Testing conditional asymmetry: A residual-based approach

Philippe Lambert; Sebastien Laurent; David Veredas

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Testing conditional asymmetry: A residual-based approach

机译：测试条件不对称：基于残差的方法

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摘要

We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall into the class of skewed distributions of Fernandez and Steel (1998). In this class, asymmetry is measured by the ratio between the probabilities of being larger and smaller than the mode. Estimation is performed under the null hypothesis of constant asymmetry of the innovations and, in a second step, tests for conditional asymmetry are performed on generalized residuals through parametric and non-parametric methods. We derive the asymptotic distribution of the tests that incorporates the uncertainty of the estimated parameters. A Monte Carlo study shows that neglecting this uncertainty severely biases the tests. An empirical application on a basket of daily returns reveals that financial data often present dynamics in the conditional skewness.

机译：我们提出了三个基于残差的条件不对称性检验。假设该分布属于Fernandez和Steel（1998）的偏态分布类别。在此类中，不对称性是通过大于或小于该模式的概率之比来衡量的。估算是在创新的恒定不对称性的零假设下进行的，第二步，通过参数化和非参数化方法对广义残差进行条件不对称性测试。我们推导了包含估计参数不确定性的测试的渐近分布。蒙特卡洛的研究表明，忽略这种不确定性会严重影响测试。一篮子日收益率的经验应用表明，财务数据通常呈现条件偏斜的动态。

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《Journal of Economic Dynamics and Control》 |2012年第8期|p.1229-1247|共19页
作者
Philippe Lambert; Sebastien Laurent; David Veredas;
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作者单位

Methodes quantitatives en sciences sociates. Universite de Liege, Boulevard du Rectorat 7, B4000 Liege, Belgium;

School of Business and Economics, Maastricht University, P.O. Box 616, 6200 MD Maastricht, The Netherlands;

ECARES, Solvay Brussels School of Economics and Management, Universite libre de Bruxelles, 50, Av Roosevelt, CP114/04, B1050 Brussels, Belgium;

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正文语种 eng
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关键词
conditional asymmetry; residuals; wald; runs;

机译：条件不对称残渣瓦尔德运行;

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Testing conditional asymmetry: A residual-based approach

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