Model Selection Test for the Heavy-Tailed Distributions under Censored Samples with Application in Financial Data

Model Selection Test for the Heavy-Tailed Distributions under Censored Samples with Application in Financial Data

Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about the d...

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Bibliographic Details
Main Author: Hanieh Panahi
Format: Article
Language:English
Published: MDPI AG 2016-12-01
Series:International Journal of Financial Studies
Subjects:
asymptotic distribution
censored sample
heavy-tailed distribution
model selection test
Tehran Stock Exchange
Online Access:http://www.mdpi.com/2227-7072/4/4/24

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