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

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2017
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27510
Resumo: 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.
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spelling A simple nonparametric method to estimate the expected time to cross a thresholdExpected TimeNonparametric EstimatorReal Exchange RatesWe 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.Elsevier B.V.Repositório da Universidade de LisboaNicolau, João2023-03-27T08:42:35Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27510engNicolau, João (2017). “A simple nonparametric method to estimate the expected time to cross a threshold”. Statistics & Probability Letters, Vol. 123 : pp. 146-152. (Search PDF in 2023).info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-02T01:34:47Zoai:www.repository.utl.pt:10400.5/27510Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:48:21.707165Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A simple nonparametric method to estimate the expected time to cross a threshold
title A simple nonparametric method to estimate the expected time to cross a threshold
spellingShingle A simple nonparametric method to estimate the expected time to cross a threshold
Nicolau, João
Expected Time
Nonparametric Estimator
Real Exchange Rates
title_short A simple nonparametric method to estimate the expected time to cross a threshold
title_full A simple nonparametric method to estimate the expected time to cross a threshold
title_fullStr A simple nonparametric method to estimate the expected time to cross a threshold
title_full_unstemmed A simple nonparametric method to estimate the expected time to cross a threshold
title_sort A simple nonparametric method to estimate the expected time to cross a threshold
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Expected Time
Nonparametric Estimator
Real Exchange Rates
topic Expected Time
Nonparametric Estimator
Real Exchange Rates
description 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.
publishDate 2017
dc.date.none.fl_str_mv 2017
2017-01-01T00:00:00Z
2023-03-27T08:42:35Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27510
url http://hdl.handle.net/10400.5/27510
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João (2017). “A simple nonparametric method to estimate the expected time to cross a threshold”. Statistics & Probability Letters, Vol. 123 : pp. 146-152. (Search PDF in 2023).
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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