The coefficient of variation asymptotic distribution in the case of non-iid random variables

Detalhes bibliográficos
Autor(a) principal: Curto, José Dias
Data de Publicação: 2009
Outros Autores: Pinto, José Castro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/5542
Resumo: 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.
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spelling The coefficient of variation asymptotic distribution in the case of non-iid random variablesCoefficient of variationAutocorrelationConditional heteroskedasticityNon-iid random variablesDue 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.Taylor & Francis2013-09-06T15:28:00Z2009-01-01T00:00:00Z2009-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/5542eng0266-476310.1080/02664760802382491Curto, José DiasPinto, José Castroinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:28:16Zoai:repositorio.iscte-iul.pt:10071/5542Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:12:39.571477Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The coefficient of variation asymptotic distribution in the case of non-iid random variables
title The coefficient of variation asymptotic distribution in the case of non-iid random variables
spellingShingle The coefficient of variation asymptotic distribution in the case of non-iid random variables
Curto, José Dias
Coefficient of variation
Autocorrelation
Conditional heteroskedasticity
Non-iid random variables
title_short The coefficient of variation asymptotic distribution in the case of non-iid random variables
title_full The coefficient of variation asymptotic distribution in the case of non-iid random variables
title_fullStr The coefficient of variation asymptotic distribution in the case of non-iid random variables
title_full_unstemmed The coefficient of variation asymptotic distribution in the case of non-iid random variables
title_sort The coefficient of variation asymptotic distribution in the case of non-iid random variables
author Curto, José Dias
author_facet Curto, José Dias
Pinto, José Castro
author_role author
author2 Pinto, José Castro
author2_role author
dc.contributor.author.fl_str_mv Curto, José Dias
Pinto, José Castro
dc.subject.por.fl_str_mv Coefficient of variation
Autocorrelation
Conditional heteroskedasticity
Non-iid random variables
topic Coefficient of variation
Autocorrelation
Conditional heteroskedasticity
Non-iid random variables
description 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.
publishDate 2009
dc.date.none.fl_str_mv 2009-01-01T00:00:00Z
2009-01
2013-09-06T15:28:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/5542
url http://hdl.handle.net/10071/5542
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0266-4763
10.1080/02664760802382491
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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