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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 - 2009
analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return …
Persistent link: https://www.econbiz.de/10010307938
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A non-stationary approach for financial returns with nonparametric heteroscedasticity
Gürtler, Marc; Kreiss, Jens-Peter; Rauh, Ronald - 2009
analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return …
Persistent link: https://www.econbiz.de/10010307946
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Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns
Gürtler, Marc; Rauh, Ronald - 2013
In this paper we analyze a multivariate non-stationary regression model empirically. With the knowledge about unconditional heteroscedasticty of financial returns, based on univariate studies and a congruent paradigm in Gürtler and Rauh (2009), we test for a time-varying covariance structure...
Persistent link: https://www.econbiz.de/10010311041
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Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
Gürtler, Marc; Rauh, Ronald - 2012
remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, involved …
Persistent link: https://www.econbiz.de/10010311043
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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 - Department Wirtschaftswissenschaften, Technische … - 2009
analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return …
Persistent link: https://www.econbiz.de/10009646422
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A non-stationary approach for financial returns with nonparametric heteroscedasticity
Gürtler, Marc; Kreiss, Jens-Peter; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009
analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return …
Persistent link: https://www.econbiz.de/10009646426
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Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns
Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2013
In this paper we analyze a multivariate non-stationary regression model empirically. With the knowledge about unconditional heteroscedasticty of financial returns, based on univariate studies and a congruent paradigm in Gürtler and Rauh (2009), we test for a time-varying covariance structure...
Persistent link: https://www.econbiz.de/10010985506
Cover Image
Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2012
remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, involved …
Persistent link: https://www.econbiz.de/10010985509