An approximate method for generating asymmetric random variables
Communications of the ACM
Accurate value-at-risk forecasting based on the normal-GARCH model
Computational Statistics & Data Analysis
Comparison of nonnested asymmetric heteroskedastic models
Computational Statistics & Data Analysis
Mixtures of equispaced normal distributions and their use for testing symmetry with univariate data
Computational Statistics & Data Analysis
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A possible approach to test for conditional symmetry in time series regression models is discussed. To that end, the Bai and Ng test is utilized. The performance of some popular (unconditional) symmetry tests for observations when applied to regression residuals is also examined. The tests considered include the coefficient of skewness, a joint test of the third and fifth moments, the Runs test, the Wilcoxon signed-rank test and the Triples test. An easy-to-implement symmetric bootstrap procedure is proposed to calculate critical values for these tests. Consistency of the bootstrap procedure will be shown. A simple Monte Carlo experiment is conducted to explore the finite-sample properties of all the tests.