Project supported by the National Natural Science Foundation of China (Grant No.60773081);the Shanghai Leading Academic Discipline Project (Grant No.S30104)
There have been many papers presenting kernel density estimators for a strictly stationary continuous time process observed over the time interval [0, T ]. However the estimators do not satisfy the property of mean-sq...
supported by the National Natural Science Foundation of China (Grant No.60773081);the Key Project of Shanghai Municipality (Grant No.S30104)
Under the assumption of strictly stationary process, this paper proposes a nonparametric model to test the kurtosis and conditional kurtosis for risk time series. We apply this method to the daily returns of S&P500 i...