Infinite Density at the Median and the Typical Shape of Stock Return Distributions
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 L(1) estimation asymptotics in conjunction with nonparametric kernel density estimation meth...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2011
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/1820 https://ink.library.smu.edu.sg/context/soe_research/article/2819/viewcontent/InfiniteDensityMedian_2012.pdf |
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