Authors: Dimitrios Kartsonakis-Mademlis; Nikolaos Dritsakis
Addresses: Department of Applied Informatics, University of Macedonia, Egnatias 156, Thessaloniki, Greece ' Department of Applied Informatics, University of Macedonia, Egnatias 156, Thessaloniki, Greece
Abstract: This paper tests whether the Box-Cox transformation reduces the problem of non-normality in financial data.
Keywords: ARIMA models; Box-Cox transformation; Box-Jenkins methodology; normality; stock market; oil prices.
International Journal of Computational Economics and Econometrics, 2020 Vol.10 No.4, pp.419 - 422
Received: 10 Oct 2018
Accepted: 11 Oct 2018
Published online: 04 Aug 2020 *