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~institution:"Institut für Finanzwirtschaft <Braunschweig>"
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A Non-stationary Approach for Financial Returns with Nonparametric Heteroscedasticity
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 …
Persistent link: https://www.econbiz.de/10005869538
Saved in:
2
Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-stationary Return Series Model
Gürtler, Marc
;
Rauh, Ronald
-
Institut für Finanzwirtschaft <Braunschweig>
-
2009
identically distributed normal returns, and as consequencedevelop an improved model for non-stationary returns. Therein
volatility
…
Persistent link: https://www.econbiz.de/10005869539
Saved in:
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