Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10475242 | Journal of Empirical Finance | 2012 | 27 Pages |
Abstract
⺠We propose a simple approach to higher-moment tests for distribution, symmetry, or independence hypothesis. ⺠Our approach purges the estimation effect using the first and second moments of the standardized residuals. ⺠Our tests are simple and invariant to various conditional mean-and-variance models. ⺠Examples include skewness-kurtosis tests, characteristic-function-based tests, and Value-at-Risk tests. ⺠Simulation and empirical example show the validity of our approach.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yi-Ting Chen,