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

DOI10.1515/1558-3708.1799zbMATH Open1506.62423OpenAlexW3121903580MaRDI QIDQ5881663FDOQ5881663

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

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Mathematics Subject Classification ID

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

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• Characterizing the asymmetric dependence premium
• Asymmetries and tails in stock index returns: are their distributions really asymmetric?
• MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS
• The asymmetry volatility of return in Chinese equity market based on the structural breaks
• Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price

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