In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by nonparametric regression; consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator are outlined with remarks on the bandwidth decision. Further...

A non-stationary regression model for financial returns is examined theoretically. Volatility dynamics are modeled by nonparametric curve estimation on equidistant return vectors. We prove consistency and asymptotic normality of symmetric estimators and of one-sided estimators for variances and...

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 nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...

The second chapter of the dissertation discusses the non-parametric extension of the network formation model in Toth (2018), when the researcher does not assume the functional form of the distance function. An intuitive way for the non-parametric extension is to use the parametric estimator for...

We examine the (potentially nonlinear) relationship between inequality and growth using a method which does not require an a priori assumption on the underlying functional form. This approach reveals a plateau completely missed by commonly used (nonlinear) parametric approaches - the economy...

In cargo logistics, a key performance measure is transport risk, defined as the deviation of the actual arrival time from the planned arrival time. Neither earliness nor tardiness is desirable for customer and freight forwarders. In this paper, we investigate ways to assess and forecast...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...