A nonparametric threshold model with application to zero returns

DOI10.4310/SII.2008.v1.n2.a9zbMath1230.91196MaRDI QIDQ660063

Oliver B. Linton

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

GARCH; censoring; extreme value theory; index returns

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G70: Statistical methods; risk measures

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data