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

• المؤلفون الرئيسيون: HAN, Chirok, CHO, Jin Seo, PHILLIPS, Peter C. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: Asymptotic leptokurtosis; Infinite density at the median; Kernel density estimation; Least absolute deviations; Stylized facts; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1820; https://ink.library.smu.edu.sg/context/soe_research/article/2819/viewcontent/InfiniteDensityMedian_2012.pdf

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...