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The coefficient of variation asymptotic distribution in the case of non-iid random variables

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  • Jose Dias Curto
  • Jose Castro Pinto

Abstract

Due to the widespread use of the coefficient of variation in empirical finance, we derive its asymptotic sampling distribution in the case of non-iid random variables to deal with autocorrelation and/or conditional heteroskedasticity stylized facts of financial returns. We also propose statistical tests for the comparison of two coefficients of variation based on asymptotic normality and studentized time-series bootstrap. In an illustrative example, we analyze the monthly return volatility of six stock market indexes during the years 1990-2007.

Suggested Citation

  • Jose Dias Curto & Jose Castro Pinto, 2009. "The coefficient of variation asymptotic distribution in the case of non-iid random variables," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 21-32.
    • Handle: RePEc:taf:japsta:v:36:y:2009:i:1:p:21-32
    DOI: 10.1080/02664760802382491
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    References listed on IDEAS

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    Cited by:

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    2. Teoh, W.L. & Khoo, Michael B.C. & Castagliola, Philippe & Yeong, W.C. & Teh, S.Y., 2017. "Run-sum control charts for monitoring the coefficient of variation," European Journal of Operational Research, Elsevier, vol. 257(1), pages 144-158.
    3. Jia Geng & Mingsheng Yuan & Shen Xu & Tingting Bai & Yang Xiao & Xiaopeng Li & Dong Xu, 2022. "Urban Expansion Was the Main Driving Force for the Decline in Ecosystem Services in Hainan Island during 1980–2015," IJERPH, MDPI, vol. 19(23), pages 1-18, November.
    4. Ameha Tefera Tessema & Jan Walters Kruger, 2017. "An Improvement on An Interest Rate Commission Agent Banking System Model (AIRCABS Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 685-705.
    5. Jimmy Lockwood & Larry Lockwood & Sie Ting Lau, 2016. "Lost In Translation: Which Stock Prices Bear The Burden To Adjust To Exchange Rates?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(3), pages 263-290, September.

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