文章基本信息

标题：Goodness-of-fit testing for the Cauchy distribution with application to financial modeling
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作者：M. Mahdizadeh ; Ehsan Zamanzade
期刊名称：Journal of King Saud University - Science
印刷版ISSN：1018-3647
出版年度：2019
卷号：31
期号：4
页码：1167-1174
DOI：10.1016/j.jksus.2019.01.015
语种：English
出版社：Elsevier
摘要：AbstractThis article deals with goodness-of-fit test for the Cauchy distribution. Six new tests based on Kullback-Leibler information are proposed, and shown to be consistent. Monte Carlo evidence indicates that the tests have satisfactory performances against symmetric alternatives. An empirical application to quantitative finance is provided.
关键词：Entropy;Fat-tailed distributions;Financial returns