Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation
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|Date of creation:||2013|
|Publication status:||Published by:|
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- 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.
- 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.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013.
"Inference for vast dimensional elliptical distributions,"
Springer, vol. 28(4), pages 1853-1880, August.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
- 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.
- Garel, B. & Hallin, M., 1992. "Local Asymptotic Normality of Multivariate ARMA Processes with a Linear Trend," Papers 9213, Universite Libre de Bruxelles - C.E.M.E..
- Marc Hallin & Bernard Garel, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," ULB Institutional Repository 2013/2053, ULB -- Universite Libre de Bruxelles.
- repec:ulb:ulbeco:2013/136280 is not listed on IDEAS
- Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.
- 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.
- 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.
- 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..
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
- 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. Full references (including those not matched with items on IDEAS)
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