Title: A note on the use of the Box-Cox transformation for financial data

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.

DOI: 10.1504/IJCEE.2020.10024440

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 *

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