Arbeitspapier
Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns
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 firstly. Based on these results, a central component of our non-stationary model is a kernel regression for pairwise covariances and the covariance matrix. Residual terms are fitted with an asymmetric Pearson type VII distribution. In an extensive study we estimate the linear dependence of a broad portfolio of equities and fixed income securities (including credit and currency risks) and fit the whole approach to provide distributional forecasts. Our evaluations verify a reasonable approximation and a satisfactory forecasting quality with an out performance against a traditional risk model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series ; No. IF43V1
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
- Thema
-
heteroscedasticity
non-stationarity
nonparametric regression
volatility
covariance matrix
innovation modeling
asymmetric heavy-tails
multivariate distributional forecast
empirical studies
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gürtler, Marc
Rauh, Ronald
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (wo)
-
Braunschweig
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
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
- 2013
Ähnliche Objekte (12)
The dynamics of multivariate financial returns : a non-stationary, nonparametric regression approach
Non-parametric transformation regression with non-stationary data
Nonparametric nonstationary regression
Nonparametric rank tests for non-stationary panels
Nonparametric nonstationary regression with many covariates
Nonparametric Nonstationary Regression with Many Covariates
A non-stationary approach for financial returns with nonparametric heteroscedasticity
A non-stationary approach for financial returns with nonparametric heteroscedasticity
Nonparametric regression for locally stationary time series
Non-Stationary Multivariate Subdivision: Joint Spectral Radius and Asymptotic Similarity
On confidence bands for multivariate nonparametric regression
Non-stationary Wave Turbulence
The dynamics of multivariate financial returns : a non-stationary, nonparametric regression approach
Non-parametric transformation regression with non-stationary data
Nonparametric nonstationary regression
Nonparametric rank tests for non-stationary panels
Nonparametric nonstationary regression with many covariates
Nonparametric Nonstationary Regression with Many Covariates
A non-stationary approach for financial returns with nonparametric heteroscedasticity
A non-stationary approach for financial returns with nonparametric heteroscedasticity
Nonparametric regression for locally stationary time series
Non-Stationary Multivariate Subdivision: Joint Spectral Radius and Asymptotic Similarity
On confidence bands for multivariate nonparametric regression
Non-stationary Wave Turbulence
The dynamics of multivariate financial returns : a non-stationary, nonparametric regression approach
Non-parametric transformation regression with non-stationary data
Nonparametric nonstationary regression
Nonparametric rank tests for non-stationary panels
Nonparametric nonstationary regression with many covariates
Nonparametric Nonstationary Regression with Many Covariates
A non-stationary approach for financial returns with nonparametric heteroscedasticity
A non-stationary approach for financial returns with nonparametric heteroscedasticity
Nonparametric regression for locally stationary time series
Non-Stationary Multivariate Subdivision: Joint Spectral Radius and Asymptotic Similarity
On confidence bands for multivariate nonparametric regression