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dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorKreiss, Jens-Peteren_US
dc.contributor.authorRauh, Ronalden_US
dc.date.accessioned2012-02-08en_US
dc.date.accessioned2012-02-10T15:38:46Z-
dc.date.available2012-02-10T15:38:46Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/55240-
dc.description.abstractA 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.en_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF31V2en_US
dc.subject.jelC14en_US
dc.subject.jelC51en_US
dc.subject.jelC52en_US
dc.subject.ddc330en_US
dc.subject.keywordheteroscedastic asset returnsen_US
dc.subject.keywordnon-stationarityen_US
dc.subject.keywordnonparametric regressionen_US
dc.subject.keywordvolatilityen_US
dc.subject.keywordinnovation modellingen_US
dc.subject.keywordasymmetric heavy-tailsen_US
dc.subject.keyworddistributional forecasten_US
dc.subject.keywordValue at Risk (VaR)en_US
dc.titleA non-stationary approach for financial returns with nonparametric heteroscedasticityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684930889en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:IF31V2-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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