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Nichtparametrische Quantilsprognose und ihre Anwendung auf Aktienrenditen

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  • Abberger, Klaus

Abstract

In diesem Aufsatz wird die nichtparametrische Autoregression auf die Prognose von Quantilen angewendet. Verfahren der Kernregression werden benutzt, um zu autoregressiven Quantiisschätzern zu gelangen. Da die üblichen Maße zur Beurteilung der Prognose, wie etwa der mittlere quadratische Prognosefehler oder der Theilsche Ungleichheitskoeffizient, in diesem Fall ungeeignet sind, wird ein anderes Prognosemaß definiert. Der nichtparametrische Schätzer wird dann verwendet, um tägliche Renditen der Daimler-Benz Aktie zu prognostizieren. Die Prognosen werden mit Hilfe des definierten Prognosemaßes beurteilt und die Prognosen für verschiedene Quantile werden miteinander verglichen.

Suggested Citation

  • Abberger, Klaus, 1995. "Nichtparametrische Quantilsprognose und ihre Anwendung auf Aktienrenditen," Discussion Papers, Series II 279, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    • Handle: RePEc:zbw:kondp2:279
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