A non-stationary approach for financial returns with nonparametric heteroscedasticity
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More about this item
Keywordsheteroscedastic asset returns; non-stationarity; nonparametric regression; volatility; innovation modelling; asymmetric heavy-tails; distributional forecast; Value at Risk (VaR);
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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