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

DOI10.1080/02664763.2016.1165803MaRDI QIDQ5138523zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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• Tests of Conditional Predictive Ability
• Value at risk estimation
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