LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
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- Cho, Jin Seo & Han, Chirok & Phillips, Peter C.B., 2010. "Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities," Econometric Theory, Cambridge University Press, vol. 26(3), pages 953-962, June.
- Peter C.B.Phillips & Jin Seo Cho & Chirok Han, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Working Papers CoFie-02-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Jin Seo Cho & Chirok-Han & Peter C. B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Discussion Paper Series 0917, Institute of Economic Research, Korea University.
References listed on IDEAS
- Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2011.
"Infinite Density at the Median and the Typical Shape of Stock Return Distributions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(2), pages 282-294, April.
- Han, Chirok & Cho, Jin Seo & Phillips, Peter C. B., 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 282-294.
- Peter C.B.Phillips & Jin Seo Cho & Chirok Han, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Working Papers CoFie-03-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Chirok Han & Jin Seo Cho & Peter C. B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Discussion Paper Series 0914, Institute of Economic Research, Korea University.
- Chirok Han & Jin Seo Cho & Peter C.B. Phillips, 2009. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Cowles Foundation Discussion Papers 1701, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
- Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015.
"Quantile cointegration in the autoregressive distributed-lag modeling framework,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
- Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.
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More about this item
Keywords
Asymptotic leptokurtosis; Convex function; Infinite density; Least absolute deviations; Median; Weak convergence;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-06-17 (Econometrics)
- NEP-ETS-2009-06-17 (Econometric Time Series)
- NEP-ORE-2009-06-17 (Operations Research)
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