The bootstrap approach for testing skewness persistence

The bootstrap approach for testing skewness persistence

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Article ID: iaor1994368
Country: United States
Volume: 39
Issue: 4
Start Page Number: 487
End Page Number: 491
Publication Date: Apr 1993
Journal: Management Science
Authors:
Keywords: investment, time series & forecasting methods
Abstract:

This study presents a new methodology for testing changes in skewness between time periods (or samples) using the bootstrap method. A Monte Carlo simulation experiment was conducted to compare the effectiveness of the bootstrap method with the method suggested by Lau, Wingender and Lau to test skewness persistance. The results show the bootstrap method to be more powerful than the other method. The bootstrap method was also used to determine the persistence of skewness in stock returns. The results show that, in a large percentage of stocks, skewness persists over time.

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