Time reversibility tests of volume-volatility dynamics for stock returns

DOI10.1016/S0165-1765(03)00146-0zbMath1254.91586MaRDI QIDQ1927371

Wai Mun Fong

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

nonparametric testtime reversibilityARCH and trading volume

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Time reversibility of stationary regular finite-state Markov chains ⋮ Surprise volume and heteroskedasticity in equity market returns ⋮ A test of symmetry based on L-moments with an application to the business cycles of the G7 economies ⋮ Time reversal invariance in finance

Cites Work

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• Volume, volatility, and leverage: A dynamic analysis
• On the robustness of nonlinearity tests to moment condition failure
• Testing time reversibility without moment restrictions
• Nonlinear Dynamic Structures
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Two-Sided Screening Procedures in the Bivariate Case
• The Stationary Bootstrap

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