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A non-stationary approach for financial returns with nonparametric heteroscedasticity

[working paper]

Gürtler, Marc
Kreiss, Jens-Peter
Rauh, Ronald

Corporate Editor
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft

Abstract

"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 symm... view more

"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." (author's abstract)... view less

Keywords
financial market; return; regression; distribution; distribution of profits

Classification
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Economic Policy

Document language
English

Publication Year
2009

City
Braunschweig

Page/Pages
33 p.

Series
IF Working Paper Series, IF31V2

Handle
https://hdl.handle.net/10419/55240

Status
reviewed

Licence
Deposit Licence - No Redistribution, No Modifications

Data providerThis metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.