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The coefficient of variation asymptotic distribution in the case of non-iid random variables. (English) Zbl 1473.62349

Summary: 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.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62E20 Asymptotic distribution theory in statistics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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