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[working paper]

dc.contributor.authorGürtler, Marcde
dc.contributor.authorKreiss, Jens-Peterde
dc.contributor.authorRauh, Ronaldde
dc.date.accessioned2012-05-29T14:03:00Zde
dc.date.accessioned2015-05-20T08:08:12Z
dc.date.available2015-05-20T08:08:12Z
dc.date.issued2009de
dc.identifier.urihttp://www.ssoar.info/ssoar/handle/document/43096
dc.description.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 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)en
dc.languageende
dc.subject.ddcSozialwissenschaften, Soziologiede
dc.subject.ddcSocial sciences, sociology, anthropologyen
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.titleA non-stationary approach for financial returns with nonparametric heteroscedasticityde
dc.description.reviewunbekanntde
dc.description.reviewunknownen
dc.identifier.urlhttp://www.fiwi.tu-bs.de/fileadmin/files/forschung/working_papers/IF31.pdfde
dc.source.volumeIF31V2de
dc.publisher.countryDEU
dc.publisher.cityBraunschweigde
dc.source.seriesIF Working Paper Series
dc.subject.classozErhebungstechniken und Analysetechniken der Sozialwissenschaftende
dc.subject.classozMethods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methodsen
dc.subject.classozWirtschaftspolitikde
dc.subject.classozEconomic Policyen
dc.subject.thesozFinanzmarktde
dc.subject.thesozfinancial marketen
dc.subject.thesozErtragde
dc.subject.thesozreturnen
dc.subject.thesozRegressionde
dc.subject.thesozregressionen
dc.subject.thesozVerteilungde
dc.subject.thesozdistributionen
dc.subject.thesozGewinnverteilungde
dc.subject.thesozdistribution of profitsen
dc.date.modified2012-05-29T14:03:00Zde
dc.rights.licenceDeposit Licence - Keine Weiterverbreitung, keine Bearbeitungde
dc.rights.licenceDeposit Licence - No Redistribution, No Modificationsen
ssoar.contributor.institutionUSB Kölnde
internal.statusformal und inhaltlich fertig erschlossende
internal.identifier.thesoz10034971
internal.identifier.thesoz10042627
internal.identifier.thesoz10056459
internal.identifier.thesoz10036643
internal.identifier.thesoz10041196
dc.type.stockmonographde
dc.type.documentArbeitspapierde
dc.type.documentworking paperen
dc.rights.copyrightfde
dc.source.pageinfo33de
internal.identifier.classoz10105
internal.identifier.classoz1090302
internal.identifier.document3
dc.contributor.corporateeditorTechnische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
internal.identifier.corporateeditor434
internal.identifier.ddc300
internal.identifier.ddc330
dc.description.pubstatusunbekanntde
dc.description.pubstatusUnknownen
internal.identifier.licence3
internal.identifier.pubstatus4
internal.identifier.review4
internal.identifier.series675
dc.subject.classhort10100de
dc.subject.classhort40200de
dc.identifier.handlehttp://hdl.handle.net/10419/55240de
internal.check.abstractlanguageharmonizerCERTAIN


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