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Volumn 81, Issue 2, 2003, Pages 187-195

Tests for time reversibility: A complementarity analysis

Author keywords

CCK test; Misspecification; RR test; Time reversibility

Indexed keywords


EID: 0142056181     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00169-1     Document Type: Article
Times cited : (8)

References (10)
  • 1
    • 0142078641 scopus 로고    scopus 로고
    • A Pearson's test for symmetry with an application to the Spanish business cycle
    • Belaire-Franch J. Contreras D. A Pearson's test for symmetry with an application to the Spanish business cycle Spanish Economic Review 4 2002 221-238
    • (2002) Spanish Economic Review , vol.4 , pp. 221-238
    • Belaire-Franch, J.1    Contreras, D.2
  • 3
    • 0041778792 scopus 로고    scopus 로고
    • Can portmanteau nonlinearity tests serve as general mis-specification tests? Evidence from symmetric and asymmetric GARCH models
    • Brooks C. Henry Ó.T. Can portmanteau nonlinearity tests serve as general mis-specification tests? Evidence from symmetric and asymmetric GARCH models Economics Letters 67 2000 245-251
    • (2000) Economics Letters , vol.67 , pp. 245-251
    • Brooks, C.1    Henry, Ó.T.2
  • 4
    • 25744441952 scopus 로고    scopus 로고
    • Testing conditional symmetry with an application to financial returns
    • Working paper, Institute for Social Sciences and Philosophy, Academia Sinica, Taiwan
    • Chen, Y.-T., 2001. Testing conditional symmetry with an application to financial returns. Working paper, Institute for Social Sciences and Philosophy, Academia Sinica, Taiwan.
    • (2001)
    • Chen, Y.-T.1
  • 5
    • 0036408145 scopus 로고    scopus 로고
    • Time irreversibility and EGARCH effects in US stock index returns
    • Chen Y.-T. Kuan C.-M. Time irreversibility and EGARCH effects in US stock index returns Journal of Applied Econometrics 17 2002 565-578
    • (2002) Journal of Applied Econometrics , vol.17 , pp. 565-578
    • Chen, Y.-T.1    Kuan, C.-M.2
  • 6
  • 7
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • Engle R.F. Ng V. Measuring and testing the impact of news on volatility Journal of Finance 48 1993 1749-1778
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.F.1    Ng, V.2
  • 9
    • 0142110246 scopus 로고    scopus 로고
    • Higher-order residual analysis for simple bilinear and threshold autoregressive models with the TR test
    • P. Rothman (Ed.), Norwell: Kluwer Academic Press
    • Rothman P. Higher-order residual analysis for simple bilinear and threshold autoregressive models with the TR test In: Rothman P. (Ed.), Nonlinear Time Series Analysis of Economic and Financial Data 1999 357-367 Kluwer Academic Press Norwell
    • (1999) Nonlinear Time Series Analysis of Economic and Financial Data , pp. 357-367
    • Rothman, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.