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Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances

Kim Jeong-Ryeol (), Stefan Mittnik and Rachev Svetlozar T.
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Kim Jeong-Ryeol: Institute of Statistics and Econometrics Christian Albrechts University at Kiel, Germany
Rachev Svetlozar T.: Department of Statistics and Applied Probability University of California Santa Barbara, CA 93106-3110, USA

Studies in Nonlinear Dynamics & Econometrics, 1996, vol. 1, issue 3, 1-15

Abstract: 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.

Date: 1996
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