A model-free, non-parametric method for density determination, with application to asset returns

The distribution of the returns of an asset is still an open problem despite the variety of models and methods devised to deal with it. In this note we propose a model-free, nonparametric method for the estimation of asset returns, which is applicable also to a wider set of similar problems. The Lap...

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Detalles Bibliográficos
Autores Principales: Gzyl, H., Ter Horst, E., Molina, G.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
Acceso en línea:http://hdl.handle.net/1992/47082