Selecting from among 12 alternative distributions of financial data

DOI10.1080/03610918.2020.1727518zbMath1497.62272OpenAlexW3009223209MaRDI QIDQ5867437

Kosei Fukuda

Publication date: 14 September 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1727518

zbMATH Keywords

likelihood ratio testfinancial dataskewed generalized \(t\) distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Estimating the dimension of a model
• Financial Data and the Skewed Generalized T Distribution
• Instrumental Variables Estimation With Flexible Distributions
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Alternative beta estimation for the market model using partially adaptive techniques
• Autoregressive Conditional Density Estimation
• A new look at the statistical model identification

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