Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Year of publication: |
2009
|
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Authors: | Gürtler, Marc ; Rauh, Ronald |
Publisher: |
Braunschweig : Technische Universität Braunschweig, Institut für Finanzwirtschaft |
Subject: | heteroscedastic asset returns | non-stationarity | nonparametric regression | volatility | innovation modelling | asymmetric heavy-tails | distributional forecast | Value at Risk (VaR) |
Series: | Working Paper Series ; IF32V2 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | German |
Other identifiers: | 684931540 [GVK] hdl:10419/55232 [Handle] RePEc:zbw:tbsifw:IF32V2 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C5 - Econometric Modeling |
Source: |
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Gürtler, Marc, (2009)
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A non-stationary approach for financial returns with nonparametric heteroscedasticity
Gürtler, Marc, (2009)
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A non-stationary approach for financial returns with nonparametric heteroscedasticity
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