Time reversibility tests of volume-volatility dynamics for stock returns
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 81 (2003)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/ecolet
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- Ramsey, James B & Rothman, Philip, 1996.
"Time Irreversibility and Business Cycle Asymmetry,"
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- Hinich , Melvin J. & Rothman, Philip, 1998.
"Frequency-Domain Test Of Time Reversibility,"
Cambridge University Press, vol. 2(01), pages 72-88, March.
- Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
- de Lima, Pedro J. F., 1997. "On the robustness of nonlinearity tests to moment condition failure," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 251-280.
- Dennis Jansen & Casper de Vries, 1988.
"On the frequency of large stock returns: putting booms and busts into perspective,"
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- Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
- Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam, 1997. "Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 51-59, January.
- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
- Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
- McCAUSLAND, William J., 2004.
"Time Reversibility of Stationary Regular Finite State Markov Chains,"
Cahiers de recherche
09-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- McCausland, William J., 2007. "Time reversibility of stationary regular finite-state Markov chains," Journal of Econometrics, Elsevier, vol. 136(1), pages 303-318, January.
- McCAUSLAND, William, 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 2004-07, Universite de Montreal, Departement de sciences economiques.
- Massimo Caruso, 2006. "Stock market fluctuations and money demand in Italy, 1913-2003," Temi di discussione (Economic working papers) 576, Bank of Italy, Economic Research and International Relations Area.
- Fernandez, Viviana, 2009. "The behavior of stock returns in the mining industry following the Iraq war," Research in International Business and Finance, Elsevier, vol. 23(3), pages 274-292, September.
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