Estimation for conditional moment models based on martingale difference divergence

DOI10.1111/JTSA.12788MaRDI QIDQ6962065zbMATH OpenFDO

Authors Kunyang Song, Feiyu Jiang, Ke Zhu

Publication date 9 July 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12788

zbMATH Keywords

conditional moment modelsmartingale difference divergencetime series model estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

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