Similar Search Results

Infinite Density at the Median and the Typical Shape of Stock Return Distributions

Han, Chirok - 2009

Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on Lv(1) estimation asymptotics in conjunction with non-parametric kernel density...

Persistent link: https://www.econbiz.de/10013159229

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

Persistent link: https://www.econbiz.de/10012778972

Bias in Estimating Multivariate and Univariate Diffusions

Wang, Xiaohu - 2013

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time...

Persistent link: https://www.econbiz.de/10013093983