Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101621
Authors: 
Abberger, Klaus
Year of Publication: 
1995
Series/Report no.: 
Diskussionsbeiträge: Serie II, Sonderforschungsbereich 178 "Internationalisierung der Wirtschaft", Universität Konstanz 252
Abstract: 
There are various parametric models to analyse the volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns with the help of nonparametric methods. We use kernel estimators for conditional quantiles resulting from a kernel estimation of conditional distributions.
Document Type: 
Working Paper

Files in This Item:
File
Size
538.74 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.