Gürtler, Marc; Kreiß, Jens-Peter; Rauh, Ronald - Institut für Finanzwirtschaft <Braunschweig> - 2009
A non-stationary regression model for financial returns is examined theoretically in this paper.Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametriccurve estimation on equidistant centered returns. We prove consistency and asymptotic normalityof a...