Testing for skewness in AR conditional volatility models for financial return series

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.

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Year of publication:	2012
Authors:	Mantalos, Panagiotis ; Karagrigoriou, Alex
Publisher:	Örebro : Örebro University School of Business
Subject:	ARCH /GARCH model \| kurtosis \| NoVaS \| skewness

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Series:	Working Paper ; 4/2012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/244478 [Handle] RePEc:hhs:oruesi:2012_004 [RePEc]
Classification:	C01 - Econometrics ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10012654374