Test of fit for a Laplace distribution against heavier tailed alternatives
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Markus Haas & Stefan Mittnik & Marc Paolella, 2006.
"Modelling and predicting market risk with Laplace-Gaussian mixture distributions,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 16(15), pages 1145-1162.
- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2005. "Modeling and predicting market risk with Laplace-Gaussian mixture distributions," CFS Working Paper Series 2005/11, Center for Financial Studies (CFS).
- Thorsten Thadewald & Herbert Buning, 2007. "Jarque-Bera Test and its Competitors for Testing Normality - A Power Comparison," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 87-105.
- Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
- Best, D.J. & Rayner, J.C.W. & Thas, O., 2008. "Comparison of some tests of fit for the Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5338-5343, August.
- Linden, Mikael, 2001. "A Model for Stock Return Distribution," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 159-169, April.
- Gel, Yulia R. & Gastwirth, Joseph L., 2008. "A robust modification of the Jarque-Bera test of normality," Economics Letters, Elsevier, vol. 99(1), pages 30-32, April.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Joan Del Castillo & Jalila Daoudi & Richard Lockhart, 2014. "Methods to Distinguish Between Polynomial and Exponential Tails," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 382-393, June.
- González-Estrada, Elizabeth & Villaseñor, José A., 2016. "A ratio goodness-of-fit test for the Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 30-35.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:54:y:2010:i:4:p:958-965. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/csda .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.