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:	Kim, Jeong-Ryeol ; Mittnik, Stefan ; Rachev, Svetlozar T.
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 1.1996, 3
Publisher:	De Gruyter
Subject:	Symmetry \| Multivariate symmetry \| Symmetry test \| Characteristic symmetry function \| Spectral measure

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1017 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014620789