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 … method of moments for its parameter estimation and a connection to the Student-t distribution we offer the framework for a …

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped …