Volatility and conditional distribution in financial markets

Klaus Abberger

No 252, Discussion Papers, Series II from University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy"

Abstract: There are various parametric models to analyse the volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns with the help of nonparametric methods. We use kernel estimators for conditional quantiles resulting from a kernel estimation of conditional distributions.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:kondp2:252

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