A nonparametric threshold model with application to zero returns

DOI10.4310/SII.2008.V1.N2.A9MaRDI QIDQ660063zbMATH OpenFDO

Authors Oliver Linton

Publication date 25 January 2012

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

Full work available at URL https://doi.org/10.4310/SII.2008.V1.N2.A9

zbMATH Keywords

censoringextreme value theoryGARCHindex returns

Mathematics Subject Classification ID

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

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