SFB 303 Discussion Paper No. A-533

Author: Heid, Frank
Title: Non-Parametric Volatility Estimation of Exchange Rates and Stock Prices
Abstract: We model the volatility of financial assets as functions depending on past returns. We apply nonparametric regression techniques to estimate the volatility of daily exchange rates and stock prices. We show that all of the estimated functions have similar shape as they are convex with a minimum close to zero.
Keywords: Non-Parametric Volatility Estimatio
JEL-Classification-Number: G20, C14
Creation-Date: September 1996
URL: ../1996/a/bonnsfa533.pdf

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