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Simple tests for peakedness, fat tails and leptokurtosis based on quantiles

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  • Schmid, Friedrich
  • Trede, Mark

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  • Schmid, Friedrich & Trede, Mark, 2003. "Simple tests for peakedness, fat tails and leptokurtosis based on quantiles," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 1-12, May.
    • Handle: RePEc:eee:csdana:v:43:y:2003:i:1:p:1-12
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    Cited by:

    1. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
    2. Campbell, Cynthia J. & Cowan, Arnold R. & Salotti, Valentina, 2010. "Multi-country event-study methods," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3078-3090, December.
    3. Kössler, Wolfgang, 2010. "Max-type rank tests, U-tests, and adaptive tests for the two-sample location problem -- An asymptotic power study," Computational Statistics & Data Analysis, Elsevier, vol. 54(9), pages 2053-2065, September.
    4. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
    5. Brys, Guy & Hubert, Mia & Struyf, Anja, 2006. "Robust measures of tail weight," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 733-759, February.
    6. Ordás Criado, C. & Grether, J.-M., 2011. "Convergence in per capita CO2 emissions: A robust distributional approach," Resource and Energy Economics, Elsevier, vol. 33(3), pages 637-665, September.
    7. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
    8. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    9. C. Satheesh Kumar & S. Dharmaja, 2014. "On some properties of Kies distribution," METRON, Springer;Sapienza Università di Roma, vol. 72(1), pages 97-122, April.

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