The coefficient of variation asymptotic distribution in the case of non-iid ran...

• Autor(es): Curto, José Dias ; Pinto, José Castro
• Data: 2009
• Identificador Persistente: http://hdl.handle.net/10071/5542
• Origem: Repositório do ISCTE-IUL
• Assunto(s): Coefficient of variation; Autocorrelation; Conditional heteroskedasticity; Non-iid random variables
• Tipo de Documento: Artigo
• Idioma: Inglês

Descrição

WOS:000260573200003 (Nº de Acesso Web of Science) 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.