A distribution-free test for symmetry with an application to S&P index returns

Manabu Asai and Ulziijargal Dashzeveg

Applied Economics Letters, 2008, vol. 15, issue 6, pages 461-464

Abstract: We propose a distribution-free test of symmetry. Monte Carlo results show the new test usually outperforms the nonnormality robust version of the Jarque-Bera test. Empirical results indicate that the tail of the distribution is too heavy to apply the latter test, while the former is always valid.

Date: 2008

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