Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price

DOI10.1515/strm-2016-0010zbMath1362.62185OpenAlexW2602203421MaRDI QIDQ2397479

Ben Zheng, Hong Miao, Piotr S. Kokoszka

Publication date: 22 May 2017

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2016-0010

zbMATH Keywords

functional data analysistwo sample testasymmetric betacumulative intraday return curves

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Risk analysis of cumulative intraday return curves ⋮ Factor models for high‐dimensional functional time series I: Representation results

Cites Work

• Inference for functional data with applications
• Common functional principal components
• Testing stationarity of functional time series
• Dispersion operators and resistant second-order functional data analysis
• Two sample inference in functional linear models
• Testing the Equality of Covariance Operators in Functional Samples
• Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
• Second-Order Comparison of Gaussian Random Functions and the Geometry of DNA Minicircles

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