Arbeitspapier
A non-stationary approach for financial returns with nonparametric heteroscedasticity
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 symmetric variance estimator and of a one-sided variance estimator analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, implemented by an asymmetric version of the Pearson type VII distribution for random innovations. By providing a method of moments for its parameter estimation and a connection to the Student-t distribution we offer the framework for a factor-based VaR approach. The approximation quality of the non-stationary model is supported by simulation studies.
- Sprache
-
Deutsch
- Erschienen in
-
Series: Working Paper Series ; No. IF31V2
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Model Construction and Estimation
Model Evaluation, Validation, and Selection
- Thema
-
heteroscedastic asset returns
non-stationarity
nonparametric regression
volatility
innovation modelling
asymmetric heavy-tails
distributional forecast
Value at Risk (VaR)
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gürtler, Marc
Kreiss, Jens-Peter
Rauh, Ronald
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (wo)
-
Braunschweig
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gürtler, Marc
- Kreiss, Jens-Peter
- Rauh, Ronald
- Technische Universität Braunschweig, Institut für Finanzwirtschaft
Entstanden
- 2009
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