The conditional variance, skewness, and kurtosis play a central role in time series analysis. These three conditional moments (CMs) are often studied by some parametric models but with two big issues: ...

In this paper, a local 𝑀-estimation for the conditional variance function in heteroscedastic regression models under stationary α-mixing dependent samples is developed. The local 𝑀-estimator is ...

Abstract: A copula is a function that links univariate marginals to their full multivariate distribution. This paper derives the conditional means and conditional variances for the well-known ...