A nonparametric test of the mixture-of-distributions model

DOI10.1088/1469-7688/3/3/304zbMath1408.62190MaRDI QIDQ4647259

Wai Mun Fong, Wesley Fabrice Lab-Sane

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/3/304

zbMATH Keywords

nonparametric test; price volatility; mixture-of-distributions model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)