() and Alex Karagrigoriou
Panagiotis Mantalos: Department of Business, Economics, Statistics and Informatics, Postal: Örebro University, Swedish Business School, SE - 701 82 ÖREBRO, Sweden
Alex Karagrigoriou: Department of Mathematics and Statistics, University of Cyprus
Abstract: 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.
27 pages, March 21, 2012
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