develop a new class of generalized Cramer–von Mises (GCM) specification tests for time series conditional distribution models … distribution models in a unified framework. They exploit the information in the joint conditional distribution of underlying …. Unlike the existing methods in the literature, the proposed GCM tests cover both univariate and multivariate conditional …

Beran estimator for the conditional distribution function. This, likelihood-based method is also a useful and simple tool …

We use the conditional distribution and conditional expectation of one random variable given the other one being large …

approach to a daily index, the Kuala Lumpur Composite index (KLCI). Our results shows that the choice of the conditional … distribution appear to be a more dominant factor in determining the adequacy of density forecasts than the choice of volatility …

conditional distribution estimation. The first method is based on locally fitting a logistic model and is in the spirit of recent …

develop a new class of generalized Cramer-von Mises (GCM) specification tests for time series conditional distribution models … distribution models in a unified framework. They exploit the information in the joint conditional distribution of underlying …. Unlike the existing methods in the literature, the proposed GCM tests cover both univariate and multivariate conditional …