Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/5542
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Curto, José Dias | - |
dc.contributor.author | Pinto, José Castro | - |
dc.date.accessioned | 2013-09-06T15:28:00Z | - |
dc.date.available | 2013-09-06T15:28:00Z | - |
dc.date.issued | 2009-01 | - |
dc.identifier | http://dx.doi.org/10.1080/02664760802382491 | - |
dc.identifier.citation | 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 | - |
dc.identifier.issn | 0266-4763 | por |
dc.identifier.uri | http://hdl.handle.net/10071/5542 | - |
dc.description | WOS:000260573200003 (Nº de Acesso Web of Science) | - |
dc.description.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. | por |
dc.language.iso | eng | por |
dc.publisher | Taylor & Francis | por |
dc.rights | openAccess | por |
dc.subject | Coefficient of variation | por |
dc.subject | Autocorrelation | por |
dc.subject | Conditional heteroskedasticity | por |
dc.subject | Non-iid random variables | por |
dc.title | The coefficient of variation asymptotic distribution in the case of non-iid random variables | por |
dc.type | article | - |
dc.pagination | 21-32 | por |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | Sim | por |
dc.relation.publisherversion | The original version is available at Taylor & Francis http://dx.doi.org/10.1080/02664760802382491 | por |
dc.journal | Journal of Applied Statistics | por |
dc.distribution | Internacional | por |
dc.volume | 36 | por |
dc.number | 1 | por |
dc.identifier.doi | 10.1080/02664760802382491 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
article_hdl5542.pdf | 303,2 kB | Adobe PDF | Ver/Abrir |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.