A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes

DOI10.1080/07474930802388066zbMath1156.62054OpenAlexW2127045881MaRDI QIDQ3615087

Jeffrey S. Racine, Esfandiar Maasoumi

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802388066

zbMATH Keywords

entropysymmetrytime seriesmetrickernelnonparametric

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07) Statistical aspects of information-theoretic topics (62B10)

Related Items (6)

A Numerical Study of the Power Function of a New Symmetry Test ⋮ Bootstrap-assisted tests of symmetry for dependent data ⋮ Assessing the dependence structure of the components of hybrid time series processes using mutual information ⋮ Popular support for social evaluation functions ⋮ A data-driven smooth test of symmetry ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures

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