Reference : Testing conditional asymmetry: a residual-based approach
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
Testing conditional asymmetry: a residual-based approach
Lambert, Philippe mailto [Université de Liège - ULiège > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales >]
Laurent, Sébastien [> >]
Veredas, Davis [> >]
Journal of Economic Dynamics & Control
Elsevier Science
Yes (verified by ORBi)
[en] We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall into the class of skewed distributions of Fernandez and Steel (1998). In this class, asymmetry is measured by the ratio between the probabilities of being larger and smaller than the mode. Estimation is performed under the null hypothesis of constant asymmetry of the innovations and, in a second step, tests for conditional asymmetry are performed on generalized residuals through parametric and non- parametric methods. We derive the asymptotic distribution of the tests that incorporates the uncertainty of the estimated parameters. A Monte Carlo study shows that neglecting this uncertainty severely biases the tests. An empirical application on a basket of daily returns reveals that financial data often present dynamics in the conditional skewness.

File(s) associated to this reference

Fulltext file(s):

Restricted access
LambertLaurentVeredas2012.pdfPublisher postprint286.01 kBRequest copy

Bookmark and Share SFX Query

All documents in ORBi are protected by a user license.