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多变量时间序列模型中的鞅差假设检验AI 解读

This article proposes a general class of tests to examine whether the error term is a martingale difference sequence in a multivariate time series model with parametric conditional mean. These new tests are formed based on recently developed martingale difference divergence matrix (MDDM), and they provide formal tools to test the multivariate martingale difference hypothesis in the literature for the first time. Under suitable conditions, the asymptotic null distributions of…

非对称幂 GARCH 模型的混合分位数估计AI 解读

Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has been rarely investigated. This paper introduces a simple monotonic transformation on its conditional quantile function to make the quantile regression tractable. The asymptotic normality of the resulting quantile estimators is established under either stationarity or non-stationarity. Moreover, based on the estimation procedure, new…