A nonparametric threshold model with application to zero returns
Linton, O.
(2008).
A nonparametric threshold model with application to zero returns.
Statistics and Its Interface,
1(2), 321-326.
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 |
|---|---|
| Copyright holders | © 2009 International Press |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD LSE > Research Centres > Financial Markets Group |
| Date Deposited | 03 May 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/35815 |
Explore Further
- C12 - Hypothesis Testing
- C13 - Estimation
- C22 - Time-Series Models
- G11 - Portfolio Choice; Investment Decisions
- G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
- http://www.intlpress.com/SII/p/2008/1-2/SII-1-2-A9-Linton.pdf (Publisher)
- http://www.intlpress.com/SII/ (Official URL)