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.
|Date of creation:||21 Mar 2012|
|Date of revision:|
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