On the Robustness of Symmetry Tests for Stock Returns
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- Andrew J. Patton, 2004.
"On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation,"
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- Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
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- Gamini Premaratne, 2005. "A Test for Symmetry with Leptokurtic Financial Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 169-187.
- Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," Review of Economic Studies, Oxford University Press, vol. 37(4), pages 537-542.
- Badrinath, S G & Chatterjee, Sangit, 1988. "On Measuring Skewness and Elongation in Common Stock Return Distributions: The Case of the Market Index," The Journal of Business, University of Chicago Press, vol. 61(4), pages 451-472, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011.
"How much Asymmetry is there in Bond Returns and Exchange Rates?,"
Bank of Japan Working Paper Series
11-E-10, Bank of Japan.
- Ippei Fujiwara & Lena Mareen Körber & Daisuke Nagakura, 2011. "How much asymmetry is there in bond returns and exchange rates?," Globalization and Monetary Policy Institute Working Paper 93, Federal Reserve Bank of Dallas.
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