Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances

This paper investigates the problem of testing for the symmetry of linear time series driven by asymmetric innovations. In particular, we examine the performance of alternative symmetry tests when innovations are fat tailed. Among the tests considered, only the test based on the tail estimator of the spectral measure yields satisfactory results in the presence of fat-tailed innovations.

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Year of publication:	1996
Authors:	Jeong-Ryeol, Kim ; Stefan, Mittnik ; Rachev Svetlozar T.
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708. - Vol. 1.1996, 3, p. 1-15
Publisher:	De Gruyter

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008501232