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Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics

Author

Listed:
  • Ramsey, James B.
  • Rothman, Philip

Abstract

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Suggested Citation

  • Ramsey, James B. & Rothman, Philip, 1988. "Characterization Of The Time Irreversibility Of Economic Time Series: Estimators And Test Statistics," Working Papers 88-39, C.V. Starr Center for Applied Economics, New York University.
    • Handle: RePEc:cvs:starer:88-39
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    Citations

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    Cited by:

    1. P. Blanc & J. Donier & J.-P. Bouchaud, 2017. "Quadratic Hawkes processes for financial prices," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 171-188, February.
    2. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Research Discussion Papers 9/1995, Bank of Finland.
    3. Starck, Christian & Virén, Matti, 1992. "Bankruptcies and aggregate economic fluctuations," Research Discussion Papers 25/1992, Bank of Finland.
    4. repec:zbw:bofrdp:1994_011 is not listed on IDEAS
    5. Starck, Christian & Virén, Matti, 1992. "Bankruptcies and aggregate economic fluctuations," Bank of Finland Research Discussion Papers 25/1992, Bank of Finland.
    6. Gilles Zumbach, 2007. "Time reversal invariance in finance," Papers 0708.4022, arXiv.org.
    7. repec:zbw:bofrdp:1995_009 is not listed on IDEAS
    8. repec:zbw:bofrdp:1992_025 is not listed on IDEAS
    9. Takala, Kari & Viren, Matti, 1996. "Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland," European Journal of Operational Research, Elsevier, vol. 93(1), pages 155-172, August.
    10. Philip Rothman, "undated". "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
    11. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Bank of Finland Research Discussion Papers 9/1995, Bank of Finland.
    12. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
    13. Li, Jinyang & Shang, Pengjian, 2018. "Time irreversibility of financial time series based on higher moments and multiscale Kullback–Leibler divergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 248-255.
    14. Takala, Kari & Virén, Matti, 1994. "Chaos and nonlinear dynamics : evidence from Finland," Research Discussion Papers 11/1994, Bank of Finland.
    15. Takala, Kari & Virén, Matti, 1994. "Chaos and nonlinear dynamics: evidence from Finland," Bank of Finland Research Discussion Papers 11/1994, Bank of Finland.

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    Keywords

    econometrics;

    Statistics

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