Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications

DOI10.1515/1558-3708.1799MaRDI QIDQ5881663zbMATH OpenOpenAlexFDO

Authors Emre Yoldas

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/1558-3708.1799

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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

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