The Bootstrap Approach for Testing Skewness Persistence
提出用自助法检验不同时期偏度变化的新方法，蒙特卡洛模拟显示其比Lau等人(1989)的方法更有效，并用于股票收益数据发现多数股票的偏度具有持续性。
This study presents a new methodology for testing changes in skewness between time periods (or samples) using the bootstrap method. A Monte Carlo simulation experiment was conducted to compare the effectiveness of the bootstrap method with the method suggested by Lau, Wingender and Lau (1989) to test skewness persistence. The results show the bootstrap method to be more powerful than the other method. The bootstrap method was also used to determine the persistence of skewness in stock returns. The results show that, in a large percentage of stocks, skewness persists over time.