A Quantile-based Test for Symmetry of Weakly Dependent Processes

Zacharias Psaradakis and Marian Vavra ()

Journal of Time Series Analysis, 2015, vol. 36, issue 4, 587-598

Abstract: type="main" xml:id="jtsa12132-abs-0001"> This article considers the problem of testing for symmetry of the marginal distribution of weakly dependent, stationary random processes. A quantile-based test for symmetry is proposed, which is easy to implement, requires no moment assumptions and has a standard asymptotic distribution. The finite-sample properties of the test are assessed by means of Monte Carlo experiments. An application to financial time series is also discussed.

Date: 2015
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