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ARCH model 1 ARCH-Modell 1 Capital income 1 Estimation 1 GARCH innovations 1 Innovation 1 Kapitaleinkommen 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Regression analysis 1 Regressionsanalyse 1 Risikomaß 1 Risk measure 1 Schätzung 1 Statistical distribution 1 Statistical test 1 Statistische Verteilung 1 Statistischer Test 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 asymmetries in financial returns 1 mean-median equality test 1 quantile testing 1 testing symmetry of quantiles 1 value-at-risk 1
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English 1
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Francq, Christian 1 Zakoïan, Jean-Michel 1
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Journal of financial econometrics 1
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
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