Arbeitspapier
Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
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 attention is paid to asymmetry and heavy tails of the return distribution, involved by the framework for innovations. We survey the practicability and automatization of the implementation. For simulated price processes and a multitude of financial time series we observe a satisfying model approximation and good short-term forecasting abilities of the univariate approach. The non-stationary regression model outperforms parametric risk models and famous ARCH-type implementations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series ; No. IF41V1
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
- Thema
-
heteroscedastic asset returns
non-stationarity
nonparametric regression
volatility
innovation modelling
forecasting
Value at Risk (VaR)
ARCH-models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gürtler, Marc
Rauh, Ronald
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (wo)
-
Braunschweig
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gürtler, Marc
- Rauh, Ronald
- Technische Universität Braunschweig, Institut für Finanzwirtschaft
Entstanden
- 2012
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