Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian … Macedonian Stock Exchange (MSE). Obtaining information about the shape of distribution is an important step for models of pricing …

tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression … power in many practical situations and therefore frequently selects incorrect forecasting models. The empirical results … provide some evidence that GARCH-t models provide good density forecasts. The results further suggest that extensions of …