A robust statistical approach to select adequate error distributions for financial returns
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DOI: 10.1080/02664763.2016.1165803
Abstract: ABSTRACT In this article, we propose a robust statistical approach to select an appropriate error distribution, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional approach, we do not use… read more here.
Keywords: select adequate; statistical approach; error; robust statistical ... See more keywords