Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
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References listed on IDEAS
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- repec:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492 is not listed on IDEAS
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 1-28, May.
- Paolella, Marc S., 2017. "Asymmetric stable Paretian distribution testing," Econometrics and Statistics, Elsevier, vol. 1(C), pages 19-39.
More about this item
KeywordsStable distribution; Student t distribution; Generalized error distribution; Lagrange multiplier test;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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