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

DOI10.1080/10485252.2022.2143499OpenAlexW3176724415MaRDI QIDQ5881427

Mohamed Chaouch, Naâmane Laïb, Kilani Ghoudi

Publication date: 10 March 2023

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.00633

zbMATH Keywords

specification testsconditional variancemartingale transformconditional meancumulative residual process

Mathematics Subject Classification ID

Nonparametric inference (62Gxx)

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