Kim, Jeong-Ryeol; Mittnik, Stefan; Rachev, Svetlozar - In: Studies in Nonlinear Dynamics & Econometrics 1 (2007) 3, pp. 131-143
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...
