LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Year of publication: |
2009-06
|
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Authors: | Cho, Jin Seo ; Han, Chirok ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic leptokurtosis | Convex function | Infinite density | Least absolute deviations | Median | Weak convergence |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Econometric Theory (2010), 26(3): 953-962 The price is None Number 1703 10 pages |
Classification: | C12 - Hypothesis Testing ; G11 - Portfolio Choice |
Source: |
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LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Cho, Jin Seo, (2009)
-
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
Phillips, Peter C.B., (2009)
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Infinite Density at the Median and the Typical Shape of Stock Return Distributions
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