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dc.contributor.authorGürtler, Marcen
dc.contributor.authorKreiss, Jens-Peteren
dc.contributor.authorRauh, Ronalden
dc.date.accessioned2012-02-08-
dc.date.accessioned2012-02-10T15:38:46Z-
dc.date.available2012-02-10T15:38:46Z-
dc.date.issued2009-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xIF31V2en
dc.subject.jelC14en
dc.subject.jelC51en
dc.subject.jelC52en
dc.subject.ddc330en
dc.subject.keywordheteroscedastic asset returnsen
dc.subject.keywordnon-stationarityen
dc.subject.keywordnonparametric regressionen
dc.subject.keywordvolatilityen
dc.subject.keywordinnovation modellingen
dc.subject.keywordasymmetric heavy-tailsen
dc.subject.keyworddistributional forecasten
dc.subject.keywordValue at Risk (VaR)en
dc.titleA non-stationary approach for financial returns with nonparametric heteroscedasticity-
dc.typeWorking Paperen
dc.identifier.ppn684930889en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:IF31V2en

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