scholar
• Beran , R . 1988 . Prepivoting test statistics: a bootstrap view of asymptotic refinements . J. Am. Statist. Assoc. , 83 : 687 – 697 .
   Web of Science ®Google Scholar
• Chen , YT . 2001 . Testing conditional symmetry with an application to stock returns. Institute for Social Science and Philosophy Academia Sinica . J. Bus. Econ. Statist. , 23 : 49 – 60 .
   Google Scholar
• Chen , J , Hong , H and Stein , JC . 2001 . Forecasting crashes: trading volume, past returns and conditional skewness in stock prices . J. Finan. Econ. , 61 : 345 – 381 .
   Web of Science ®Google Scholar
• Chunachinda , P , Dandapani , K , Hamid , S and Prakasah , AJ . 1997 . Portfolio selection and skewness: evidence from international stock markets . J. Bank. Finan. , 21 : 143 – 167 .
   Web of Science ®Google Scholar
• Cont , R . 2001 . Empirical properties of asset returns: stylized facts and statistical issues . Quant. Finan. , 1 : 223 – 236 .
   Web of Science ®Google Scholar
• Davidson , R and MacKinnon , JG . 1999 . The size of distorsion of bootstrap tests . Economet. Theory , 15 : 361 – 373 .
   Web of Science ®Google Scholar
• Davidson , R and MacKinnon , JG . 2006 . The power of bootstrap and asymptotic tests . J. Economet. , 133 : 421 – 441 .
   Web of Science ®Google Scholar
• de Lima , JPF . 1997 . On the robustness of nonlinearity tests to moment condition failure . J. Economet. , 76 : 251 – 280 .
   Web of Science ®Google Scholar
• Engle , RF and Patton , AJ . 2001 . What good is a volatility model? . Quant. Finan. , 1 : 237 – 245 .
   Web of Science ®Google Scholar
• Godfrey , LG and Orme , CD . 1991 . Testing for skewness of regression disturbances . Econ. Lett. , 37 : 31 – 34 .
   Web of Science ®Google Scholar
• Gourieroux , C , Monfort , A and Trognon , A . 1984 . Pseudo maximun likelihood methods: theory . Econometrica , 52 : 681 – 700 .
   Web of Science ®Google Scholar
• Harvey , CR and Siddique , A . 2000 . Conditional skewness in asset pricing test . J. Finan, Quant. Anal. , 34 : 465 – 487 .
   Web of Science ®Google Scholar
• Jansen , DW and de Vries , CG . 1991 . On the frequencies of large stock returns: putting booms and busts into perspective . Rev. Econ. Statist. , 73 : 18 – 24 .
   Web of Science ®Google Scholar
• Joanes , DN and Gill , CA . 1998 . Comparing measures of sample skewness and kurtosis . Statistician , 47 : 183 – 189 .
   Google Scholar
• Jondeau. E. and Rockinger , M . 2004 . Optimal portfolio allocation under higher moments . Note d'etude et recherche 108, Banque de France
   Google Scholar
• Karian , ZA and Dudewicz , EJ . 2000 . Fitting Statistical Distributions , Oxford : Taylor & Francis/CRC Press .
   Google Scholar
• Kendall , M and Stuart , A . 1969 . The Advanced Theory of Statistics , London : McGraw-Hill .
   Google Scholar
• Kim , TH and White , A . 2004 . On more robust estimation of skewness and kurtosis: simulation and application to the S&P500 Index . Finan. Res. Lett. , 1 : 56 – 70 .
   Google Scholar
• Lomnicki , ZA . 1961 . Test for departure from normality in the case of linear stochastic processes . Metrika , 4 : 37 – 62 .
   Web of Science ®Google Scholar
• Loretan , M and Phillips , PCB . 1994 . Testing the covariance stationarity of heavy-tailed time series . J. Empir. Finan. , 1 : 211 – 248 .
   Google Scholar
• Lupi , C and Ordine , P . 2001 . Testing for asymmetry in economic time series using bootstrap methods . Econ. Bull. , 3 : 1 – 12 .
   Google Scholar
• Peiró , DA . 1999 . Skewness in financial returns . J. Bank. Finan. , 6 : 847 – 862 .
   Google Scholar
• Peiró , DA . 2004 . Asymmetries and tails in stock index returns: are their distributions really asymmetric? . Quant. Finan. , 4 : 37 – 44 .
   Web of Science ®Google Scholar
• Premaratne , G and Bera , A . 2005 . A test for symmetry with leptokurtic financial data . J. Finan. Economet. , 3 : 169 – 187 .
   Google Scholar
• White , H . 1980 . Maximum likelihood estimation of misspecified models . Econometrica , 50 : 1 – 26 .
   Web of Science ®Google Scholar