Distributional tests in multivariate dynamic models with Normal and Student t innovations
Year of publication: |
2009-12
|
---|---|
Authors: | Mencía, Javier ; Sentana, Enrique |
Institutions: | Banco de España |
Subject: | Bootstrap | Inequality Constraints | Kurtosis | Normality Tests | Skewness | Supremum Test | Underidentifed parameters |
-
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS
Sentana, Enrique, (2008)
-
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
Mencía, Javier, (2005)
-
Distributional tests in multivariate dynamic models with normal and student t innovations
Mencía González, Javier, (2010)
- More ...
-
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Mencía, Javier, (2009)
-
Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Ángel, (2007)
-
Mencía, Javier, (2012)
- More ...