| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7352208 | Finance Research Letters | 2017 | 8 Pages |
Abstract
Daily asset returns are modeled using self decomposable limit laws and the structure is used to estimate the density of the uncentered data. Estimates of mean returns are a byproduct of the density estimate. Estimates of mean returns via density estimation have significantly lower standard errors when compared to estimates derived via the usual method of straight averaging.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dilip B. Madan,