A class of autoregressive moving-average (ARMA) models proposed by Jorgensen and Song [Journal of Applied Probability (1998), Vol. 35, pp. 78-92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property...

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Traditionally stationarity refers to shift invariance of the distribution of a stochastic process. In this paper, we rediscover stationarity as a path property instead of a distributional property. More precisely, we characterize a set of paths denoted as A, which corresponds to the notion of...

This paper provides a selected review of the recent developments and applications of mixture-of-normal (MN) distribution models in financial econometrics. One noted feature of the MN model is its flexibility in accommodating various shapes of continuous distributions, and its ability in...