Goodness-of-fit testing for the Cauchy distribution with application to   financial modeling
  This article deals with goodness-of-fit test for the Cauchy distribution. Some 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. 
M. Mahdizadeh and Ehsan Zamanzade
stat.ME