Testing for skewness in ar conditional volatility models for financial return series
2012 (English)Report (Other academic)
In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to explore the applicability and the capabilities of the proposed testing procedure.
Place, publisher, year, edition, pages
Örebro: Örebro universitet , 2012. , 27 p.
, Örebro University Swedish business school Working papers, ISSN 1403-0586 ; 2012:4
ARCH /GARCH model, Kurtosis, NoVaS, Skewness
Research subject Economy, Economics
IdentifiersURN: urn:nbn:se:lnu:diva-50646OAI: oai:DiVA.org:lnu-50646DiVA: diva2:911481