In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by nonparametric regression; consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator are outlined with remarks on the bandwidth decision. Further...

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...

In this paper we analyze a multivariate non-stationary regression model empirically. With the knowledge about unconditional heteroscedasticty of financial returns, based on univariate studies and a congruent paradigm in Gürtler and Rauh (2009), we test for a time-varying covariance structure...

A non-stationary regression model for financial returns is examined theoretically. Volatility dynamics are modeled by nonparametric curve estimation on equidistant return vectors. We prove consistency and asymptotic normality of symmetric estimators and of one-sided estimators for variances and...