Testing Serial Independence against Time Irreversibility

DOI10.2202/1558-3708.1114MaRDI QIDQ3368314zbMATH OpenOpenAlexFDO

Authors Yi-Ting Chen

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1114

zbMATH Keywords

GARCHserial independencetime irreversibilityvolatility asymmetry

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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(8)

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• Testing time reversibility without moment restrictions
• The detection of local irreversibility in time series based on segmentation
• A versatile and robust metric entropy test of time-reversibility, and other hypotheses
• Assessing time-reversibility under minimal assumptions
• scientific article; zbMATH DE number 1281933 (Why is no real title available?)
• A copula spectral test for pairwise time reversibility
• Time irreversible copula-based Markov models

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