Browsing Colleges by Subject "level set analysis; nonparametric regression; ARCH/GARCH model; prospect theory; behavioral finance; agent-based modeling"
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A Level Set Analysis and a Nonparametric Regression on S&P 500 Daily Return
(International Journal of Financial Studies, 2016)In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and ...
