Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations-Reference-Cited by-同舟云学术

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Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations

Published:2022-11-12 Issue:1 Volume:35 Page:88-121
ISSN:1048-5252
Container-title:Journal of Nonparametric Statistics
language:en
Short-container-title:Journal of Nonparametric Statistics

Author:

Ghoudi Kilani¹^ORCID,Laïb Naâmane²^ORCID,Chaouch Mohamed³^ORCID

Affiliation:

1. College of Business and Economics, United Arab Emirates University, Al Ain, United Arab Emirates

2. Laboratoire AGM, UMR 8088-CNRS, CY Cergy Paris Univeristé, Cergy, France

3. Program of Statistics, Department of Mathematics, Statistics and Physics, College of Arts and Sciences, Qatar University, Doha, Qatar

Funder

CY Advanced Studies of CY Cergy Paris University

United Arab Emirates University

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10485252.2022.2143499

Reference53 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. Transition Densities for Interest Rate and Other Nonlinear Diffusions

3. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

4. Generic Uniform Convergence

5. Identification of nonlinear time series: First order characterization and order determination

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