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On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series

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Author Info

  • Marc Hallin
  • Claude Lefèvre
  • Madan L. Puri

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/2017.

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Date of creation: 1988
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Publication status: Published in: Biometrika (1988) v.75,p.170-171
Handle: RePEc:ulb:ulbeco:2013/2017

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Cited by:
  1. Marc Hallin & Bernard Garel, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," ULB Institutional Repository 2013/2053, ULB -- Universite Libre de Bruxelles.
  2. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, Elsevier, vol. 95(1), pages 199-218, March.
  3. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
  4. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 2(01), pages 72-88, March.
  5. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
  6. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
  7. Gouriéroux, Christian & Zakoian, Jean-Michel, 2014. "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper 54907, University Library of Munich, Germany.
  8. Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.

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