Tests for time reversibility: a complementarity analysis
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- Brooks, C. & Henry, O.T., 1999.
"Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models,"
Department of Economics - Working Papers Series
723, The University of Melbourne.
- Brooks, Chris & Henry, Olan T., 2000. "Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models," Economics Letters, Elsevier, vol. 67(3), pages 245-251, June.
- Jorge Belaire-Franch & Dulce Contreras, 2002. "A Pearson's test for symmetry with an application to the Spanish business cycle," Spanish Economic Review, Springer, vol. 4(3), pages 221-238.
- Engle, Robert F & Ng, Victor K, 1993.
" Measuring and Testing the Impact of News on Volatility,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1749-78, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- Yi-Ting Chen & Chung-Ming Kuan, 2002. "Time irreversibility and EGARCH effects in US stock index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 565-578.
- Philip Rothman, . "Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," Working Papers 9813, East Carolina University, Department of Economics.
- Ramsey, J.B. & Rothman, P., 1993.
"Time Irreversibility and Business Cycle Asymmetry,"
93-39, C.V. Starr Center for Applied Economics, New York University.
- 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.
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