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regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
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Stock returns are often modeled as having infinite second or fourth moments with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple Pareto tail index estimate. In a recent study...
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regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
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