Background
Type: Article

Goodness-of-fit testing for the Cauchy distribution with application to financial modeling

Journal: Journal Of King Saud University - Science (10183647)Year: 2019/10/01Volume: Issue: 4
Mahdizadeh M.Zamanzade E.a
Green • GoldDOI:10.1016/j.jksus.2019.01.015Language: English

Abstract

This 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. © 2019 The Authors


Author Keywords

EntropyFat-tailed distributionsFinancial returns