Testing Serial Independence against Time Irreversibility

DOI10.2202/1558-3708.1114zbMath1080.62554OpenAlexW2280024434MaRDI QIDQ3368314

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

GARCHtime irreversibilityserial independencevolatility asymmetry

Mathematics Subject Classification ID

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

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