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Testing for Asymmetric Comovements *
Author(s) -
Chuang OChia,
Song Xiaojun,
Taamouti Abderrahim
Publication year - 2022
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/obes.12485
Subject(s) - mathematics , parametric statistics , multiplier (economics) , monte carlo method , nonlinear system , statistical hypothesis testing , null hypothesis , statistics , kernel (algebra) , econometrics , economics , discrete mathematics , physics , quantum mechanics , macroeconomics
Abstract This paper aims to provide non‐parametric tests for asymmetric comovements between random variables. We consider the popular Cramér‐von Mises and Kolmogorov–Smirnov test statistics based on the distance between positive and negative joint conditional exceedance distribution functions. These tests can capture both linear and nonlinear dependence in the data and do not require selecting kernel functions and bandwidths. We derive the asymptotic distributions of the tests and establish the validity of a block multiplier‐type bootstrap that one can use in finite‐sample settings. We also show that these tests are consistent for any fixed alternative and have non‐trivial power for detecting local alternatives converging to the null at the parametric rate. Monte Carlo simulations and a real financial data analysis illustrate satisfactory performance of the proposed tests.