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    A quantile-based test for symmetry of weakly dependent processes

    Psaradakis, Zacharias and Vavra, M. (2015) A quantile-based test for symmetry of weakly dependent processes. Journal of Time Series Analysis 36 (4), pp. 587-598. ISSN 0143-9782.

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    Abstract

    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.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Empirical quantiles, skewness, symmetry, weak dependence
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Zacharias Psaradakis
    Date Deposited: 19 Jun 2015 11:23
    Last Modified: 06 Feb 2020 13:02
    URI: http://eprints.bbk.ac.uk/id/eprint/12368

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