Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/5542
Author(s): | Curto, José Dias Pinto, José Castro |
Date: | Jan-2009 |
Title: | The coefficient of variation asymptotic distribution in the case of non-iid random variables |
Volume: | 36 |
Number: | 1 |
Pages: | 21-32 |
Reference: | Curto, D. J., & Pinto, J. C. (2009). The coefficient of variation asymptotic distribution in the case of non-iid random variables. Journal of Applied Statistics, 36(1), 21-32. http://dx.doi.org/10.1080/02664760802382491 |
ISSN: | 0266-4763 |
DOI (Digital Object Identifier): | 10.1080/02664760802382491 |
Keywords: | Coefficient of variation Autocorrelation Conditional heteroskedasticity Non-iid random variables |
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. |
Peerreviewed: | Sim |
Access type: | Open Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
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