Asymmetric Time Series
研究了非对称时间序列模型，即对正负冲击反应不同的时间序列，给出了估计方法和对称性检验，并应用于经济时间序列。
Abstract Asymmetric time series respond to innovations with one of two different rules according to whether the innovation is positive or negative. Quoted industrial prices are apparently such a series. It has been observed that when market conditions change, quoted prices are not revised immediately. This delay operates more strongly against reductions in price quotations than against increases. A statistical model for such asymmetric times series is developed and analyzed. An estimation procedure is given as well as a statistical test of the hypothesis of symmetry versus the alternative of asymmetry. Asymmetric time series models are fit to several economic time series.