In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...

Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera LM test for normality, JB( 1 2 g , g ), JB( 1 2 b ,b ), and finally JB( 1 2 k ,k ). The difference between these tests comes from the different definitions (estimates) of sample skewness and...

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...