This study proposes new generalized spectral tests for multivariate martingale difference
hypotheses, specifically geared toward high-dimensionality scenarios where the dimension …

A general framework to devise portmanteau-type test statistics for a general class of
multivariate nonlinear time series models with vector martingale difference errors is …

We provide a new estimation method for conditional moment models via the martingale
difference divergence (MDD). Our MDD‐based estimation method is formed in the …

This article proposes new tests of predictability for non Gaussian sequences that may
display general non linear dependence in higher order properties. We test the null of …

The exponentially weighting scheme is a simple and pragmatic approach to compute the
value at risk (VaR). However, the existing exponentially weighting methods lack a sound …

This paper proposes a sequential test procedure for determining the number of regimes in
nonlinear multivariate autoregressive models. The procedure relies on linearity and no …

This article is focused on the problem to measure and test the conditional mean
dependence of a response variable on a predictor variable. A local influence detection …

We consider the problem of testing for the martingale difference hypothesis for univariate
strictly stationary time series by implementing a novel test for conditional mean …

The article deals with changes in personal income taxation in the Czech Republic in 2022
and their impact on the tax burden. The article also deals with the levy burden represented …

This paper analyses the forecasting performance of a new class of factor models with
martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The …