TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS
نویسندگان
چکیده
منابع مشابه
Time Irreversible Copula-based Markov Models
Economic and financial time series frequently exhibit time irreversible dynamics. For instance, there is considerable evidence of asymmetric fluctuations in many macroeconomic and financial variables, and certain game theoretic models of price determination predict asymmetric cycles in price series. In this paper, we make two primary contributions to the econometric literature on time reversibi...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2014
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466614000115