Consistency Bands for the Mean Excess Function and Application to Graphical Goodness-of-fit Test for Financial Data

  •  Amadou Ba    
  •  El Hadj Deme    
  •  Cheikh Seck    
  •  Gane Lo    


In this paper, we use the modern setting of functional empirical processes and recent techniques on uniform estimation for non parametric objects to derive consistency bands for the mean excess function in the i.i.d. case. We apply our results for modelling Dow Jones data to see how good the Generalized hyperbolic distribution fits monthly data.

This work is licensed under a Creative Commons Attribution 4.0 License.