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). 321-326 . ISSN 1938-7997

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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
Uncontrolled Keywords:	censoring, extreme value theory, GARCH, index returns
Library of Congress subject classification:	H Social Sciences > HG Finance
Journal of Economic Literature Classification System:	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
Sets:	Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Research centres and groups > Financial Markets Group (FMG)
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
URL:	http://eprints.lse.ac.uk/35815/

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