A consistent test for conditional symmetry in time series models

DOI10.1016/S0304-4076(01)00044-6zbMath0971.62045OpenAlexW2112643447MaRDI QIDQ5939174

Jushan Bai, Serena Ng

Publication date: 4 October 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00044-6

zbMATH Keywords

Brownian motionARCHGARCHnonlinear time seriesasymptotically distribution freeconditional symmetryempirical distribution functionskewness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Markov processes: hypothesis testing (62M02)

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