Ronald Rauh

Öffentliche Versicherung Braunschweig

Department of Asset Risk Management

Theodor-Heuss-Str. 10

Braunschweig, 38122

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

563

CITATIONS

1

Scholarly Papers (4)

1.

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model

Number of pages: 45 Posted: 10 Jun 2009 Last Revised: 01 Oct 2009
Marc Gürtler and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance and Öffentliche Versicherung Braunschweig
Downloads 259 (88,053)
Citation 1

Abstract:

delta-normal model, volatility, Value at Risk (VaR), heteroscedastic asset returns, non-stationarity, non-parametric regression, innovation modelling, forecasting, backtesting

2.

Empirical Studies in a Multivariate Non-stationary, Nonparametric Regression Model for Financial Returns

Number of pages: 43 Posted: 09 Jan 2013 Last Revised: 12 Jan 2013
Marc Gürtler and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance and Öffentliche Versicherung Braunschweig
Downloads 128 (163,614)

Abstract:

heteroscedasticity, non-stationarity, nonparametric regression, volatility, covariance matrix, innovation modeling, asymmetric heavy-tails, multivariate distributional forecast, empirical studies

3.

Challenging Traditional Risk Models by a Non-Stationary Approach with Nonparametric Heteroscedasticity

Number of pages: 31 Posted: 16 Nov 2012
Marc Gürtler and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance and Öffentliche Versicherung Braunschweig
Downloads 75 (237,086)

Abstract:

heteroscedastic asset returns, non-stationarity, nonparametric regression, volatility, innovation modelling, forecasting, Value at Risk (VaR), ARCH-models

4.

A Multivariate Non-stationary Approach for Financial Returns with Nonparametric Heteroscedasticity

Number of pages: 58 Posted: 28 Sep 2009 Last Revised: 12 Jan 2013
University of Braunschweig - Institute of Technology, Department of Finance, Technology University of Braunschweig - Department of Mathematics and Öffentliche Versicherung Braunschweig
Downloads 64 (270,384)

Abstract:

non-stationary financial returns, nonparametric regression, volatility, covariance matrix, innovation modeling, asymmetric heavy-tails, distributional forecast, Value at Risk (VaR)