On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
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- 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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- Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
- Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
- Zacharias Psaradakis, 2008. "Assessing Time-Reversibility Under Minimal Assumptions," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 881-905, September.
- Christian Gouriéroux & Jean-Michel Zakoïan, 2015.
"On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes,"
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- 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.
More about this item
KeywordsARMA process; Gaussian process; General linear process; Reversible;
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