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http://hdl.handle.net/10071/5542
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Title: The coefficient of variation asymptotic distribution in the case of non-iid random variables
Authors: Curto, José Dias
Pinto, José Castro
Keywords: Coefficient of variation
Autocorrelation
Conditional heteroskedasticity
Non-iid random variables
Issue Date: Jan-2009
Publisher: Taylor & Francis
Abstract: Due to the widespread use of the coefficient of variation in empirical finance, we derive its asymptotic sampling distribution in the case of non-iid random variables to deal with autocorrelation and/or conditional heteroskedasticity stylized facts of financial returns. We also propose statistical tests for the comparison of two coefficients of variation based on asymptotic normality and studentized time-series bootstrap. In an illustrative example, we analyze the monthly return volatility of six stock market indexes during the years 1990–2007.
Description: WOS:000260573200003 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: http://hdl.handle.net/10071/5542
DOI: 10.1080/02664760802382491
ISSN: 0266-4763
Publisher version: The original version is available at Taylor & Francis http://dx.doi.org/10.1080/02664760802382491
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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