A nonparametric threshold model with application to zero returns

Linton, Oliver (2008) A nonparametric threshold model with application to zero returns Statistics and Its Interface, 1 (2). pp. 321-326. ISSN 1938-7997

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We propose a nonparametric censoring model for time series data. We propose an estimator of the censoring function based on extreme value regression. We obtain the pointwise distribution theory and suggest confidence intervals based on this theory. We use our model to explain the evolution of the frequency of zeros in stock index returns.

Item Type	Article
Keywords	censoring,extreme value theory,GARCH,index returns
Departments	Economics STICERD Financial Markets Group
Date Deposited	03 May 2011 11:09
URI	https://researchonline.lse.ac.uk/id/eprint/35815

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Linton, Oliver

HG Finance

http://www.intlpress.com/SII/p/2008/1-2/SII-1-2-A9-Linton.pdf (Publisher)
http://www.intlpress.com/SII/ (Official URL)

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