Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Year of publication: |
2023
|
---|---|
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
|
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 |
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