Statistics and Its Interface
Volume 1 (2008)
A nonparametric threshold model with application to zero returns
Pages: 321 – 326
We propose a nonparametric censoring model for time series data. We propose an estimator of the censoring function based on extreme value regression. We obtain the pointwise distribution theory and suggest confidence intervals based on this theory. We use our model to explain the evolution of the frequency of zeros in stock index returns.
censoring, extreme value theory, GARCH, index returns