A simple nonparametric method to estimate the expected time to cross a threshold
Abstract
We propose a simple but effective nonparametric method to estimate the expected time to cross a threshold using only two assumptions: Markovian property and stationarity. We provide an empirical application with real exchange rates to illustrate the...
Paper Details
Title
A simple nonparametric method to estimate the expected time to cross a threshold
Published Date
Apr 1, 2017
Volume
123
Pages
146 - 152
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