Testing for stability based on the empirical characteristic funstion with applications to financial data

DOI10.1080/00949659908811982zbMath0944.62047OpenAlexW1983650273MaRDI QIDQ4949760

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Publication date: 8 May 2000

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659908811982

zbMATH Keywords

stock returnsgoodness-of-fit teststable distributionsymmetric stability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (12)

Comments on: ``Tests for multivariate normality -- a critical review with emphasis on weighted \(L^2\)-statistics ⋮ A Class of Omnibus Tests for the Laplace Distribution based on the Empirical Characteristic Function ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ A general Monte Carlo method for multivariate goodness-of-fit testing applied to elliptical families ⋮ A characterization and a class of omnibus tests for the exponential distribution based on the empirical characteristic function ⋮ On nonparametric change point estimator based on empirical characteristic functions ⋮ Tests of fit for normal inverse Gaussian distributions ⋮ Consistent tests for symmetric stability with finite mean based on the empirical characteristic function ⋮ Change point analysis based on empirical characteristic functions ⋮ Goodness-of-Fit Tests for the Gamma Distribution Based on the Empirical Laplace Transform ⋮ Permutation tests for homogeneity based on the empirical characteristic function ⋮ Contributions of empirical and quantile processes to the asymptotic theory of goodness-of-fit tests. (With comments)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions
• The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
• On the relation between GARCH and stable processes
• Generalized portmanteau statistics and tests of randomness
• Regression-Type Estimation of the Parameters of Stable Laws
• Tests for normality in stable laws
• An iterative procedure for the estimation of the parameters of stable laws
• Asymptotic distribution of regression type estimators of parameters of stable laws
• On the Stable Paretian Behavior of Stock-Market Prices
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Modeling asset returns with alternative stable distributions^*
• Parameter Estimates for Symmetric Stable Distributions

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