Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Year of publication: |
2009-06
|
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Authors: | Han, Chirok ; Cho, Jin Seo ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic leptokurtosis | Infinite density at the median | Least absolute deviations | Kernel density estimation | Stock returns | Stylized facts |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1338. Published in Journal of Business and Economic Statistics (April 2011), 29(2): 282-294 The price is None Number 1701 32 pages |
Classification: | C12 - Hypothesis Testing ; G11 - Portfolio Choice |
Source: |
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Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Han, Chirok, (2009)
-
Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Phillips, Peter C.B., (2009)
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LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Cho, Jin Seo, (2009)
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