Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Christian Francq and Jean-Michel Zakoïan
| Year of publication: |
2023
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|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1443-1482
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| Subject: | asymmetries in financial returns | GARCH innovations | mean-median equality test | quantile testing | testing symmetry of quantiles | value-at-risk | ARCH-Modell | ARCH model | Schätzung | Estimation | Volatilität | Volatility | Statistischer Test | Statistical test | Innovation | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Theorie | Theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444685