Publication Type
Journal Article
Version
acceptedVersion
Publication Date
4-2011
Abstract
Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L(1) estimation asymptotics in conjunction with nonparametric kernel density estimation methods. The size and power of the tests are assessed, and conditions under which the tests have good performance are explored in simulations. The new methods are applied to stock returns of leading companies across major U.S. industry groups. The results confirm the presence of infinite density at the median as a new significant empirical evidence for stock return distributions.
Keywords
Asymptotic leptokurtosis, Infinite density at the median, Kernel density estimation, Least absolute deviations, Stylized facts
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Business and Economic Statistics
Volume
29
Issue
2
First Page
282
Last Page
294
ISSN
0735-0015
Identifier
10.1198/jbes.2010.07327
Publisher
Taylor & Francis: SSH Journals
Citation
HAN, Chirok; CHO, Jin Seo; and PHILLIPS, Peter C. B..
Infinite Density at the Median and the Typical Shape of Stock Return Distributions. (2011). Journal of Business and Economic Statistics. 29, (2), 282-294.
Available at: https://ink.library.smu.edu.sg/soe_research/1820
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1198/jbes.2010.07327