A NEW LARGE SAMPLE TEST OF UNIVARIATE SYMMETRY: A COMPARATIVE SIZE-POWER STUDY
In this paper we will present a comparative size-power study of several known tests of symmetry. We discuss both the tests with a known and an unknown symmetry point. We propose a new tail symmetry based test, that appears to often outperform the other tests under study, especially at large sample size. We illustrate the use of the tests on stock index returns.
skewness, stock index returns, tail test.
