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

- A nonparametric method to estimate the expected time to cross a threshold is proposed.
- Only two assumptions are considered: Markovian property and stationarity.
- The estimator is applied to real exchange rates.

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.