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Assessing symmetry of financial returns series
Authors:HF Coronel-Brizio  R Huerta-Quintanilla
Institution:a Facultad de Física e Inteligencia Artificial. Universidad Veracruzana, Apdo. Postal 475. Xalapa, Veracruz, México
b Departamento de Física Aplicada. Centro de Investigación y de Estudios Avanzados del IPN. Unidad Mérida. Antigua carretera a Progreso km. 6, Mérida, Yucatán 97310, México
Abstract:Testing symmetry of a probability distribution is a common question arising from applications in several fields. Particularly, in the study of observables used in the analysis of stock market index variations, the question of symmetry has not been fully investigated by means of statistical procedures. In this work a distribution-free test statistic Tn for testing symmetry, derived by Einmahl and McKeague, based on the empirical likelihood approach, is used to address the study of symmetry of financial returns. The asymptotic points of the test statistic Tn are also calculated and a procedure for assessing symmetry for the analysis of the returns of stock market indices is presented.
Keywords:05  40  02  50  _method=retrieve&  _eid=1-s2  0-S0378437107004633&  _mathId=si11  gif&  _pii=S0378437107004633&  _issn=03784371&  _acct=C000051805&  _version=1&  _userid=1154080&  md5=be018cba7eeb8e94e21fd38b60ee0000')" style="cursor:pointer  &minus" target="_blank">" alt="Click to view the MathML source" title="Click to view the MathML source">&minus  r  02  50  Ng  89  65  Gh  89  90  +n
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