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

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