Mathematical Research Data Initiative
Main page
Recent changes
Random page
SPARQL
MaRDI@GitHub
New item
Special pages
In other projects
MaRDI portal item
Discussion
View source
View history
English
Log in

A nonparametric threshold model with application to zero returns

From MaRDI portal
Publication:660063
Jump to:navigation, search

DOI10.4310/SII.2008.V1.N2.A9zbMATH Open1230.91196MaRDI QIDQ660063FDOQ660063


Authors: Oliver Linton Edit this on Wikidata


Publication date: 25 January 2012

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





Recommendations

  • Modeling time series when some observations are zero
  • The Tobit model with a non‐zero threshold
  • A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
  • Empirical analysis of the return rate of Shanghai stock market based on the nonparametric model method
  • Statistical inferences for price staleness


zbMATH Keywords

censoringextreme value theoryGARCHindex returns


Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in survival analysis and censored data (62N02) Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70)







This page was built for publication: A nonparametric threshold model with application to zero returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q660063)

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:660063&oldid=12566725"
Tools
What links here
Related changes
Printable version
Permanent link
Page information
This page was last edited on 30 January 2024, at 08:53. Warning: Page may not contain recent updates.
Privacy policy
About MaRDI portal
Disclaimers
Imprint
Powered by MediaWiki