A robust statistical approach to select adequate error distributions for financial returns

DOI10.1080/02664763.2016.1165803OpenAlexW2321060544MaRDI QIDQ5138523FDOQ5138523

Authors: Julien Hambuckers, Cedric Heuchenne 

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://orbi.uliege.be/handle/2268/194534

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zbMATH Keywords

model misspecificationerror distributionhyperbolicgoodness of fitskewed-\(t\)nonparametric volatilityselection test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Nonparametric estimation of value-at-risk
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• Nonparametric Risk Management With Generalized Hyperbolic Distributions
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• Likelihood-based scoring rules for comparing density forecasts in tails
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