Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity
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More about this item
Keywordsheteroscedastic asset returns; non-stationarity; nonparametric regression; volatility; innovation modelling; forecasting; Value at Risk (VaR); ARCH-models;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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