Time reversibility of stationary regular finite-state Markov chains

Author:

McCausland William J.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference20 articles.

1. Chen, Y.-T., Kuan, C.-M., 2001. Time irreversibility and EGARCH effect in US stock index returns. In: Proceedings of the International Conference on Modelling and Forecasting Financial Volatility.

2. Testing time reversibility without moment restrictions;Chen;Journal of Econometrics,2000

3. Calculating posterior distributions and modal estimates in Markov mixture models;Chib;Journal of Econometrics,1996

4. Business cycle asymmetries: characterization and testing based on Markov-switching autoregressions;Clements;Journal of Business and Economic Statistics,2003

5. Retail price cycles and response asymmetry;Eckert;Canadian Journal of Economics,2002

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