A Highly Efficient Regression Estimator for Skewed and/or Heavy-tailed Distributed Errors
Download PDF: Working Paper 19
This paper introduces a regression model for extreme events that can be useful for financial market analysis and prediction
Authors: Lorenzo Ricci, Vincenzo Verardi and Catherine Vermandele
This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions.
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JEL codes: C13, C16, G17