A Statistic for Testing the Null Hypothesis of Elliptical Symmetry

By Alessandro Manzotti, Francisco J. Pérez, A. Quiroz. 2002

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Dynamic copula models for multivariate high-frequency data in finance (2004, methodology): “We use the test discussed in Manzotti et al. (2002).”
Multivariate Symmetry and Asymmetry (2006, methodology): “See [22] and [54] for Monte Carlo methods, [25] for a projection pursuit method based on skewness and kurtosis measures , [35] for graphical methods, and [41] for a method based on averaging spherical harmonics over scaled residuals.”
A semi-parametric approach to risk management (2003, methodology): “Alternatively, one could also use one of the tests suggested in, for example, Baringhaus (1991), Beran (1979) or Manzotti et al (2002).”
Estimating the tail-dependence coefficient: Properties and pitfalls (2005, background): “Further, if one makes use of an elliptically contoured distribution, then we suggest to test for ellipticity; see, e.g., Manzotti et al. (2002).”
A test for the weights of the global minimum variance portfolio in an elliptical model (2008, methodology): “Further tests for elliptical symmetry have been proposed, for example, by Beran (1979), Baringhaus (1991), Manzotti et al. (2002) and Zhu and Neuhaus (2003).”