We check the empirical importance of some generalisations of the conditional distribution in M-GARCH case. A copula M-GARCH model with coordinate free conditional distribution is considered, as a continuation of research concerning specification of the conditional distribution in multivariate...

We propose a non-standard sub-sampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterizing fluctuations of economic growth. We show that some characteristics of business cycle can be modeled in a non-parametric way...

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following Cizek and Spokoiny (2009), Amado and Teräsvirta (2012) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a...