Time irreversible copula-based Markov Models
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- Beare, Brendan K. & Seo, Juwon, 2014. "Time Irreversible Copula-Based Markov Models," Econometric Theory, Cambridge University Press, vol. 30(5), pages 923-960, October.
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- Yuichi Goto & Tobias Kley & Ria Van Hecke & Stanislav Volgushev & Holger Dette & Marc Hallin, 2021. "The Integrated Copula Spectrum," Working Papers ECARES 2021-29, ULB -- Universite Libre de Bruxelles.
- Beare, Brendan K. & Seo, Juwon, 2020.
"Randomization Tests Of Copula Symmetry,"
Econometric Theory, Cambridge University Press, vol. 36(6), pages 1025-1063, December.
- Brendan K. Beare & Juwon Seo, 2019. "Randomization tests of copula symmetry," Papers 1911.05307, arXiv.org.
- Bastianin, Andrea & Manera, Matteo, 2021. "A test of symmetry based on L-moments with an application to the business cycles of the G7 economies," Economics Letters, Elsevier, vol. 198(C).
- Tommaso Proietti, 2023.
"Peaks, gaps, and time‐reversibility of economic time series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 43-68, January.
- Tommaso Proietti, 2020. "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper 492, Tor Vergata University, CEIS, revised 17 Jun 2020.
- Brendan K. Beare & Juwon Seo, 2015. "Vine Copula Specifications for Stationary Multivariate Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 228-246, March.
- Shibin Zhang, 2023. "A copula spectral test for pairwise time reversibility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 705-729, October.
- Fang, Jun & Jiang, Fan & Liu, Yong & Yang, Jingping, 2020. "Copula-based Markov process," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 166-187.
- Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
- Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
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Keywords
Social and Behavioral Sciences; Markov chains; time irreversible dynamics; economic time series;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-04-17 (Econometrics)
- NEP-ETS-2012-04-17 (Econometric Time Series)
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