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

GARCHcensoringextreme value theoryindex returns

Mathematics Subject Classification ID

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

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