New fat-tail normality test based on conditional second moments with applications to finance
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DOI: 10.1007/s00362-020-01176-2
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- Jacobovic, Royi & Kella, Offer, 2022. "A characterization of normality via convex likelihood ratios," Statistics & Probability Letters, Elsevier, vol. 186(C).
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Keywords
20-60-20 rule; Normality test; Fat-tail; Heavy-tail; Non-normality; Stock returns;All these keywords.
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