Volltext herunterladen
(1.049 MB)
Zitationshinweis
Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221111
Export für Ihre Literaturverwaltung
Local Likelihood Estimators in a Regression Model for Stock Returns
[Zeitschriftenartikel]
Abstract We consider a non-stationary regression type model for stock returns in which the innovations are described by four-parameter distributions and the parameters are assumed to be smooth, deterministic functions of time. Incorporating also normal distributions for modelling the innovations, our model i... mehr
We consider a non-stationary regression type model for stock returns in which the innovations are described by four-parameter distributions and the parameters are assumed to be smooth, deterministic functions of time. Incorporating also normal distributions for modelling the innovations, our model is capable of adapting to light-tailed innovations as well as to heavy-tailed ones. Thus, it turns out to be a very flexible approach. Both, for the fitting of the model and for forecasting the distributions of future returns, we use local likelihood methods for estimation of the parameters. We apply our model to the S&P 500 return series, observed over a period of twelve years. We show that it fits these data quite well and that it yields reasonable one-day-ahead forecasts.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
Financial time series; Statistics; Financial econometrics; Financial modelling
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 619-635
Zeitschriftentitel
Quantitative Finance, 8 (2008) 6
DOI
https://doi.org/10.1080/14697680701656181
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)