Der wachsende Wettbewerbsdruck im Bankensektor führte in den letzten Jahrentrotz eines geringen Zinsniveaus zu sinkenden Zinsmargen im Verbraucherkreditgeschäft. Hervorgerufenwird diese Änderung der Angebotspreise durch die sinkende Bedeutung der Hausbankbeziehungsowie der steigenden Anzahl...

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...

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...