Chen, Chaoyi; Sun, Yiguo - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-15
This paper compares the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold...
