A simple nonparametric method to estimate the expected time to cross a threshold

João Nicolau

Statistics & Probability Letters, 2017, vol. 123, issue C, 146-152

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 method.

Keywords: Expected time; Nonparametric estimator; Real exchange rates (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.spl.2016.12.011

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