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~institution:"Institute of Economic Research, Korea University"
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Asymptotic leptokurtosis
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Infinite density at the median
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Kernel density estimation
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Least absolute deviations
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Stock returns
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Cho, Jin Seo
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Han, Chirok
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Phillips, Peter C. B.
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Institute of Economic Research, Korea University
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Infinite Density at the Median and the Typical Shape of Stock Return Distributions
Han, Chirok
;
Cho, Jin Seo
;
Phillips, Peter C. B.
-
Institute of Economic Research, Korea University
-
2009
conjunction with non-parametric
kernel
density
estimation
methods. The size and power of the tests are assessed, and conditions …
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