Search Results - subject:"Time Irreversibility"

A flexible state-space model with application to stochastic volatility

Gouriéroux, Christian; Lu, Yang - 2016

Persistent link: https://www.econbiz.de/10012196330

Second-order moments of frequency asymmetric cycles

Artiach, Miguel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2011

Second-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in...

Persistent link: https://www.econbiz.de/10009399779

Classifying of financial time series based on multiscale entropy and multiscale time irreversibility

Xia, Jianan; Shang, Pengjian; Wang, Jing; Shi, Wenbin - In: Physica A: Statistical Mechanics and its Applications 400 (2014) C, pp. 151-158

Time irreversibility is a fundamental property of many time series. We apply the multiscale entropy (MSE) and … multiscale time irreversibility (MSTI) to analyze the financial time series, and succeed to classify the financial markets …, and loss of time irreversibility has been detected in high noise added series. …

Persistent link: https://www.econbiz.de/10010874345

Structural change in macroeconomic time series: A complex systems perspective

Hinich, MJ; Foster, J; Wild, P - 2006

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...

Persistent link: https://www.econbiz.de/10009448044

The grip of history and the scope for novelty : some results and open questions on path dependence in economic processes

Castaldi, Carolina (contributor); Dosi, Giovanni (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002132996

Analysis of heartbeat asymmetry based on multi-scale time irreversibility test

Hou, Fengzhen; Zhuang, Jianjun; Bian, Chunhua; Tong, Tangji - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 754-760

performing high-dimensional time irreversibility tests to heartbeat interval time series over multiple scales. The results … is selected within a proper range, and also provides a new way to analyze the time irreversibility for other high …

Persistent link: https://www.econbiz.de/10010871804

Econometric modelling in the presence of evolutionary change

Foster, J.; Wild, P. - 1999

A methodology is offered which can be used to construct an econometric model in the presence of structural change of an evolutionary type. The theoretical basis for such modelling is drawn from the self-organisation approach and operationalised in the context of the logistic diffusion growth...

Persistent link: https://www.econbiz.de/10009448572

Testing Serial Independence against Time Irreversibility

Chen, Yi-Ting - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1114-1114

In this paper we propose a unified framework for testing serial independence against time irreversibility. This …

Persistent link: https://www.econbiz.de/10004966218

Time Irreversibility in Consumers' Expenditure: An Analysis of Disaggregated Data

Cook, Steven; Speight, Alan - In: International Review of Applied Economics 21 (2007) 4, pp. 561-575

application of tests for time irreversibility to UK data subject to a higher degree of disaggregation than considered in previous … of the underlying causes of such time irreversibility exhibit pronounced difference according to the degree of durability …

Persistent link: https://www.econbiz.de/10005445858

International Business Cycle Asymmetry and Time Irreversible Nonlinearities

Cook, Steven; Speight, Alan - In: Journal of Applied Statistics 33 (2006) 10, pp. 1051-1065

wars and other extreme events. Statistically significant time irreversibility is reported for the output growth rates of … almost all of the countries considered in the full sample data, and there is evidence that this time irreversibility is of a … considered. However, the time irreversibility test results for the outlier-trimmed full sample data reveal significant time …

Persistent link: https://www.econbiz.de/10009225596