On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
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Cited by:
- Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
- Bernard Garel & Marc Hallin, 1995.
"Local asymptotic normality of multivariate ARMA processes with a linear trend,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 551-579, September.
- Garel, B. & Hallin, M., 1992. "Local Asymptotic Normality of Multivariate ARMA Processes with a Linear Trend," Papers 9213, Universite Libre de Bruxelles - C.E.M.E..
- Marc Hallin & Bernard Garel, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," ULB Institutional Repository 2013/2053, ULB -- Universite Libre de Bruxelles.
- Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022.
"Is Climate Change Time-Reversible?,"
Econometrics, MDPI, vol. 10(4), pages 1-18, December.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Papers 2205.07579, arXiv.org, revised Nov 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Working Paper series 22-08, Rimini Centre for Economic Analysis, revised Dec 2022.
- Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time-reversible?," Working Papers 498, University of Milano-Bicocca, Department of Economics, revised Nov 2022.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017.
"Quantile spectral analysis for locally stationary time series,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
- Stefan Skowronek & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2014. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ecares 2014-24, ULB -- Universite Libre de Bruxelles.
- Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2015. "Quantile Spectral Analysis for Locally Stationary Time Series," Working Papers ECARES ECARES 2015-27, ULB -- Universite Libre de Bruxelles.
- Zacharias Psaradakis, 2008. "Assessing Time‐Reversibility Under Minimal Assumptions," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 881-905, September.
- Hinich , Melvin J. & Rothman, Philip, 1998.
"Frequency-Domain Test Of Time Reversibility,"
Macroeconomic Dynamics, Cambridge University Press, vol. 2(1), pages 72-88, March.
- Melvin J. Hinich & Philip Rothman, "undated". "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics.
- Chen Yi-Ting, 2003. "Testing Serial Independence against Time Irreversibility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-30, October.
- Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
- 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.
- Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
- Zacharias Psaradakis & Martin Sola, 2003.
"On detrending and cyclical asymmetry,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
- Martin Sola & Zacharias Psaradakis, 2002. "On Detrending and Cyclical Asymmetry," Department of Economics Working Papers 020, Universidad Torcuato Di Tella.
- Christian Gouriéroux & Jean-Michel Zakoïan, 2015.
"On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 876-887, November.
- Gouriéroux, Christian & Zakoian, Jean-Michel, 2014. "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper 54907, University Library of Munich, Germany.
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Keywords
ARMA process; Gaussian process; General linear process; Reversible;All these keywords.
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