Linton, Oliver (2008) A nonparametric threshold model with application to zero returns. Statistics and Its Interface, 1 (2). pp. 321-326. ISSN 1938-7997
Full text not available from this repository.Abstract
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 |
|---|---|
| Official URL: | http://www.intlpress.com/SII/ |
| Additional Information: | © 2009 International Press |
| Divisions: | Economics STICERD Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure |
| Date Deposited: | 03 May 2011 11:09 |
| Last Modified: | 13 Sep 2024 22:30 |
| URI: | http://eprints.lse.ac.uk/id/eprint/35815 |
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