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Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation

Listed author(s):
  • Christophe Ley
  • Anouk Neven
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/143830/1/2013-26-LEY_NEVEN-simple.pdf
    File Function: 2013-26-LEY_NEVEN-simple
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2013-26.

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    Date of creation: 2013
    Publication status: Published by:
    Handle: RePEc:eca:wpaper:2013/143830
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    Phone: (32 2) 650 30 75
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    Web page: http://difusion.ulb.ac.be

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    1. Swensen, Anders Rygh, 1985. "The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend," Journal of Multivariate Analysis, Elsevier, vol. 16(1), pages 54-70, February.
    2. Christophe Ley & Davy Paindaveine, 2010. "On Fisher information matrices and profile log-likelihood functions in generalized skew-elliptical models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 235-250.
    3. repec:ulb:ulbeco:2013/136280 is not listed on IDEAS
    4. Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.
    5. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
    6. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    7. Bernard Garel & Marc Hallin, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 551-579, September.
    8. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
    9. Richardson, Matthew & Smith, Tom, 1993. "A Test for Multivariate Normality in Stock Returns," The Journal of Business, University of Chicago Press, vol. 66(2), pages 295-321, April.
    10. Hagerman, Robert L, 1978. "More Evidence on the Distribution of Security Returns," Journal of Finance, American Finance Association, vol. 33(4), pages 1213-1221, September.
    11. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
    12. Perry, Philip R., 1983. "More Evidence on the Nature of the Distribution of Security Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(02), pages 211-221, June.
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