TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS
基于 Copula 的时间不可逆 Markov 模型
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 reversibility. First, we propose a new test of time reversibility, applicable to stationary…