Infinite Density at the Median and the Typical Shape of Stock Return Distributions
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Publication:5392707
DOI10.1198/jbes.2010.07327zbMath1209.91180OpenAlexW2137033751MaRDI QIDQ5392707
Jin Seo Cho, Chirok Han, Peter C. B. Phillips
Publication date: 13 April 2011
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: http://econ.korea.ac.kr/~ri/WorkingPapers/w0914.pdf
kernel density estimationleast absolute deviationsstylized factsasymptotic leptokurtosisinfinite density at the median
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70)
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