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Testing for skewness in ar conditional volatility models for financial return series
Örebro University.
University of Cyprus.
2012 (English)Report (Other academic)
Abstract [en]

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.
Series
Örebro University Swedish business school Working papers, ISSN 1403-0586 ; 2012:4
Keyword [en]
ARCH /GARCH model, Kurtosis, NoVaS, Skewness
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-50646OAI: oai:DiVA.org:lnu-50646DiVA: diva2:911481
Available from: 2016-03-11 Created: 2016-03-11 Last updated: 2016-04-11Bibliographically approved

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Mantalos, Panagiotis
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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  • asciidoc
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