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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
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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