Article ID Journal Published Year Pages File Type
5129853 Statistics & Probability Letters 2017 7 Pages PDF
Abstract

•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.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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A simple nonparametric method to estimate the expected time to cross a threshold
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