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A function $f$ that has continuous third order partial derivatives in $\mathbb{R}^n$. I'm just wondering that since the partial derivatives are continuous then the Hessian matrix is symmetric. Is that correct?

Thanks.

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    Yes, that is correct. You only need second order partials to be continuous. See http://en.wikipedia.org/wiki/Symmetry_of_second_derivatives2012-03-19

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The mere existence of third order partial derivatives implies that the second order derivatives are continuous. As noted by Robert Israel in comments, the continuity of second order partial derivatives is a sufficient condition for the symmetry of Hessian.