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The coefficient of variation asymptotic distribution in the case of non-iid random variables
Authors:José Dias Curto  José Castro Pinto
Institution:Department of Quantitative Methods , ISCTE Business School (IBS), Complexo INDEG/ISCTE , Lisbon , Portugal
Abstract: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.
Keywords:coefficient of variation  autocorrelation  conditional heteroskedasticity  non-iid random variables
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