Wolfgang K. Härdle

Blockchain Research Center

Ladislaus von Bortkiewicz Professor

Unter den Linden 6

Berlin, D-10099

Germany

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

A 307, Economics Building

Xiamen, Fujian 10246

China

Charles University

Professor

Celetná 13

Dept Math Physics

Praha 1, 116 36

Czech Republic

National Yang Ming Chiao Tung University

No. 1001, Daxue Rd. East Dist.

Hsinchu City 300093

Taiwan

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Unter den Linden 6

Berlin, D-10099

Germany

  • Blockchain Research Center

  • Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

  • Charles University

  • National Yang Ming Chiao Tung University

SCHOLARLY PAPERS

256

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301

CROSSREF CITATIONS

203

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“  Über den Wolken gibt es keinen Regen.ORCID ID: https://orcid.org/0000-0001-5600-3014  ”

  • Blockchain Research Center

  • Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

  • Charles University

  • National Yang Ming Chiao Tung University

Scholarly Papers (256)

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1.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 22 Sep 2020
Wolfgang K. Härdle, Campbell R. Harvey and Raphael C. G. Reule
Blockchain Research Center, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 2,389 (8,378)
Citation 18

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Cryptocurrency, Blockchain, Bitcoin, Economic Bubble, Microstructure, Exchange-Based Trading, Peer-to-Peer, Finance, Cryptographic Hashing, Consensus, Proof-of-Work, Proof-of-Stake, Volatility, Gold, S&P 500, Bitcoin Futures, Derivatives, Hedging, Cryptocurrency Valuation

2.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Ai Jun Hou, Weining Wang, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 1,440 (18,625)
Citation 15

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Cryptocurrency IndeX, CRIX, Bitcoin, Cryptocurrency, SVCJ, Option pricing, OCRIX

3.

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Quantitative Finance (2021): 1-29.
Number of pages: 64 Posted: 07 Nov 2018 Last Revised: 28 Sep 2021
Alla Petukhina, Simon Trimborn, Wolfgang K. Härdle and Hermann Elendner
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, City University of Hong Kong (CityU) - Department of Management Sciences, Blockchain Research Center and Austrian Blockchain Center (ABC Research)
Downloads 1,273 (22,392)
Citation 9

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Cryptocurrency, CRIX, Investments, Portfolio Management, Asset Classes, Blockchain, Bitcoin, Altcoins, DLT

4.

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Published version: Trimborn, S., Li, M. and W. K. Härdle (2019) "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach" Journal of Financial Econometrics, doi.org/10.1093/jjfinec/nbz016
Number of pages: 37 Posted: 19 Jul 2017 Last Revised: 12 Jul 2019
Simon Trimborn, Mingyang Li and Wolfgang K. Härdle
City University of Hong Kong (CityU) - Department of Management Sciences, Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE) and Blockchain Research Center
Downloads 1,170 (25,355)
Citation 14

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Crypto-Currency, CRIX, Portfolio Investment, Asset Classes, Blockchain

5.

CRIX an Index for Blockchain Based Currencies

Permanent Discussion paper. Revised and Published version: Trimborn, S. and W.K. Härdle (2018) "CRIX an Index for Cryptocurrencies" Journal of Empirical Finance, Volume 49, 2018, Pages 107-122, ISSN 0927-5398, Doi.org/10.1016/j.jempfin.2018.08.004.
Number of pages: 27 Posted: 27 Jun 2016 Last Revised: 10 Jul 2019
Simon Trimborn and Wolfgang K. Härdle
City University of Hong Kong (CityU) - Department of Management Sciences and Blockchain Research Center
Downloads 743 (47,878)
Citation 26

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Index construction, model selection, AIC, bitcoin, cryptocurrency, CRIX

6.

The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS

in Gronwald and Hintermann (eds) Emission Trading Systems as a Climate Policy Instrument - Evaluation and Prospects, MIT Press (Forthcoming)
Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 08 Apr 2014
Stefan Trück, Wolfgang K. Härdle and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Blockchain Research Center and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 743 (47,878)
Citation 2

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CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields, Dynamic Semiparametric Factor Model (DSFM), Gibson-Schwartz Model

7.

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies.

European Journal of Finance, 2020, DOI: 10.1080/1351847X.2020.1789684
Number of pages: 33 Posted: 09 Jul 2020 Last Revised: 11 Aug 2020
Alla Petukhina, Raphael C. G. Reule and Wolfgang K. Härdle
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, International Research Training Group 1792 and Blockchain Research Center
Downloads 674 (54,417)
Citation 3

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Cryptocurrency, High-Frequency Trading, Algorithmic Trading, Liquidity, Volatility, Price Impact, CRIX

8.

A First Econometric Analysis of the CRIX Family

Number of pages: 47 Posted: 31 Aug 2016
Shi Chen, Cathy Chen, Wolfgang K. Härdle, TM Lee and Bobby Ong
Humboldt University of Berlin, Humboldt University of Berlin, Blockchain Research Center, CoinGecko and CoinGecko
Downloads 569 (67,562)
Citation 10

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Index construction, CRIX, information criteria, model selection, AIC, BIC, market analysis, bitcoin, cryptocurrency

9.

VCRIX - A Volatility Index for Crypto-Currencies

Number of pages: 39 Posted: 13 Nov 2019 Last Revised: 27 Aug 2021
Alisa Kim, Simon Trimborn and Wolfgang K. Härdle
Humboldt University of Berlin, City University of Hong Kong (CityU) - Department of Management Sciences and Blockchain Research Center
Downloads 506 (78,128)
Citation 10

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index construction, volatility, crypto-currency, VCRIX

10.

Network Quantile Autoregression

Downloads 268 ( 94,484)
Citation 4

Network Quantile Autoregression

SFB 649 Discussion Paper 2016-050
Number of pages: 56 Posted: 23 Nov 2016
Xuening Zhu, Weining Wang, Weining Wang, Hangsheng Wang and Wolfgang K. Härdle
Peking University, University of Yorkaffiliation not provided to SSRN, Peking University and Blockchain Research Center
Downloads 268 (157,699)
Citation 2

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Social Network, Quantile Regression, Autoregression, Systemic Risk, Financial Contagion, Shared Ownership

11.

Understanding Smart Contracts: Hype or Hope?

Number of pages: 77 Posted: 22 Mar 2021
Elizaveta Zinovyeva, Raphael C. G. Reule and Wolfgang K. Härdle
Humboldt University of Berlin, International Research Training Group 1792 and Blockchain Research Center
Downloads 418 (97,900)

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Cryptocurrency, Smart Contract, Ethereum, CRIX.

12.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Cathy Chen, Matthias R. Fengler, Wolfgang K. Härdle and Yanchu Liu
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 392 (105,430)

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investor disagreement; option markets; overnight information; stock return predictability; textual sentiment; topic model; trading-time information

13.

Testing Parametric Versus Semiparametric Modelling in Generalized Linear Models

Number of pages: 25 Posted: 14 Jan 1997
Wolfgang K. Härdle, Marlene Müller and Enno Mammen
Blockchain Research Center, Beuth University of Applied Sciences Berlin and University of Mannheim - Department of Economics
Downloads 360 (116,105)
Citation 2

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14.

FRM Financial Risk Meter

Advances in Econometrics, Volume 42, The Econometrics of Networks
Number of pages: 35 Posted: 05 Aug 2019 Last Revised: 07 Apr 2020
Andrija Mihoci, Michael Althof, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Brandenburg University of Technology (BTU), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 318 (132,579)
Citation 3

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Systemic Risk, Quantile Regression, Lasso, Financial Markets, Risk Management, Network Dynamics, Recession

15.

LASSO-Driven Inference in Time and Space

Number of pages: 76 Posted: 15 Jun 2018 Last Revised: 15 May 2020
Victor Chernozhukov, Wolfgang K. Härdle, Chen Huang, Weining Wang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Blockchain Research Center, Aarhus University - Department of Economics and Business Economics and University of Yorkaffiliation not provided to SSRN
Downloads 272 (155,970)
Citation 9

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LASSO, Time Series, Simultaneous Inference, System of Equations, Z-estimation, Bahadur Representation, Martingale Decomposition

16.

A Time-Varying Network for Cryptocurrencies

Number of pages: 58 Posted: 20 Jun 2018 Last Revised: 20 Sep 2021
Li Guo, Wolfgang K. Härdle and Yubo Tao
Fudan University - School of Economics, Blockchain Research Center and University of Macau - Department of Economics
Downloads 251 (169,047)
Citation 1

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Community Detection, Dynamic Stochastic Blockmodel, Covariates, Co-clustering, Network Risk, Momentum.

17.

Understanding Jumps in High Frequency Digital Asset Markets

Number of pages: 34 Posted: 18 Oct 2021 Last Revised: 21 Oct 2021
Danial Saef, Odett Nagy, Sergej Sizov and Wolfgang K. Härdle
Humboldt University of Berlin, Corvinus University of Budapest, Students, University of Koblenz-Landau - Information Systems and Semantic Web (ISWeb) and Blockchain Research Center
Downloads 247 (171,608)

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jumps, market microstructure noise, high frequency data, cryptocurrencies, CRIX, option pricing

18.

Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis

Number of pages: 25 Posted: 23 Dec 2020 Last Revised: 09 Apr 2021
Rui Ren, Michael Althof and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 217 (195,034)
Citation 2

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Cryptocurrencies, Network Dynamics, Portfolio Optimization, Quantile Regression, Systemic Risk, Financial Risk Meter

19.

Measuring and Modeling Risk Using High-Frequency Data

Number of pages: 23 Posted: 01 Nov 2008
Wolfgang K. Härdle, Nikolaus Hautsch and Uta Pigorsch
Blockchain Research Center, University of Vienna - Department of Statistics and Operations Research and University of Mannheim
Downloads 214 (196,707)
Citation 2

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Realized Volatility, Realized Betas, Volatility Modeling

20.

A Statistical Classification of Cryptocurrencies

Number of pages: 38 Posted: 30 Mar 2020 Last Revised: 13 Apr 2020
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang K. Härdle, Michalis Kolossiatis and Yannis G. Yatracos
The Bucharest University of Economic Studies, Department of Statistics and Econometrics, Humboldt Universität zu Berlin | IRTG 1792, Blockchain Research Center, University of Cyprus and Tsinghua University - Yau Mathematical Sciences Center
Downloads 206 (204,710)

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Cryptocurrency, Classification, Multivariate Analysis, Factor Models, Synchronicity

21.

Tail-Risk Protection: Machine Learning Meets Modern Econometrics

Number of pages: 32 Posted: 02 Dec 2020 Last Revised: 24 Aug 2021
Bruno Spilak and Wolfgang K. Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center
Downloads 200 (209,355)

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22.

Stable Distributions

SFB 649 Discussion Paper 2005-008
Number of pages: 28 Posted: 09 Jan 2017
Szymon Borak, Wolfgang K. Härdle and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 195 (214,158)
Citation 9

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23.

CRIX or Evaluating Blockchain Based Currencies

Oberwolfach Report No. 42/2015 „The Mathematics and Statistics of Quantitative Risk“ DOI: 10.4171/OWR/2015/42
Number of pages: 9 Posted: 05 Jan 2017 Last Revised: 18 Apr 2021
Simon Trimborn and Wolfgang K. Härdle
City University of Hong Kong (CityU) - Department of Management Sciences and Blockchain Research Center
Downloads 191 (218,124)
Citation 5

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Index construction, CRIX, risk analysis, bitcoin, cryptocurrency

24.

Dynamic Topic Modelling for Cryptocurrency Community Forums

SFB 649 Discussion Paper 2016-051
Number of pages: 22 Posted: 28 Nov 2016
Marco Linton, Ernie G. S. Teo, Elisabeth Bommes, Cathy Chen and Wolfgang K. Härdle
University of York, NUS Business School, Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center
Downloads 189 (220,123)
Citation 4

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

25.

Nonparametric Risk Management with Generalized Hyperbolic Distributions

Number of pages: 33 Posted: 20 Oct 2005
Wolfgang K. Härdle, Ying Chen and Seok-Oh Jeong
Blockchain Research Center, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Catholic University of Louvain
Downloads 188 (221,152)
Citation 6

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adaptive volatility estimation, generalized hyperbolic distribution, value at risk

26.

Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional Autoregressive Dynamics

SFB 649 Discussion Paper 2016-025
Number of pages: 38 Posted: 04 Aug 2016 Last Revised: 22 Jun 2017
Ying Chen, Wee Song Chua and Wolfgang K. Härdle
National University of Singapore (NUS), National University of Singapore (NUS) and Blockchain Research Center
Downloads 180 (229,626)
Citation 1

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Liquidity demand and supply curves, Order splitting strategy, Vector functional autoregression

27.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang K. Härdle, Weining Wang, Weining Wang and Lining Yu
Blockchain Research Center, University of Yorkaffiliation not provided to SSRN and Humboldt University of Berlin
Downloads 161 (252,419)
Citation 21

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Systemic Risk, Systemic Risk Network, Generalized Quantile, Quantile Single-Index Regression, Value at Risk, CoVaR, Lasso

28.

Distillation of News Flow Into Analysis of Stock Reactions

Number of pages: 40 Posted: 14 Jul 2015
Junni L. Zhang, Wolfgang K. Härdle, Cathy Chen and Elisabeth Bommes
Peking University, Blockchain Research Center, Chung Hua University and Humboldt University of Berlin
Downloads 149 (268,841)
Citation 7

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Investor Sentiment, Attention Analysis, Sector Analysis, Volatility Simulation, Trading Volume, Returns, Bootstrap

29.

Recursive Portfolio Selection with Decision Trees

SFB 649 Discussion Paper 2008-009
Number of pages: 27 Posted: 09 Jan 2017
Anton Andriyashin, Wolfgang K. Härdle and Roman Vladimirovich Timofeev
Humboldt University of Berlin - Center for Applied Statistics and Economics, Blockchain Research Center and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 147 (271,808)
Citation 4

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CART, decision trees in finance, nonlinear decision rules, asset management, portfolio optimisation

30.

Volatility Investing with Variance Swaps

SFB 649 Discussion Paper 2010-001
Number of pages: 26 Posted: 09 Jan 2017
Wolfgang K. Härdle and Elena Silyakova
Blockchain Research Center and Humboldt University of Berlin
Downloads 137 (287,160)

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Conditional Variance Swap, Corridor Variance Swap, Dispersion Trading, Gamma Swap, Variance Swap, Volatility Replication, Volatility Trading

31.

An AI approach to measuring financial risk

SFB 649 Discussion Paper 2017-003
Number of pages: 26 Posted: 17 Feb 2017 Last Revised: 14 Aug 2020
Lining Yu, Wolfgang K. Härdle, Lukas Borke and Thijs Benschop
Humboldt University of Berlin, Blockchain Research Center, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 132 (295,324)
Citation 2

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Systemic Risk, Quantile Regression, Value at Risk, Lasso, Parallel Computing

32.

Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns

SFB 649 Discussion Paper 2008-014
Number of pages: 27 Posted: 09 Jan 2017
Shiyi Chen, Kiho Jeong and Wolfgang K. Härdle
Fudan University, Kyungpook National University and Blockchain Research Center
Downloads 127 (304,123)
Citation 4

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recurrent support vector regression, GARCH model, volatility forecasting

33.

Convenience Yields for Co2 Emission Allowance Futures Contracts

SFB 649 Discussion Paper 2006-076
Number of pages: 30 Posted: 09 Jan 2017
Szymon Borak, Wolfgang K. Härdle, Stefan Trück and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 125 (307,728)
Citation 33

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CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields.

34.

Functional Principal Component Analysis for Derivatives of Multivariate Curves

SFB 649 Discussion Paper 2016-033
Number of pages: 37 Posted: 08 Sep 2016
Maria Grith, Wolfgang K. Härdle, Alois Kneip and Heiko Wagner
Humboldt University of Berlin, Blockchain Research Center, University of Bonn and University of Bonn
Downloads 121 (315,133)
Citation 1

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functional principal component, dual method, derivatives, multivariate functions, state price densities

35.

Hedging Cryptocurrency Options

Number of pages: 38 Posted: 14 Dec 2021
Jovanka Lili Matic, Natalie Packham and Wolfgang K. Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Berlin School of Economics and Law and Blockchain Research Center
Downloads 120 (317,015)

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cryptocurrency options, hedging, bitcoin, digital finance, volatile markets

36.

Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Number of pages: 38 Posted: 05 Sep 2020 Last Revised: 10 Dec 2021
Junjie Hu, Weiyu Kuo and Wolfgang K. Härdle
Humboldt-Universita?t zu Berlin, National Chengchi University (NCCU) - Department of International Business and Blockchain Research Center
Downloads 109 (338,826)
Citation 4

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Cryptocurrency, Bitcoin, Realized Variance, Thresholded Jump, Signed Jumps, Realized Utility

37.

Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns

Computational Statistics, Vol. 30, No. 3, 2015
Number of pages: 23 Posted: 02 Mar 2016
Shiyi Chen, Kiho Jeong and Wolfgang K. Härdle
Fudan University, Kyungpook National University and Blockchain Research Center
Downloads 109 (338,826)

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Recurrent support vector regression, Non-linear ARMA, Financial forecasting

38.

Composite Quantile Regression for the Single-Index Model

SFB 649 Discussion Paper 2013-010
Number of pages: 43 Posted: 05 Jan 2017
Yan Fan, Wolfgang K. Härdle, Weining Wang, Weining Wang and Lixing Zhu
Renmin University of China, Blockchain Research Center, University of Yorkaffiliation not provided to SSRN and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 108 (341,003)
Citation 12

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Quantile Single-index Regression, Minimum Average Contrast Estimation, Co-VaR estimation, Composite quasi-maximum likelihood estimation, Lasso, Model selection

39.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang K. Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 102 (354,357)
Citation 2

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lasso, quantile regression, systemic risk, high dimensions, penalization parameter

40.

A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

SFB 649 Discussion Paper 2005-020
Number of pages: 43 Posted: 09 Jan 2017
Matthias R. Fengler, Wolfgang K. Härdle and Enno Mammen
University of St. Gallen - School of Economics and Political Science, Blockchain Research Center and University of Mannheim - Department of Economics
Downloads 101 (356,662)
Citation 16

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41.

Estimating Probabilities of Default with Support Vector Machines

Bundesbank Series 2 Discussion Paper No. 2007,18
Number of pages: 44 Posted: 08 Jun 2016
Wolfgang K. Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 101 (356,662)
Citation 2

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Bankruptcy, Company rating, Default probability, Support vector machines

42.

Blockchain Mechanism and Distributional Characteristics of Cryptos

Lin MB, Khowaja K, Chen CYH, Härdle WK. Blockchain mechanism and distributional characteristics of cryptos. Advances in Quantitative Analysis of Finance & Accounting (AQAFA) , Vol. 18, 2021. DOI:10.6293/AQAFA.202112_(18).0006
Number of pages: 27 Posted: 20 Mar 2021 Last Revised: 03 Feb 2022
Min-Bin Lin, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Humboldt-Universit ?at zu Berlin, Germany, International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 98 (363,695)
Citation 2

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Cryptocurrency, price, blockchain mechanism, distributional characteristics, clustering

43.

A Machine Learning Based Regulatory Risk Index for Cryptocurrencies

Number of pages: 37 Posted: 11 Nov 2020 Last Revised: 24 Aug 2021
Xinwen Ni, Wolfgang K. Härdle and Taojun Xie
School of Business and Economics, Blockchain Research Center and National University of Singapore (NUS) - Asia Competitiveness Institute
Downloads 97 (366,011)
Citation 1

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Cryptocurrency, Regulatory Risk, Index, LDA, News Classification

44.

Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks

IRTG 1792 Discussion Paper 2020-006
Number of pages: 30 Posted: 25 Aug 2020
Alexander Jakob Dautel, Wolfgang K. Härdle, Stefan Lessmann and Hsin-Vonn Seow
Humboldt University of Berlin, Blockchain Research Center, School of Business and Economics, Humboldt-University of Berlin and affiliation not provided to SSRN
Downloads 96 (368,407)

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Deep Learning, Financial Time Series Forecasting, Recurrent Neural Networks, Foreign Exchange Rates

45.

Financial Risk Meter based on Expectiles

Journal of Multivariate Analysis
Number of pages: 25 Posted: 01 Apr 2021 Last Revised: 29 Jun 2022
Rui Ren, Meng-Jou Lu, Yingxing Li and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics, National Chiao-Tung University, Xiamen University and Blockchain Research Center
Downloads 95 (370,739)

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Expectiles, EVaR, CoEVaR, expectile lasso regression, network analysis, systemic risk, Financial Risk Meter

46.

Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models

CentER Discussion Paper Series No. 2007-35
Number of pages: 46 Posted: 18 Jun 2007
Pavel Cizek, Wolfgang K. Härdle and V. Spokoiny
Tilburg University - Department of Econometrics & Operations Research, Blockchain Research Center and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 90 (383,430)
Citation 2

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adaptive pointwise estimation, autoregressive models, conditional heteroscedasticity models, local time-homogeneity

47.

Stochastic Population Analysis: A Functional Data Approach

Number of pages: 36 Posted: 14 Jul 2015
Lei Fang and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 89 (386,037)
Citation 1

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Functional principal component analysis; Nonparametric smoothing; Mortality forecasting; Fertility forecasting; Asian demography; Lee-Carter model; Hyndman-Ullah method

48.

Q3-D3-LSA

SFB 649 Discussion Paper 2016-049
Number of pages: 48 Posted: 18 Nov 2016
Lukas Borke and Wolfgang K. Härdle
Humboldt University of Berlin and Blockchain Research Center
Downloads 88 (388,776)
Citation 8

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QuantNet, D3, GitHub API, text mining, document clustering, similarity, semantic web, generalized vector space model, LSA, visualization

49.

High-dimensional Statistical Learning Techniques for Time-varying Limit Order Book Networks

Number of pages: 56 Posted: 24 Jan 2021 Last Revised: 26 Aug 2021
Shi Chen, Wolfgang K. Härdle and Melanie Schienle
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center and Karlsruhe Institute of Technology (KIT)
Downloads 87 (391,454)

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limit order book, high-dimensional statistical learning, liquidity networks, high frequency dynamics, market impact, bootstrap

50.

GitHub API Based QuantNet Mining Infrastructure in R

Number of pages: 44 Posted: 07 Mar 2017 Last Revised: 09 Mar 2017
Lukas Borke and Wolfgang K. Härdle
Humboldt University of Berlin and Blockchain Research Center
Downloads 87 (391,454)
Citation 10

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Code Search, Software Repositories, Text Mining, Information Retrieval, Smart Data, YAML, GitHub Search API, Google Analytics, Web Metrics, LSA, GVSM, Cluster Validation, Quality Indices, Validation Pipeline

51.

The Influence of Oil Price Shocks on China's Macroeconomy: A Perspective of International Trade

Number of pages: 29 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Shiyi Chen, Dengke Chen and Wolfgang K. Härdle
Fudan University, Fudan University and Blockchain Research Center
Downloads 86 (394,315)

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Oil price shocks, International trade, China’s macro-economy

52.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Shih-Kang Chao, Wolfgang K. Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 85 (396,951)
Citation 2

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CoVaR, Value-at-Risk, quantile regression, locally linear quantile regression, partial linear model, semiparametric model

53.

Support Vector Machines with Evolutionary Feature Selection for Default Prediction

SFB 649 Discussion Paper 2012-030
Number of pages: 26 Posted: 07 Jan 2017
Wolfgang K. Härdle, Dedy Prastyo and Christian Hafner
Blockchain Research Center, Humboldt University of Berlin and Catholic University of Louvain (UCL) - School of Statistics
Downloads 83 (402,575)
Citation 2

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SVM, Genetic algorithm, global optmimum, default prediction

54.

Dynamics of State Price Densities

SFB 649 Discussion Paper 2005-021
Number of pages: 39 Posted: 09 Jan 2017
Wolfgang K. Härdle and Zdeněk Hlávka
Blockchain Research Center and Charles University in Prague
Downloads 82 (405,518)
Citation 4

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55.

Data Driven Value-at-Risk Forecasting Using a SVR-GARCH-KDE Hybrid

IRTG 1792 Discussion Paper 2018-001
Number of pages: 26 Posted: 23 May 2018
Marius Lux, Wolfgang K. Härdle and Stefan Lessmann
School of Business and Economics, Humboldt-University of Berlin, Blockchain Research Center and School of Business and Economics, Humboldt-University of Berlin
Downloads 81 (408,430)
Citation 1

Abstract:

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Value-at-Risk, Support Vector Regression, Kernel Density Estimation, GARCH

56.

TERES - Tail Event Risk Expectile Based Shortfall

Number of pages: 30 Posted: 05 Jan 2017 Last Revised: 29 Jul 2020
Philipp Gschöpf, Wolfgang K. Härdle and Andrija Mihoci
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 80 (411,352)
Citation 2

Abstract:

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Expected Shortfall, expectiles, tail risk, risk management, tail events, tail moments

57.

Smoothed L-Estimation of Regression Function

CentER Discussion Paper No. 2006-20
Number of pages: 23 Posted: 17 Apr 2006
Pavel Cizek, Julien Tamine and Wolfgang K. Härdle
Tilburg University - Department of Econometrics & Operations Research, University of Angers - Research Group in Quantitative Saving (GREQAM) and Blockchain Research Center
Downloads 80 (411,352)
Citation 2

Abstract:

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nonparametric regression, L-estimation, smoothed cumulative distribution function

58.

Robustifying Markowitz

Number of pages: 46 Posted: 20 Dec 2021
Yegor Klochkov, Alla Petukhina, Wolfgang K. Härdle and Nikita Zhivotovskiy
Humboldt University of Berlin, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, Blockchain Research Center and Department of mathematics ETH, Zürich
Downloads 79 (414,278)

Abstract:

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robust estimator, portfolio allocation, Markowitz, turnover

59.

Pricing Green Financial Products

SFB 649 Discussion Paper No. 2017-020
Number of pages: 29 Posted: 25 Aug 2017
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 79 (414,278)

Abstract:

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Market Price of Risk, Risk Premium, Renewable Energy, Wind Power Futures, Stochastic Process, Expectile, CARMA, Jump, Lévy, Transform, Logit-Normal, Extreme

60.

Pricing Kernel Modeling

Number of pages: 21 Posted: 14 Jul 2015
Denis Belomestny, Shujie Ma and Wolfgang K. Härdle
Weierstras Institute for Applied Analysis and Stochastics (WIAS), University of California, Riverside (UCR) and Blockchain Research Center
Downloads 78 (417,318)
Citation 1

Abstract:

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Empirical Pricing Kernel; Kernel; Kernel Density Estimation; Nonparametric Fitting; Kullback-Leibler Divergence

61.

A Consistent Nonparametric Test for Causality in Quantile

SFB 649 Discussion Paper 2008-007
Number of pages: 26 Posted: 09 Jan 2017
Kiho Jeong and Wolfgang K. Härdle
Kyungpook National University and Blockchain Research Center
Downloads 76 (423,554)
Citation 9

Abstract:

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Granger Causality, Quantile, Nonparametric Test

62.

An Expectile Factor Model for Day-ahead Wind Power Forecasting

Number of pages: 31 Posted: 18 Apr 2019 Last Revised: 30 Aug 2021
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 74 (429,860)

Abstract:

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forecast, renewable energy, wind power, factor model, penalisation, functional data analysis, expectile, multivariate regression, short-term, Markov switching, cluster

63.

Media-Expressed Tone, Option Characteristics, and Stock Return Predictability

Number of pages: 47 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Matthias R. Fengler, Wolfgang K. Härdle and Yanchu Liu
University of Glasgow, Adam Smith Business School, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 73 (432,994)
Citation 2

Abstract:

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option markets, equity markets, stock return predictability, media tone, topic model

64.

Is Scientific Performance a Function of Funds?

SFB 649 Discussion Paper No. 2017-028
Number of pages: 41 Posted: 13 Jun 2020 Last Revised: 03 Sep 2021
Alona Zharova, Wolfgang K. Härdle and Stefan Lessmann
Humboldt University of Berlin, Blockchain Research Center and School of Business and Economics, Humboldt-University of Berlin
Downloads 71 (439,532)
Citation 4

Abstract:

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Research Performance; Decision Making; Third-Party Funds; Publications; Citations; PVARX Model

65.

Robust Estimation of Dimension Reduction Space

CentER Discussion Paper No. 2005-31
Number of pages: 25 Posted: 21 Apr 2005
Pavel Cizek and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center
Downloads 70 (442,856)

Abstract:

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Dimension reduction, nonparametric regression, M-estimation

66.

Improving Crime Count Forecasts Using Twitter and Taxi Data

IRTG 1792 Discussion Paper 2018-013
Number of pages: 35 Posted: 28 Feb 2018
Lara Vomfell, Wolfgang K. Härdle and Stefan Lessmann
University of Warwick, Blockchain Research Center and School of Business and Economics, Humboldt-University of Berlin
Downloads 69 (446,206)

Abstract:

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Predictive Policing, Crime Forecasting, Social Media Data, Spatial

67.

Implied Basket Correlation Dynamics

Statistics & Risk Modelling, 2014, SFB 649 Discussion Paper 2012-066
Number of pages: 35 Posted: 06 May 2016
Wolfgang K. Härdle and Elena Silyakova
Blockchain Research Center and Humboldt University of Berlin
Downloads 69 (446,206)

Abstract:

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correlation risk, dimension reduction, dispersion strategy, dynamic factor

68.

Default Risk Calculation Based on Predictor Selection for the Southeast Asian Industry

SFB 649 Discussion Paper 2013-037
Number of pages: 24 Posted: 05 Jan 2017
Wolfgang K. Härdle and Dedy Prastyo
Blockchain Research Center and Humboldt University of Berlin
Downloads 67 (453,163)
Citation 1

Abstract:

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Default risk, Predictor selection, logit, Lasso, Elastic-net

69.

Downside Risk and Stock Returns: An Empirical Analysis of the Long-Run and Short-Run Dynamics from the G-7 Countries

SFB 649 Discussion Paper 2016-001, Economic Risk, Berlin
Number of pages: 53 Posted: 27 Jun 2016
Cathy Chen, Thomas Chinan Chiang and Wolfgang K. Härdle
Chung Hua University, Drexel University - Department of Finance and Blockchain Research Center
Downloads 67 (453,163)
Citation 5

Abstract:

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Downside risk; Value -at -Risk; Risk-return

70.

FRM Financial Risk Meter for Emerging Markets

Number of pages: 47 Posted: 16 Feb 2021
Souhir Ben Amor, Michael Althof and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 66 (456,625)
Citation 1

Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Network Dynamics, Emerging Markets, Hierarchical Risk Parity

71.

The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence

Number of pages: 38 Posted: 30 Jul 2020
Lina Meng, Yinggang Zhou, Ruige Zhang, Zhen (Peter) Ye, Senmao Xia, Giovanni Cerulli, Carter Casady and Wolfgang K. Härdle
Xiamen University, Xiamen University - Department of Finance, Xiamen University, Coventry University London, Coventry University - School of Strategy and Leadership, National Research Council (CNR), Stanford University - Global Projects Center and Blockchain Research Center
Downloads 66 (456,625)
Citation 1

Abstract:

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COVID-19, coronavirus

72.

Tail Event Driven ASset Allocation: Evidence from Equity and Mutual Funds’ Markets

SFB 649 Discussion Paper 2015-045
Number of pages: 26 Posted: 05 Jan 2017
Wolfgang K. Härdle, David Kuo Chuen Lee, Sergey Nasekin, Xinwen Ni and Alla Petukhina
Blockchain Research Center, Singapore University of Social Sciences (SUSS), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nanyang Technological University (NTU) and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business
Downloads 66 (456,625)
Citation 3

Abstract:

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adaptive lasso, portfolio optimisation, quantile regression, Valueat- Risk, tail events

73.

Dynamic Credit Default Swaps Curves in a Network Topology

SFB 649 Discussion Paper 2016-059
Number of pages: 47 Posted: 04 Jan 2017
Xiu Xu, Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Blockchain Research Center
Downloads 65 (460,114)
Citation 3

Abstract:

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CDS, network, default risk, variance decomposition, risk management

74.

Beta-Boosted Ensemble for Big Credit Scoring Data

SFB 649 Discussion Paper 2016-052
Number of pages: 21 Posted: 28 Nov 2016
Maciej Zieba and Wolfgang K. Härdle
Wroclaw University of Technology and Blockchain Research Center
Downloads 65 (460,114)
Citation 3

Abstract:

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credit scoring, ensemble model, beta distribution, Beta boost, big data

75.

Tail Event Driven Networks of SIFIs

SFB 649 Discussion Paper 2017-004
Number of pages: 35 Posted: 11 Dec 2017
Cathy Chen, Wolfgang K. Härdle and Yarema Okhrin
Humboldt University of Berlin, Blockchain Research Center and University of Augsburg
Downloads 64 (463,692)
Citation 11

Abstract:

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Systemic Risk, Network Analysis, Network Autoregression, Tail Event

76.

A Financial Risk Meter for China

Number of pages: 40 Posted: 18 Nov 2021 Last Revised: 22 Nov 2021
Ruting Wang, Michael Althof and Wolfgang K. Härdle
Sun Yat-sen University (SYSU) - Business School, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 61 (474,916)

Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Financial Network, China, Shapley Value

77.

Textual Sentiment and Sector Specific Reaction

Number of pages: 37 Posted: 31 Aug 2020
Elisabeth Bommes, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 61 (474,916)
Citation 1

Abstract:

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Investor Sentiment, Attention Analysis, Sector-specic Reactions, Volatility, Text Mining, Polarity

78.

TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data

SFB 649 Discussion Paper 2011-054
Number of pages: 30 Posted: 09 Jan 2017
Ray-Bing Chen, Ying Chen and Wolfgang K. Härdle
National Cheng Kung University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 61 (474,916)
Citation 2

Abstract:

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Adaptive Sequential Testing; Independent Component Analysis; Local Homogeneity; Signal Processing; Realized Volatility

79.

The Dynamics of Hourly Electricity Prices

SFB 649 Discussion Paper 2010-013
Number of pages: 24 Posted: 09 Jan 2017
Wolfgang K. Härdle and Stefan Trück
Blockchain Research Center and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 60 (478,713)
Citation 6

Abstract:

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Power Markets, Dynamic Semi-parametric Factor Models, Day-ahead Electricity Prices

80.

Principal Component Analysis in an Asymmetric Norm

Number of pages: 34 Posted: 20 Oct 2016
Ngoc Tran, Petra Burdejova, Maria Osipenko and Wolfgang K. Härdle
University of Texas at Austin, Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 60 (478,713)
Citation 7

Abstract:

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principal components; asymmetric norm; dimension reduction; quantile; expectile; fMRI; risk attitude; brain imaging; temperature; functional data

81.

Expectile Treatment Effects: An Efficient Alternative to Compute the Distribution of Treatment Effects

SFB 649 Discussion Paper 2014-059
Number of pages: 24 Posted: 05 Jan 2017
Stephan Stahlschmidt, Matthias Eckardt and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center
Downloads 59 (482,547)
Citation 1

Abstract:

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distributional treatment effects, efficiency, expectile treatment effects, LaLonde data, quantile treatment effects

82.

Surrogate Models for Optimization of Dynamical Systems

Number of pages: 32 Posted: 26 Feb 2021 Last Revised: 18 Jan 2022
Kainat Khowaja, Wolfgang K. Härdle and Mykhaylo Shcherbatyy
International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, Blockchain Research Center and affiliation not provided to SSRN
Downloads 58 (486,458)
Citation 1

Abstract:

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Proper Orthogonal Decomposition, SVD, Radial Basis Functions, Optimization, Surrogate Models, Smart Data Analytics, Parameter Estimation

83.

Calibration Risk for Exotic Options

SFB 649 Discussion Paper 2006-001
Number of pages: 30 Posted: 09 Jan 2017
Kai Detlefsen and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 58 (486,458)
Citation 1

Abstract:

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calibration risk, calibration, model risk, Heston model, Bates model, barrier option, cliquet option

84.

Learning Machines Supporting Bankruptcy Prediction

SFB 649 Discussion Paper 2010-032
Number of pages: 28 Posted: 09 Jan 2017
Wolfgang K. Härdle, Rouslan Moro and Linda Hoffman
Blockchain Research Center, German Institute for Economic Research (DIW Berlin) and Humboldt University of Berlin
Downloads 58 (486,458)
Citation 2

Abstract:

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Support Vector Machine, Bankruptcy, Default Probabilities Prediction, Profitability

85.

Model-Driven Statistical Arbitrage on LETF Option Markets

Quantitative Finance, Vol. 19, No. 11, 2019, 1817–1837
Number of pages: 41 Posted: 17 Nov 2020
Sergey Nasekin and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 57 (490,323)

Abstract:

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exchange-traded funds, options, implied volatilities, moneyness scaling, bootstrap, dynamic factor models, trading strategies

86.

Forecast Based Pricing of Weather Derivatives

SFB 649 Discussion Paper 2012-027
Number of pages: 25 Posted: 07 Jan 2017
Wolfgang K. Härdle, Brenda López Cabrera and Matthias Ritter
Blockchain Research Center, Humboldt University of Berlin and Humboldt-Universität zu Berlin - Department of Agricultural Economics
Downloads 57 (490,323)
Citation 2

Abstract:

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weather derivatives, seasonal variation, temperature, risk premia

87.

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

LSE STICERD Research Paper No. EM537
Number of pages: 32 Posted: 08 Feb 2010
Wolfgang K. Härdle, Oliver B. Linton and Yingcun Xia
Blockchain Research Center, University of Cambridge and National University of Singapore (NUS)
Downloads 57 (490,323)
Citation 26

Abstract:

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88.

Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk

Number of pages: 51 Posted: 24 Jul 2015
Shiyi Chen, Wolfgang K. Härdle and Wang Li
Fudan University, Blockchain Research Center and Fudan University
Downloads 56 (494,248)
Citation 4

Abstract:

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Total Factor Efficiency, Unbalanced Development, Shadow Banking, Global SBM

89.

Copula-Based Factor Model for Credit Risk Analysis

SFB 649 Discussion Paper 2015-042
Number of pages: 27 Posted: 05 Jan 2017
Meng-Jou Lu, Wolfgang K. Härdle and Cathy Chen
National Chiao-Tung University, Blockchain Research Center and Humboldt University of Berlin
Downloads 55 (498,288)
Citation 1

Abstract:

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Factor Model, Conditional Factor Loading, State-Dependent Recovery Rate

90.

Factorisable Multi-Task Quantile Regression

SFB 649 Discussion Paper 2016-057
Number of pages: 70 Posted: 04 Jan 2017
Wolfgang K. Härdle, Shih-Kang Chao and Ming Yuan
Blockchain Research Center, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Wisconsin - Madison
Downloads 55 (498,288)
Citation 1

Abstract:

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Factor model; Fast iterative shrinkage-thresholding algorithm; Multivariate Regression; Spatial extreme; Financial risk

91.

Multivariate Factorisable Sparse Asymmetric Least Squares Regression

SFB 649 Discussion Paper 2016-058
Number of pages: 32 Posted: 29 Dec 2016
Shih-Kang Chao, Wolfgang K. Härdle and Chen Huang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Aarhus University - Department of Economics and Business Economics
Downloads 55 (498,288)

Abstract:

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high-dimensional M-estimator, nuclear norm regularizer, factorization, expectile regression, fMRI, risk perception, multivariate functional data

92.

Networks of News and Cross-Sectional Returns

Number of pages: 47 Posted: 16 Aug 2021 Last Revised: 19 Oct 2021
Junjie Hu and Wolfgang K. Härdle
Humboldt-Universita?t zu Berlin and Blockchain Research Center
Downloads 53 (506,521)

Abstract:

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Networks, Textual News, Cross-Sectional Returns, Comovement, Network Degree

93.

Common Factors in Credit Defaults Swap Markets

Computational Statistics, Vol. 30, No. 3, 2015
Number of pages: 19 Posted: 02 Mar 2016
Cathy Chen and Wolfgang K. Härdle
Chung Hua University and Blockchain Research Center
Downloads 52 (510,776)

Abstract:

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redit default swaps, Common factors, Credit risk, Factor model

94.

Dynamic Valuation of Weather Derivatives Under Default Risk

SFB 649 Discussion Paper 2017-005
Number of pages: 38 Posted: 11 Dec 2017
Wolfgang K. Härdle and Maria Osipenko
Blockchain Research Center and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 51 (515,042)

Abstract:

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Derivative Securities, Asset Pricing Models

95.

Predicting Bankruptcy with Support Vector Machines

SFB 649 Discussion Paper 2005-009
Number of pages: 25 Posted: 09 Jan 2017
Wolfgang K. Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 51 (515,042)
Citation 1

Abstract:

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96.

FFT Based Option Pricing

SFB 649 Discussion Paper 2005-011
Number of pages: 20 Posted: 09 Jan 2017
Szymon Borak, Kai Detlefsen and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 51 (515,042)
Citation 2

Abstract:

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97.

TEDAS - Tail Event Driven Asset Allocation

Number of pages: 51 Posted: 03 Nov 2020
Sergey Nasekin, Wolfgang K. Härdle and David Kuo Chuen Lee
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Singapore University of Social Sciences (SUSS)
Downloads 50 (519,467)

Abstract:

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lasso, portfolio optimization, quantile regression, value-at-risk, non-normality

98.

Value-at-Risk and Expected Shortfall When There Is Long Range Dependence

SFB 649 Discussion Paper 2008-006
Number of pages: 40 Posted: 09 Jan 2017
Wolfgang K. Härdle and Julius Mungo
Blockchain Research Center and Humboldt University of Berlin
Downloads 50 (519,467)
Citation 4

Abstract:

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Backtesting, Value-at-Risk, Expected Shortfall, Long Memory, Fractional Integrated Volatility Models

99.

Semiparametric Regression Analysis Under Imputation for Missing Response Data

LSE STICERD Research Paper No. EM454
Number of pages: 42 Posted: 21 Jul 2008
Wolfgang K. Härdle, Oliver B. Linton and Qihua Wang
Blockchain Research Center, University of Cambridge and AMSS
Downloads 49 (523,892)

Abstract:

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100.

Does non-linear factorization of financial returns help build better and stabler portfolios?

Number of pages: 28 Posted: 18 Apr 2022
Bruno Spilak and Wolfgang K. Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center
Downloads 48 (528,436)

Abstract:

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Portfolio allocation, factor model, autoencoder, non-negative matrix factorization, clustering, tail risk protection

101.

Antisocial Online Behavior Detection Using Deep Learning

IRTG 1792 Discussion Paper 2019-029
Number of pages: 33 Posted: 28 Aug 2020
Elizaveta Zinovyeva, Wolfgang K. Härdle and Stefan Lessmann
Humboldt University of Berlin, Blockchain Research Center and School of Business and Economics, Humboldt-University of Berlin
Downloads 47 (532,894)
Citation 1

Abstract:

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Deep Learning, Cyber-bullying, Antisocial Online Behavior, Attention Mechanism, Text Classification

102.

Estimation of Default Probabilities with Support Vector Machines

SFB 649 Discussion Paper 2006-077
Number of pages: 43 Posted: 09 Jan 2017
Shiyi Chen, Wolfgang K. Härdle and Rouslan Moro
Fudan University, Blockchain Research Center and German Institute for Economic Research (DIW Berlin)
Downloads 47 (532,894)
Citation 7

Abstract:

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Support Vector Machine, Bankruptcy, Default Probabilities Prediction, Expected Profitability, CAPM.

103.

Exploratory Graphics of a Financial Dataset

SFB 649 Discussion Paper 2006-031
Number of pages: 26 Posted: 07 Jan 2017 Last Revised: 11 Dec 2017
Antony Unwin, Martin Theus and Wolfgang K. Härdle
University of Augsburg, University of Augsburg and Blockchain Research Center
Downloads 47 (532,894)

Abstract:

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company rating, default probability, support vector machines, colour coding

104.

Functional Data Analysis of Generalized Quantile Regressions

SFB 649 Discussion Paper 2013-001
Number of pages: 26 Posted: 05 Jan 2017
Mengmeng Guo, Lhan Zhou, Jianhua Huang and Wolfgang K. Härdle
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Texas A & M University, Texas A&M University - Department of Statistics and Blockchain Research Center
Downloads 47 (532,894)
Citation 1

Abstract:

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Asymmetric loss function, Common structure, Functional data analysis, Generalized quantile curve, Iteratively reweighted least squares, Penalization

105.

Empirical Pricing Kernels and Investor Preferences

SFB 649 Discussion Paper 2007-017
Number of pages: 37 Posted: 09 Jan 2017
Kai Detlefsen, Wolfgang K. Härdle and Rouslan Moro
Humboldt University of Berlin - Institute for Statistics and Econometrics, Blockchain Research Center and German Institute for Economic Research (DIW Berlin)
Downloads 46 (537,532)
Citation 5

Abstract:

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Utility function, Pricing Kernel, Behavioral Finance, Risk Aversion, Risk Proclivity, Heston model

106.

Risk Related Brain Regions Detected with 3D Image FPCA

Number of pages: 31 Posted: 14 Jul 2015
Ying Chen, Wolfgang K. Härdle, Qiang He and Piotr Majer
National University of Singapore (NUS), Blockchain Research Center, National University of Singapore (NUS) - Department of Statistics and Applied Probability and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 46 (537,532)

Abstract:

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Decision Making; fMRI; Neuroeconomics; Risk Attitude; RPID.

107.

Localizing Multivariate CAViaR

IRTG 1792 Discussion Paper 2019-007
Number of pages: 46 Posted: 31 Aug 2020 Last Revised: 03 Mar 2022
Xiu Xu and Wolfgang K. Härdle
Soochow University and Blockchain Research Center
Downloads 45 (542,197)

Abstract:

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conditional quantile auto-regression, local parametric approach, change point detection, multiplier bootstrap

108.

Dynamic Network Perspective of Cryptocurrencies

IRTG 1792 Discussion Paper 2019-009
Number of pages: 54 Posted: 31 Aug 2020
Li Guo, Yubo Tao and Wolfgang K. Härdle
Fudan University - School of Economics, University of Macau - Department of Economics and Blockchain Research Center
Downloads 45 (542,197)
Citation 1

Abstract:

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Community Detection, Dynamic Stochastic Block-model, Spectral Clustering, Node Co-variate, Return Predictability, Portfolio Management

109.

Joint Tensor Expectile Regression for Electricity Day-Ahead Price Curves

Number of pages: 38 Posted: 03 May 2019 Last Revised: 30 Aug 2021
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 45 (542,197)

Abstract:

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forecast, electricity day-ahead prices, trust region method, factor model, penalisation, functional data analysis, expectile, multivariate tensor regression, vector autoregression

110.

Stochastic Population Forecast for Germany and Its Consequence for the German Pension System

SFB 649 Discussion Paper 2009-009
Number of pages: 39 Posted: 09 Jan 2017
Wolfgang K. Härdle and Alena Mysickova
Blockchain Research Center and Humboldt University of Berlin
Downloads 45 (542,197)
Citation 4

Abstract:

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Demographic Forecasting, Population Projection, Stochastic Demography

111.

Data Analytics Driven Controlling: Bridging Statistical Modeling and Managerial Intuition

Number of pages: 41 Posted: 23 Mar 2021 Last Revised: 27 Jan 2022
Kainat Khowaja, Danial Saef, Sergej Sizov and Wolfgang K. Härdle
International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, Humboldt University of Berlin, University of Koblenz-Landau - Information Systems and Semantic Web (ISWeb) and Blockchain Research Center
Downloads 44 (547,016)

Abstract:

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Data Analytics, Local Parametric Approach, Adaptive Estimation, Change Point Detection, Poisson Processes

112.

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-010
Number of pages: 34 Posted: 02 May 2017
Ya Qian, Wolfgang K. Härdle and Cathy Chen
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 44 (547,016)
Citation 1

Abstract:

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dynamic network, interdependency, general predictive model, quantile LASSO, connectedness, centrality, prediction accuracy, network-based trading strategy

113.

Common Functional Implied Volatility Analysis

SFB 649 Discussion Paper 2005-012
Number of pages: 22 Posted: 09 Jan 2017
Michal Benko and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 44 (547,016)

Abstract:

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114.

Data Science & Digital Society

Number of pages: 10 Posted: 29 May 2017
Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin and Blockchain Research Center
Downloads 43 (551,880)

Abstract:

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Data Science, Digital Society, social networks, herding, sentiments

115.

Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity

SFB 649 Discussion Paper 2011-013
Number of pages: 27 Posted: 09 Jan 2017
Wolfgang K. Härdle and Maria Osipenko
Blockchain Research Center and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 42 (556,865)
Citation 2

Abstract:

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risk premium, weather derivatives, Ornstein-Uhlenbeck process, functional principal components, geographically weighted regression

116.

Credit Rating Score Analysis

SFB 649 Discussion Paper 2016-046
Number of pages: 37 Posted: 03 Nov 2016
Wolfgang K. Härdle, Kok Fai Phoon and David Kuo Chuen Lee
Blockchain Research Center, SIM University and Singapore University of Social Sciences (SUSS)
Downloads 42 (556,865)

Abstract:

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Credit risk, Principal Components Analysis, Credit Rating Score

117.

Simultaneous Inference for the Partially Linear Model with A Multivariate Unknown Function When the Covariates are Measured with Errors

SFB 649 Discussion Paper 2016-024
Number of pages: 31 Posted: 04 Aug 2016
Kun Ho Kim, Shih-Kang Chao and Wolfgang K. Härdle
Yeshiva University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 41 (561,986)

Abstract:

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Measurement error, Partially linear model, Regression calibration, Non-parametric function, Semi-parametric regression, Uniform confidence surface, Simultaneous inference, U.S. Gasoline demand, Non-linearity

118.

The Impact of News on US Household Inflation Expectations

SFB 649 Discussion Paper 2017-011
Number of pages: 14 Posted: 29 May 2017
Shih-Kang Chao, Wolfgang K. Härdle, Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 40 (567,049)

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Inflation expectations, news impact, forecast disagreement

119.

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 14 Jul 2015
Wolfgang K. Härdle, Wei Cui, Weining Wang and Weining Wang
Blockchain Research Center, University College London and University of Yorkaffiliation not provided to SSRN
Downloads 40 (567,049)
Citation 1

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

120.

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

SFB 649 Discussion Paper No. 2012-031
Number of pages: 33 Posted: 25 Aug 2013
Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci
Blockchain Research Center, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 40 (567,049)
Citation 8

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multiplicative error model, local adaptive modeling, high-frequency processes, trading volume, forecasting

121.

Cryptocurrency Dynamics: Rodeo or Ascot?

Number of pages: 14 Posted: 06 Apr 2021 Last Revised: 08 Jan 2022
Konstantin Häusler and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center
Downloads 39 (572,140)

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Cryptocurrency, SVCJ, Market Dynamics, Stochastic Volatility

122.

Implied Market Price of Weather Risk

SFB 649 Discussion Paper 2009-001
Number of pages: 35 Posted: 09 Jan 2017
Wolfgang K. Härdle and Brenda López Cabrera
Blockchain Research Center and Humboldt University of Berlin
Downloads 39 (572,140)
Citation 9

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weather derivatives, weather risk, weather forecasting, seasonality, continuous autoregressive model, stochastic variance, CAT index, CDD index, HDD index, market price of risk, risk premium, CME

123.

Service Data Analytics and Business Intelligence

IRTG 1792 Discussion Paper 2020-002
Number of pages: 7 Posted: 25 Aug 2020
Dash Wu and Wolfgang K. Härdle
University of Toronto - RiskLab and Blockchain Research Center
Downloads 38 (577,245)

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Data Analytics, Business Intelligence Systems

124.

Nonparametric Estimation of Risk-Neutral Densities

SFB 649 Discussion Paper 2010-021
Number of pages: 31 Posted: 10 Jan 2017
Maria Grith, Wolfgang K. Härdle and Melanie Schienle
Humboldt University of Berlin, Blockchain Research Center and Karlsruhe Institute of Technology (KIT)
Downloads 38 (577,245)
Citation 1

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Risk neutral density, Pricing kernel, Kernel smoothing, Local polynomials, Series methods

125.

Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

CFS Working Paper, No. 2009/18
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 06 Jun 2016
Nikolaus Hautsch, Wolfgang K. Härdle and Andrija Mihoci
University of Vienna - Department of Statistics and Operations Research, Blockchain Research Center and Brandenburg University of Technology (BTU)
Downloads 38 (577,245)
Citation 6

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Limit Order Book, Liquidity Risk, Semiparametric Model, Factor Structure, Prediction

126.

SONIC: SOcial Network with Influencers and Communities

Number of pages: 55 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Wolfgang K. Härdle and Yegor Klochkov
University of Glasgow, Adam Smith Business School, Blockchain Research Center and Humboldt University of Berlin
Downloads 37 (582,609)

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social media, network, community, opinion mining, natural language processing

127.

Penalized Adaptive Forecasting With Large Information Sets and Structural Changes

Number of pages: 53 Posted: 31 Aug 2018
Lenka Zboňáková, Lenka Zboňáková, Xinjue Li and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and EconometricsHumboldt University of Berlin - Center for Applied Statistics and Economics (CASE), and Blockchain Research Center
Downloads 37 (582,609)
Citation 1

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SCAD Penalty, Propagation-Separation, Adaptive Window Choice, Multiplier Bootstrap

128.

Pricing of Asian Temperature Risk

SFB 649 Discussion Paper 2009-046
Number of pages: 34 Posted: 11 Dec 2017
Fred Espen Benth, Wolfgang K. Härdle and Brenda López Cabrera
University of Oslo, Blockchain Research Center and Humboldt University of Berlin
Downloads 37 (582,609)
Citation 2

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Weather Derivatives, Continuous Autoregressive Model, CAT, CDD, HDD, Risk Premium

129.

Dynamic Semi-Parametric Factor Model for Functional Expectiles

SFB 649 Discussion Paper 2017-027
Number of pages: 22 Posted: 11 Dec 2017
Petra Burdejova and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center
Downloads 37 (582,609)

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Factor Model, Functional Data, Expectiles, Extremes

130.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Wolfgang K. Härdle, Brenda López Cabrera, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 37 (582,609)

Abstract:

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weather derivatives, localising temperature residuals, seasonality, local model selection

131.

Credit Risk Calibration Based on CDS Spreads

SFB 649 Discussion Paper 2014-026
Number of pages: 41 Posted: 05 Jan 2017
Shih-Kang Chao, Wolfgang K. Härdle and Pham Thu Hien
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Humboldt University of Berlin
Downloads 37 (582,609)

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CDS, VaR, CoVaR, stressed VaR, Central Counterparty, Quantile Regression

132.

Pricing Chinese Rain: A Multisite Multi-Period Equilibrium Pricing Model for Rainfall Derivatives

SFB 649 Discussion Paper 2011-055
Number of pages: 38 Posted: 11 Dec 2017
Wolfgang K. Härdle and Maria Osipenko
Blockchain Research Center and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 34 (599,254)
Citation 2

Abstract:

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Rainfall Derivatives, Equilibrium Pricing, Space-time Markov Model

133.

Partial Linear Quantile Regression and Bootstrap Confidence Bands

SFB 649 Discussion Paper 2010-002
Number of pages: 33 Posted: 09 Jan 2017
Wolfgang K. Härdle, Ya'acov Ritov and Song Song
Blockchain Research Center, Hebrew University of Jerusalem and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 34 (599,254)
Citation 4

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Bootstrap, Quantile Regression, Confidence Bands, Nonparametric Fitting, Kernel Smoothing, Partial Linear Model

134.

Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting

Number of pages: 50 Posted: 05 Sep 2020
Xinjue Li, Lenka Zboňáková, Lenka Zboňáková, Weining Wang, Weining Wang and Wolfgang K. Härdle
, Humboldt University of Berlin - Institute for Statistics and EconometricsHumboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of Yorkaffiliation not provided to SSRN and Blockchain Research Center
Downloads 33 (605,201)

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SCAD penalty, propagation-separation, adaptive window choice, multiplier bootstrap, bond risk premia

135.

Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective

Number of pages: 51 Posted: 31 Aug 2020
Li Guo, Yubo Tao and Wolfgang K. Härdle
Fudan University - School of Economics, University of Macau - Department of Economics and Blockchain Research Center
Downloads 33 (605,201)
Citation 1

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Community Detection, Dynamic Network, Return Predictability, Behavioural Bias, Market Segmentation, Bitcoin

136.

Value-at-Risk Calculations with Time Varying Copulae

SFB 649 Discussion Paper 2005-004
Number of pages: 6 Posted: 09 Jan 2017
Enzo Giacomini and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 33 (605,201)
Citation 10

Abstract:

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137.

A Semiparametric Factor Model for CDO Surfaces Dynamics

Journal of Multivariate Analysis, September 2015
Number of pages: 13 Posted: 20 Feb 2016 Last Revised: 06 Jun 2016
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Humboldt University of Berlin - School of Business and Economics
Downloads 33 (605,201)

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CDO, Curve trade, Dynamic factor model, semiparametric model, Surfaces dynamics

138.

How Sensitive are Tail-Related Risk Measures in a Contamination Neighbourhood?

IRTG 1792 Discussion Paper No. 2018-010
Number of pages: 26 Posted: 30 Jul 2018
Wolfgang K. Härdle and Chengxiu Ling
Blockchain Research Center and University of Lausanne, Department of Actuarial Science
Downloads 32 (611,022)

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sensitivity, expected shortfall, expectile, Value-at-Risk, risk management, influence function, CRIX

139.

Spatial Functional Principal Component Analysis with Applications to Brain Image Data

SFB 649 Discussion Paper 2017-024
Number of pages: 31 Posted: 11 Dec 2017
Yingxing Li, Chen Huang and Wolfgang K. Härdle
Xiamen University, Aarhus University - Department of Economics and Business Economics and Blockchain Research Center
Downloads 32 (611,022)

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Principal Component Analysis; Penalized Smoothing; Asymptotics; Functional Magnetic Resonance Imaging (fMRI)

140.

How to Measure a Performance of a Collaborative Research Centre

IRTG 1792 Discussion Paper No. 2018-011
Number of pages: 23 Posted: 08 Mar 2018
Alona Zharova, Janine Tellinger-Rice and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center
Downloads 31 (617,091)
Citation 1

Abstract:

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Research Performance, New Public Management, Time Fixed Effects Panel Data Model, Fixed Effects Poisson Model, Network, Collaborative Research Centre

141.

Numerics of Implied Binomial Trees

SFB 649 Discussion Paper 2008-044
Number of pages: 27 Posted: 09 Jan 2017
Wolfgang K. Härdle and Alena Mysickova
Blockchain Research Center and Humboldt University of Berlin
Downloads 31 (617,091)
Citation 1

Abstract:

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Implied Tree Models, Implied Volatility, Local Volatility, Option Pricing

142.

Computational Statistics and Data Visualization

SFB 649 Discussion Paper 2007-020
Number of pages: 12 Posted: 09 Jan 2017
Wolfgang K. Härdle, Chun-houh Chen and Antony Unwin
Blockchain Research Center, Academia Sinica - Institute of Statistical Science and University of Augsburg
Downloads 31 (617,091)

Abstract:

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Data Visualization, Exploratory Graphics

143.

Phenotypic Convergence of Cryptocurrencies

IRTG 1792 Discussion Paper 2019-018
Number of pages: 44 Posted: 31 Aug 2020
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang K. Härdle, Michalis Kolossiatis and Yannis G. Yatracos
The Bucharest University of Economic Studies, Department of Statistics and Econometrics, Humboldt University of Berlin, Blockchain Research Center, University of Cyprus and Tsinghua University - Yau Mathematical Sciences Center
Downloads 30 (623,371)

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cryptocurrency, genus proximum, differentia specifica, classification, multivariate analysis, factor models, phenotypic convergence, divergent evolution

144.

The Default Risk of Firms Examined with Smooth Support Vector Machines

SFB 649 Discussion Paper 2008-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle, Yuh-Jye Lee, Dorothea Schaefer and Yi-Ren Yeh
Blockchain Research Center, National Taiwan University of Science and Technology, German Institute for Economic Research (DIW Berlin) and National Taiwan University of Science and Technology
Downloads 30 (623,371)
Citation 3

Abstract:

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Insolvency Prognosis, SVMs, Statistical Learning Theory, Non-parametric Classification

145.

Shape Invariant Modelling Pricing Kernels and Risk Aversion

SFB 649 Discussion Paper 2009-041
Number of pages: 33 Posted: 09 Jan 2017
Maria Grith, Wolfgang K. Härdle and Juhyun Park
Humboldt University of Berlin, Blockchain Research Center and Lancaster University
Downloads 30 (623,371)
Citation 5

Abstract:

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pricing kernels, risk aversion, risk neutral density

146.

Reference Dependent Preferences and the EPK Puzzle

SFB 649 Discussion Paper No. 2013-023
Number of pages: 37 Posted: 05 Jan 2017
Maria Grith, Wolfgang K. Härdle and Volker Krätschmer
Humboldt University of Berlin, Blockchain Research Center and University of Duisburg-Essen
Downloads 30 (623,371)
Citation 4

Abstract:

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Pricing Kernel, Aggregate Agent, Empirical Pricing Kernel, EPK Puzzle, State Dependent

147.

Adaptive Weights Clustering of Research Papers

SFB 649 Discussion Paper 2017-013
Number of pages: 17 Posted: 07 Jul 2017
Larisa Adamyan, Kirill S Efimov, Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center
Downloads 29 (629,624)
Citation 1

Abstract:

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Clustering, JEL system, Adaptive algorithm, Economic articles, Nonparametric

148.

Constrained Kelly Portfolios Under Alpha-Stable Laws

IRTG 1792 Discussion Paper 2019-004
Number of pages: 25 Posted: 31 Aug 2020
Niels Wesselhöfft and Wolfgang K. Härdle
Humboldt Universität zu Berlin | IRTG 1792 and Blockchain Research Center
Downloads 28 (636,172)

Abstract:

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High-Frequency, Multi-Fractal, Stable Distribution, Re-Scaling, Risk Management, Value at Risk, Quantile Distribution

149.

Regularization Approach for Network Modeling of German Energy Market

IRTG 1792 Discussion Paper 2018-017
Number of pages: 37 Posted: 30 Jul 2018
Shi Chen, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 28 (636,172)

Abstract:

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Regularization, Energy Risk Transmission, Network, German Energy Market

150.

Statistics of Risk Aversion

SFB 649 Discussion Paper 2007-025
Number of pages: 11 Posted: 09 Jan 2017
Enzo Giacomini and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center
Downloads 28 (636,172)

Abstract:

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Dynamic Semiparametric Estimation, Pricing Kernel, Risk Aversion

151.

Modeling Dependencies in Finance Using Copulae

SFB 649 Discussion Paper 2008-043
Number of pages: 38 Posted: 09 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin and Yarema Okhrin
Blockchain Research Center, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 28 (636,172)

Abstract:

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Distribution functions, Dimension Reduction, Risk management, Statistical models

152.

Generalized Single-Index Models: The EFM Approach

SFB 649 Discussion Paper 2009-050
Number of pages: 39 Posted: 09 Jan 2017
Xia Cui, Wolfgang K. Härdle and Lixing Zhu
Sun Yat-sen University (SYSU), Blockchain Research Center and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 28 (636,172)
Citation 1

Abstract:

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Generalized single-index model, index coefficients, estimating equations, asymptotic properties, iteration

153.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle, V. Spokoiny, Weining Wang and Weining Wang
Blockchain Research Center, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Yorkaffiliation not provided to SSRN
Downloads 28 (636,172)

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Conditional Quantiles, Semiparametric and Nonparametric Methods, Asymmetric Laplace Distribution, Exponential Risk Bounds, Adaptive Bandwidth Selection

154.

Forecasting Corporate Distress in the Asian and Pacific Region

SFB 649 Discussion Paper 2011-023
Number of pages: 40 Posted: 09 Jan 2017
Russ Moro, Wolfgang K. Härdle, Saeideh Aliakbari and Linda Hoffman
Brunel University London, Blockchain Research Center, Brunel University London and Humboldt University of Berlin
Downloads 28 (636,172)
Citation 1

Abstract:

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Credit risk, Bankruptcy, Asian companies, SVM

155.

A Mortality Model for Multi-Populations: A Semi-Parametric Approach

SFB 649 Discussion Paper 2016-023, Economic Risk, Berlin
Number of pages: 31 Posted: 27 Jun 2016
Lei Fang, Wolfgang K. Härdle and Juhyun Park
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Lancaster University
Downloads 28 (636,172)
Citation 1

Abstract:

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Nonparametric smoothing; Parametric modeling; Common trend; Mortality; Lee-Carter method; Multi-populations

156.

K-expectiles clustering

Number of pages: 25 Posted: 09 Mar 2021
Bingling Wang, Yingxing Li and Wolfgang K. Härdle
IRTG 1792, Xiamen University and Blockchain Research Center
Downloads 27 (642,832)
Citation 1

Abstract:

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clustering, expectiles, asymmetric quadratic loss, image segmentation

157.

Cooling Measures and Housing Wealth: Evidence from Singapore

Number of pages: 44 Posted: 14 Oct 2019 Last Revised: 26 Aug 2021
Wolfgang K. Härdle, Rainer Schulz and Taojun Xie
Blockchain Research Center, affiliation not provided to SSRN and National University of Singapore (NUS) - Asia Competitiveness Institute
Downloads 27 (642,832)
Citation 8

Abstract:

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house price distribution, stochastic dominance tests

158.

Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data with Application to Risk Patterns

SFB 649 Discussion Paper 2011-085
Number of pages: 39 Posted: 07 Jan 2017
Alena Mysickova, Song Song, Piotr Majer, Peter Mohr, Hauke Heekeren and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Free University of Berlin (FUB), Free University of Berlin (FUB) and Blockchain Research Center
Downloads 27 (642,832)
Citation 2

Abstract:

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risk, risk attitude, fMRI, decision making, medial orbifrontal cortex, semiparametric model, factor structure, SVM

159.

An Application of Principal Component Analysis on Multivariate Time-Stationary Spatio-Temporal Data

SFB 649 Discussion Paper 2014-016
Number of pages: 24 Posted: 05 Jan 2017
Stephan Stahlschmidt, Wolfgang K. Härdle and Helmut Thome
Humboldt University of Berlin, Blockchain Research Center and Martin Luther Universitat Halle Wittenberg
Downloads 27 (642,832)

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PCA, spatio-temporal analysis, dimension reduction, factor extraction, economic deprivation, urbanism

160.

Uniform Confidence Bands for Generalized Random Forests

Number of pages: 35 Posted: 20 Apr 2022 Last Revised: 19 May 2022
Kainat Khowaja, Chen Huang and Wolfgang K. Härdle
International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, Aarhus University - Department of Economics and Business Economics and Blockchain Research Center
Downloads 26 (649,801)

Abstract:

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Non-parametric estimates, generalized random forests, uniform confidence bands, multiplier bootstrap

161.

Forecasting in Blockchain-based Local Energy Markets

IRTG 1792 Discussion Paper 2019-014
Number of pages: 24 Posted: 31 Aug 2020
Michael Kostmann and Wolfgang K. Härdle
Humboldt University of Berlin and Blockchain Research Center
Downloads 26 (649,801)

Abstract:

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Block-chain, Local Energy Market, Smart Contract, Machine Learning, Household, Energy Prediction, Prediction Errors, Market Mechanism

162.

Calibration Design of Implied Volatility Surfaces

SFB 649 Discussion Paper 2006-002
Number of pages: 12 Posted: 09 Jan 2017
Kai Detlefsen and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center
Downloads 26 (649,801)
Citation 1

Abstract:

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calibration, data design, implied volatility surface, Heston model, cliquet option

163.

CDO Pricing with Copulae

SFB 649 Discussion Paper 2009-013
Number of pages: 12 Posted: 09 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Humboldt University of Berlin - School of Business and Economics
Downloads 26 (649,801)

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CDO, CDS, multifactor models, multivariate distributions, Copulae, correlation smile

164.

Copula Dynamics in CDOs

SFB 649 Discussion Paper 2012-032
Number of pages: 25 Posted: 07 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ludger Overbeck
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Giessen
Downloads 26 (649,801)

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CDO, multivariate distributions, copula, implied correlations, Value-at- Risk

165.

Independent Component Analysis Via Copula Techniques

SFB 649 Discussion Paper 2008-004
Number of pages: 24 Posted: 09 Jan 2017
Ray-Bing Chen, MH Guo, Wolfgang K. Härdle and Shih-Feng Huan
National Cheng Kung University, National Sun Yat-sen University, Blockchain Research Center and National Sun Yat-sen University
Downloads 25 (656,651)

Abstract:

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Blind source separation, Canonical maximum likelihood method, Givens rotation matrix, Signal/noise ratio, Simulated annealing algorithm

166.

Forecasting the Term Structure of Variance Swaps

SFB 649 Discussion Paper 2006-052
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle and Kai Detlefsen
Blockchain Research Center and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 25 (656,651)

Abstract:

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Term structure, Variance swap curve, Heston model, Nelson-Siegel curve, Semiparametric factor model

167.

Analysis of Deviance in Generalized Partial Linear Models

SFB 649 Discussion Paper 2013-028
Number of pages: 25 Posted: 05 Jan 2017
Wolfgang K. Härdle and Li-Shan Huang
Blockchain Research Center and National Tsing Hua University
Downloads 25 (656,651)
Citation 1

Abstract:

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ANOVA decomposition, Integrated likelihood, Link function, Local polynomial AMS 2000 subject classifications: Primary 62G08; secondary 62J12

168.

The Bayesian Additive Classification Tree Applied to Credit Risk Modelling

SFB 649 Discussion Paper 2008-003
Number of pages: 24 Posted: 09 Jan 2017
Junni L. Zhang and Wolfgang K. Härdle
Peking University and Blockchain Research Center
Downloads 24 (663,904)
Citation 1

Abstract:

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Classification and Regression Tree, Financial Ratio, Misclassification Rate, Accuracy Ratio

169.

Using Wiki to Build an E-Learning System in Statistics in Arabic Language

SFB 649 Discussion Paper 2007-031
Number of pages: 20 Posted: 09 Jan 2017
Taleb Ahmad, Wolfgang K. Härdle and Sigbert Klinke
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 24 (663,904)
Citation 2

Abstract:

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E-Learning, MM*Stat, Wiki, ArabTeX, Statistical Software

170.

DSFM Fitting of Implied Volatility Surfaces

SFB 649 Discussion Paper 2005-022
Number of pages: 9 Posted: 09 Jan 2017
Szymon Borak, Matthias R. Fengler and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of St. Gallen - School of Economics and Political Science and Blockchain Research Center
Downloads 24 (663,904)
Citation 1

Abstract:

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171.

Factorisable Sparse Tail Event Curves with Expectiles

SFB 649 Discussion Paper 2016-018, Economic Risk, Berlin
Number of pages: 6 Posted: 27 Jun 2016
Wolfgang K. Härdle, Chen Huang and Shih-Kang Chao
Blockchain Research Center, Aarhus University - Department of Economics and Business Economics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 24 (663,904)

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multivariate functional data, high-dimensional M-estimators, nuclear norm regularizer, factor analysis, expectile regression, fMRI, risk perception

172.

Factorisable Multitask Quantile Regression

Number of pages: 65 Posted: 09 Oct 2020
Shih-Kang Chao, Wolfgang K. Härdle and Ming Yuan
University of Missouri - Columbia, Blockchain Research Center and Columbia University
Downloads 23 (671,234)

Abstract:

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factor model, quantile regression, non-asymptotic analysis, multivariate regression, nuclear norm regularization

173.

Portfolio Value at Risk Based on Independent Components Analysis

SFB 649 Discussion Paper 2005-060
Number of pages: 25 Posted: 09 Jan 2017
Ying Chen, Wolfgang K. Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 23 (671,234)
Citation 3

Abstract:

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independent component analysis, Value-at-Risk

174.

CDO and HAC

SFB 649 Discussion Paper 2009-038
Number of pages: 40 Posted: 09 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Humboldt University of Berlin - School of Business and Economics
Downloads 23 (671,234)

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CDO, CDS, multivariate distributions, Copulae, correlation smile, loss given default

175.

State Price Densities Implied from Weather Derivatives

SFB 649 Discussion Paper 2013-026
Number of pages: 35 Posted: 06 May 2016
Wolfgang K. Härdle, Brenda López Cabrera and Huei-Wen Teng
Blockchain Research Center, Humboldt University of Berlin and National Central University at Taiwan
Downloads 23 (671,234)
Citation 1

Abstract:

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Weather derivatives, temperature derivatives, HDD, CDD, SPD, mixture

176.

The Common and Specific Components of Inflation Expectation Across European Countries

Number of pages: 33 Posted: 29 Sep 2020
Shi Chen, Wolfgang K. Härdle, Weining Wang and Weining Wang
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 22 (678,784)

Abstract:

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inflation expectation, joint yield-curve modeling, factor model, common trend, spatial-temporal copula

177.

Uniform Confidence Bands for Pricing Kernels

SFB 649 Discussion Paper 2010-003
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang K. Härdle, Yarema Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, University of Augsburg and University of Yorkaffiliation not provided to SSRN
Downloads 22 (678,784)
Citation 4

Abstract:

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Empirical Pricing Kernel, Confidence band, Bootstrap, Kernel Smoothing, Non-parametric

178.

High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model

SFB 649 Discussion Paper 2010-039
Number of pages: 34 Posted: 09 Jan 2017
Song Song, Wolfgang K. Härdle and Ya'acov Ritov
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Hebrew University of Jerusalem
Downloads 21 (686,307)

Abstract:

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Semiparametric model, Factor model, Group Lasso, Seasonality, Spectral Analysis, Periodic, Asymptotic inference, Weather, fMRI, Implied Volatility Surface

179.

Bayesian Networks and Sex-Related Homicides

SFB 649 Discussion Paper 2011-045
Number of pages: 24 Posted: 09 Jan 2017
Stephan Stahlschmidt, Helmut Tausendteufel and Wolfgang K. Härdle
Humboldt University of Berlin, Berlin School of Economics and Law and Blockchain Research Center
Downloads 21 (686,307)
Citation 1

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Bayesian Networks, structure learning, offender profiling

180.

A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics

SFB 649 Discussion Paper 2009-019
Number of pages: 23 Posted: 09 Jan 2017
Ji Cao, Wolfgang K. Härdle and Julius Mungo
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 20 (693,851)

Abstract:

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implied volatility surface, dynamic semiparametric factor model, VAR, cointegration

181.

Time Varying Hierarchical Archimedean Copulae

SFB 649 Discussion Paper 2010-018
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin and Yarema Okhrin
Blockchain Research Center, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 20 (693,851)
Citation 12

Abstract:

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copula, multivariate distribution, Archimedean copula, adaptive estimation

182.

Adaptive Interest Rate Modelling

SFB 649 Discussion Paper 2010-029
Number of pages: 30 Posted: 09 Jan 2017
Mengmeng Guo and Wolfgang K. Härdle
Humboldt University of Berlin and Blockchain Research Center
Downloads 20 (693,851)

Abstract:

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CIR model, Interest rate, Local parametric approach, Time homogeneous interval, Adaptive statistical techniques

183.

Tie the Straps: Uniform Bootstrap Confidence Bands for Bounded Influence Curve Estimators

SFB 649 Discussion Paper 2013-047
Number of pages: 33 Posted: 05 Jan 2017
Wolfgang K. Härdle, Ya'acov Ritov, Weining Wang and Weining Wang
Blockchain Research Center, Hebrew University of Jerusalem and University of Yorkaffiliation not provided to SSRN
Downloads 20 (693,851)

Abstract:

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Nonparametric Regression, Bootstrap, Quantile Regression, Confidence Bands, Additive Model, Robust Statistics

184.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang K. Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 20 (693,851)

Abstract:

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

185.

LCARE - Localizing Conditional Autoregressive Expectiles

SFB 649 Discussion Paper 2015-052
Number of pages: 36 Posted: 11 Dec 2017
Xiu Xu, Andrija Mihoci and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Brandenburg University of Technology (BTU) and Blockchain Research Center
Downloads 19 (701,607)
Citation 1

Abstract:

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Expectiles, Tail Risk, Local Parametric Approach, Risk Management

186.

Localized Realized Volatility Modelling

SFB 649 Discussion Paper 2009-003
Number of pages: 36 Posted: 09 Jan 2017
Ying Chen, Wolfgang K. Härdle and Uta Pigorsch
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Mannheim
Downloads 19 (701,607)
Citation 6

Abstract:

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Localized Autoregressive Modeling, Realized Volatility, Adaptive Procedure

187.

Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics

SFB 649 Discussion Paper 2012-048
Number of pages: 33 Posted: 07 Jan 2017
Wolfgang K. Härdle and Piotr Majer
Blockchain Research Center and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 19 (701,607)
Citation 7

Abstract:

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yield curve, term structure of interests rates, semiparametric model, factor structure, prediction

188.

Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function

Number of pages: 44 Posted: 05 Sep 2020
Kun Ho Kim, Shih-Kang Chao and Wolfgang K. Härdle
affiliation not provided to SSRN, University of Missouri - Columbia and Blockchain Research Center
Downloads 18 (709,531)
Citation 1

Abstract:

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Simultaneous inference, Multivariate function, Simultaneous confidence region, Berkson error, Regression calibration

189.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 18 (709,531)

Abstract:

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

190.

ICARE - Localizing Conditional Autoregressive Expectiles

SFB 649 Discussion Paper 2015-052
Number of pages: 36 Posted: 05 Jan 2017
Xiu Xu, Andrija Mihoci and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics and Blockchain Research Center
Downloads 18 (709,531)

Abstract:

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expectiles, tail risk, local parametric approach, risk management

191.

Academic Ranking Scales in Economics: Prediction and Imputation

SFB 649 Discussion Paper 2016-020, Economic Risk, Berlin
Number of pages: 40 Posted: 27 Jun 2016
Alona Zharova, Andrija Mihoci and Wolfgang K. Härdle
Humboldt University of Berlin, Brandenburg University of Technology (BTU) and Blockchain Research Center
Downloads 18 (709,531)

Abstract:

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scientometrics, ranking, quantile regression, Handelsblatt, RePEc, Google Scholar

192.

Time Series Modelling with Semiparametric Factor Dynamics

SFB 649 Discussion Paper 2007-023
Number of pages: 41 Posted: 09 Jan 2017
Szymon Borak, Wolfgang K. Härdle, Enno Mamme and Byeong U. Park
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center, University of Mannheim and Seoul National University
Downloads 16 (725,712)
Citation 14

Abstract:

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Semiparametric Models, Factor Models, Implied Volatility Surface, Vector Autoregressive Process, Asymptotic Inference

193.

Statistical Inference for Generalized Additive Partially Linear Model

Journal of Multivariate Analysis, Volume 162, November 2017, Pages 1-15
Number of pages: 47 Posted: 17 Nov 2020
Rong Liu, Wolfgang K. Härdle and Guoiy Zhang
University of Toledo, Blockchain Research Center and affiliation not provided to SSRN
Downloads 15 (734,158)

Abstract:

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B-Spline, Empirical Likelihood, Kernel Estimator, Link Function, Mixing

194.

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

IRTG 1792 Discussion Paper 2019-003
Number of pages: 27 Posted: 31 Aug 2020
Niels Wesselhöfft and Wolfgang K. Härdle
Humboldt Universität zu Berlin | IRTG 1792 and Blockchain Research Center
Downloads 15 (734,158)

Abstract:

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High-Frequency, Multi-Fractal, Stable Distribution, Re-Scaling, Risk Management, Value at Risk, Quantile Distribution

195.

Long Memory Persistence in the Factor of Implied Volatility Dynamics

SFB 649 Discussion Paper 2007-027
Number of pages: 34 Posted: 09 Jan 2017
Wolfgang K. Härdle and Julius Mungo
Blockchain Research Center and Humboldt University of Berlin
Downloads 15 (734,158)
Citation 1

Abstract:

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Implied Volatility, Dynamic Semiparametric Factor Modeling, Long Memory, Fractional Integrated Volatility Models

196.

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

SFB 649 Discussion Paper 2007-022
Number of pages: 29 Posted: 09 Jan 2017
Wen-Jen Tsay and Wolfgang K. Härdle
Academia Sinica - Institute of Economics and Blockchain Research Center
Downloads 15 (734,158)
Citation 1

Abstract:

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Markov chain, ARFIMA process, Viterbi algorithm, Long memory

197.

Time Dependent Relative Risk Aversion

Number of pages: 39 Posted: 09 Jan 2017
Enzo Giacomini, Michael Handel and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nagler & Company and Blockchain Research Center
Downloads 15 (734,158)
Citation 1

Abstract:

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risk aversion, pricing kernels, time dependent preferences

198.

Oracally Efficient Two-Step Estimation of Generalized Additive Model

SFB 649 Discussion Paper 2011-016
Number of pages: 44 Posted: 09 Jan 2017
Rong Liu, Lijian Yang and Wolfgang K. Härdle
University of Toledo, Soochow University and Blockchain Research Center
Downloads 15 (734,158)
Citation 3

Abstract:

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Bandwidths, B spline, knots, link function, mixing, Nadaraya-Watson estimator

199.

Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models

SFB 649 Discussion Paper 2014-008
Number of pages: 31 Posted: 05 Jan 2017
Shuzhuan Zheng, Rong Liu, Lijian Yang and Wolfgang K. Härdle
Soochow University, University of Toledo, Soochow University and Blockchain Research Center
Downloads 15 (734,158)
Citation 1

Abstract:

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BIC, Confidence corridor, Extreme value, Generalized additive model, Spline-backfitted kernel

200.

The Integration of Credit Default Swap Markets in the Pre and Post-Subprime Crisis in Common Stochastic Trends

SFB 649 Discussion Paper 2014-038
Number of pages: 30 Posted: 05 Jan 2017
Cathy Chen, Wolfgang K. Härdle and Pham Thu Hien
Humboldt University of Berlin, Blockchain Research Center and Humboldt University of Berlin
Downloads 15 (734,158)
Citation 2

Abstract:

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Credit default swaps, cointegration, common stochastic trend, correlated default

201.

Robust Econometrics

SFB 649 Discussion Paper 2006-050
Number of pages: 33 Posted: 09 Jan 2017
Pavel Cizek and Wolfgang K. Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center
Downloads 14 (742,879)

Abstract:

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202.

Change Point and Trend Analyses of Annual Expectile Curves of Tropical Storms

Number of pages: 31 Posted: 03 Jul 2015
Petra Burdejova, Wolfgang K. Härdle, Piotr Kokoszka and Q. Xiong
Humboldt University of Berlin - School of Business and Economics, Blockchain Research Center, Utah State University - Department of Mathematics & Statistics and Humboldt University of Berlin
Downloads 14 (742,879)
Citation 2

Abstract:

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change point, trend test, tropical storms, expectiles, functional data analysis

203.

A Note on the Impact of News on US Household Inflation Expectations

Macroeconomic Dynamics, Volume 24, Issue 4 June 2020, pp. 995-1015
Number of pages: 32 Posted: 16 Nov 2020
Ben Zhe Wang, Jeffrey Sheen, Stefan Trück, Shih-Kang Chao and Wolfgang K. Härdle
Macquarie University, Macquarie Business School, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, University of Missouri - Columbia and Blockchain Research Center
Downloads 13 (751,832)

Abstract:

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inflation expectations, news impact, monetary policy signalling, unconventional monetary policy

204.

Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk

IRTG 1792 Discussion Paper 2020-001
Number of pages: 23 Posted: 25 Aug 2020
Shiyi Chen, Wolfgang K. Härdle and Li Wang
Fudan University - School of Economics, Blockchain Research Center and East China Normal University (ECNU)
Downloads 13 (751,832)
Citation 2

Abstract:

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Nonparametric Methods, Commercial Banks, Shadow Bank, Financial Risk

205.

Kernel Estimation: the Equivalent Spline Smoothing Method

Number of pages: 28 Posted: 25 Aug 2020
Wolfgang K. Härdle and Michael Nussbaum
Blockchain Research Center and affiliation not provided to SSRN
Downloads 13 (751,832)

Abstract:

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Kernel Estimator, Spline Smoothing, Filtering Coefficients, Differential Operator, Green’s Function Approximation, Asymptotic Mini Max Spline

206.

How Computational Statistics Became the Backbone of Modern Data Science

Handbook of Computational Statistics: Concepts and Methods, published in 2004, SFB 649 Discussion Paper 2011-020
Number of pages: 16 Posted: 10 Jan 2017
James E. Gentle, Wolfgang K. Härdle and Yuichi Mori
George Mason University, Blockchain Research Center and Okayama University of Sciences
Downloads 13 (751,832)

Abstract:

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Discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH

207.

Statistics E-Learning Platforms Evaluation: Case Study

SFB 649 Discussion Paper 2008-058
Number of pages: 26 Posted: 09 Jan 2017
Taleb Ahmad and Wolfgang K. Härdle
Humboldt University of Berlin and Blockchain Research Center
Downloads 12 (760,874)

Abstract:

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E-learning, Evaluation, Statistical software

208.

A Confidence Corridor for Expectile Functions

SFB 649 Discussion Paper 2011-004
Number of pages: 31 Posted: 09 Jan 2017
Esra Duran, Mengmeng Guo and Wolfgang K. Härdle
Gazi University, Humboldt University of Berlin and Blockchain Research Center
Downloads 12 (760,874)
Citation 1

Abstract:

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Expectile Regression, Consistency Rate, Simultaneous confidence corridor, Asymmetric least squares, Kernel Smoothing

209.

Difference Based Ridge and Liu Type Estimators in Semiparametric Regression Models

SFB 649 Discussion Paper 2011-014
Number of pages: 25 Posted: 09 Jan 2017
Esra Duran, Wolfgang K. Härdle and Maria Osipenko
Gazi University, Blockchain Research Center and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 12 (760,874)

Abstract:

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Difference based estimator, Differencing estimator, Differencing matrix, Liu estimator, Liu type estimator, Multicollinearity, Ridge regression estimator, Semiparametric model

210.

Variable Selection in Cox Regression Models with Varying Coefficients

SFB 649 Discussion Paper 2012-061
Number of pages: 46 Posted: 07 Jan 2017
Toshio Honda and Wolfgang K. Härdle
Hitotsubashi University - Graduate School of Economics and Blockchain Research Center
Downloads 12 (760,874)
Citation 1

Abstract:

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Cox regression model, high-dimensional data, sparsity, oracle estimator, B-splines, group SCAD, adaptive group Lasso, L2 convergence rate

211.

Towards the Interpretation of Time-Varying Regularization Parameters in Streaming Penalized Regression Models

IRTG 1792 Discussion Paper 2018-059
Number of pages: 27 Posted: 31 Aug 2020
Lenka Zbonakova, Ricardo Monti and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), affiliation not provided to SSRN and Blockchain Research Center
Downloads 11 (769,916)

Abstract:

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Causal Inference, Machine Learning, Simulation Study, Sample-Splitting Double Machine Learning, Sorted Group ATE (GATES), Causal Tree

212.

Testing Monotonicity of Pricing Kernels

SFB 649 Discussion Paper 2008-001
Number of pages: 28 Posted: 09 Jan 2017
Yuri Golubev, Wolfgang K. Härdle and Roman Vladimirovich Timofeev
CMI Université de Provence, Blockchain Research Center and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 11 (769,916)
Citation 6

Abstract:

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Risk Aversion, Pricing kernel

213.

QuantNet – a Database-Driven Online Repository of Scientific Information

Number of pages: 26 Posted: 09 Jan 2017
Anton Andriyashin and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics and Blockchain Research Center
Downloads 11 (769,916)

Abstract:

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QuantNet, database-driven, online, repository, XML, XSLT, PHP, mySQL, Atox

214.

Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

SFB 649 Discussion Paper 2008-038
Number of pages: 19 Posted: 09 Jan 2017
Enzo Giacomini, Wolfgang K. Härdle and Volker Kratschmer
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Berlin University of Technology
Downloads 11 (769,916)
Citation 1

Abstract:

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dynamic factor models, dimension reduction, risk neutral density

215.

On the Appropriateness of Inappropriate VAR Models

SFB 649 Discussion Paper 2006-003
Number of pages: 26 Posted: 09 Jan 2017
Wolfgang K. Härdle, Zdeněk Hlávka and Gerhard Stahl
Blockchain Research Center, Charles University in Prague and European Union - Committee of the Regions
Downloads 11 (769,916)

Abstract:

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Value-at-Risk, market index model, principal components, random effects model, probability forecast

216.

Graphical Data Representation in Bankruptcy Analysis

SFB 649 Discussion Paper 2006-015
Number of pages: 24 Posted: 09 Jan 2017
Wolfgang K. Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 11 (769,916)

Abstract:

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company rating, default probability, support vector machines, colour coding

217.

Common Functional Principal Components

Number of pages: 35 Posted: 08 Jan 2017
Wolfgang K. Härdle and Alois Kneip
Blockchain Research Center and University of Bonn
Downloads 11 (769,916)

Abstract:

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218.

Increasing Weather Risk: Fact or Fiction?

Number of pages: 17 Posted: 08 Jan 2017
Weining Wang, Weining Wang, Ihtiyor Bobojonov, Wolfgang K. Härdle and Martin Odening
University of Yorkaffiliation not provided to SSRN, Humboldt University of Berlin - Department of Agricultural Economics and Social Sciences, Blockchain Research Center and Humboldt University of Berlin
Downloads 11 (769,916)

Abstract:

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weather extremes, agricultural risk, change point test, quantile regressions

219.

Computational Statistics (Journal)

SFB 649 Discussion paper 2012-004
Number of pages: 12 Posted: 07 Jan 2017
Wolfgang K. Härdle, Yuichi Mori and Jurgen Symanzik
Blockchain Research Center, Okayama University of Sciences and Utah State University - Department of Mathematics and Statistics
Downloads 11 (769,916)

Abstract:

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international journal, history of the journal, specialties of the journal, online communications

220.

GHICA - Risk Analysis with GH Distributions and Independent Components

SFB 649 Discussion Paper 2006-078
Number of pages: 32 Posted: 09 Jan 2017
Ying Chen, Wolfgang K. Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 10 (779,180)
Citation 8

Abstract:

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Multivariate Risk Management, Independent Component Analysis, Generalized Hyperbolic Distribution, Local Exponential Estimation, Value at Risk, Expected Shortfall.

221.

An Extended Single Index Model with Missing Response at Random

SFB 649 Discussion Paper 2014-003
Number of pages: 32 Posted: 05 Jan 2017
Qihua Wang, Tao Zhang and Wolfgang K. Härdle
AMSS, China Agricultural University and Blockchain Research Center
Downloads 10 (779,180)

Abstract:

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Missing data, Estimating equations, Single-index models, Asymptotic normality

222.

Quantifizierbarkeit Von Risiken Auf Finanzmärkten (Quantification of Risks in Financial Markets)

SFB 649 Discussion Paper 2009-045
Number of pages: 20 Posted: 22 Dec 2017
Wolfgang K. Härdle
Blockchain Research Center
Downloads 9 (788,514)

Abstract:

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pricing kernels, risk aversion, risk neutral density

223.

A Microeconomic Explanation of the EPK Paradox

SFB 649 Discussion Paper 2009-010
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang K. Härdle, Volker Kratschmer and Rouslan Moro
Blockchain Research Center, Berlin University of Technology and German Institute for Economic Research (DIW Berlin)
Downloads 9 (788,514)
Citation 1

Abstract:

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pricing kernel, representative agent, empirical pricing kernel, EPK paradox, state dependent utilities, switching points

224.

VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings

SFB 649 Discussion Paper 2006-011
Number of pages: 29 Posted: 09 Jan 2017
Ralf Brüggemann, Wolfgang K. Härdle, Julius Mungo and Carsten Trenkler
University of Konstanz - Department of Economics, Blockchain Research Center, Humboldt University of Berlin and University of Mannheim
Downloads 9 (788,514)
Citation 1

Abstract:

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Implied volatility surface, dynamic semiparametric factor model, unit root tests, vector autoregression, impulse responses

225.

E-Learning Statistics - A Selective Review

SFB 649 Discussion Paper 2006-024
Number of pages: 15 Posted: 09 Jan 2017
Wolfgang K. Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 9 (788,514)

Abstract:

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e-learning, electronic books, hypertext courseware, statistical software

226.

A Confidence Corridor for Sparse Longitudinal Data Curves

SFB 649 Discussion Paper 2011-002
Number of pages: 32 Posted: 09 Jan 2017
Shuzhuan Zheng, Lijian Yang and Wolfgang K. Härdle
Michigan State University, Michigan State University and Blockchain Research Center
Downloads 9 (788,514)
Citation 1

Abstract:

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longitudinal data, confidence band, Karhunen-Loève L² representation, local linear estimator, extreme value, double sum, strong approximation

227.

A Data-Driven P-Spline Smoother and the P-Spline-Garch Models

Number of pages: 33 Posted: 27 Aug 2021
Wolfgang K. Härdle and Yuanhua Feng
Blockchain Research Center and University of Paderborn
Downloads 8 (798,216)

Abstract:

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P-spline smoother, smoothing parameter selection, P-Spline-GARCH, strong mixing, value at risk, expected shortfall

228.

Nonparametric Productivity Analysis

SFB 649 Discussion Paper 2005-013
Number of pages: 18 Posted: 09 Jan 2017
Wolfgang K. Härdle and Seok-Oh Jeong
Blockchain Research Center and Catholic University of Louvain
Downloads 8 (798,216)
Citation 2

Abstract:

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229.

Modeling Asset Prices

SFB 649 Discussion Paper 2010-031
Number of pages: 29 Posted: 09 Jan 2017
James E. Gentle and Wolfgang K. Härdle
George Mason University and Blockchain Research Center
Downloads 8 (798,216)

Abstract:

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discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH

230.

Mean Volatility Regressions

SFB 649 Discussion Paper 2011-003
Number of pages: 21 Posted: 09 Jan 2017
Lin Lu, Li Feng, Lixing Zhu and Wolfgang K. Härdle
Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Texas State University, Hong Kong Baptist University (HKBU) - Department of Mathematics and Blockchain Research Center
Downloads 8 (798,216)

Abstract:

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Non-random systems, Random systems, Semiparametric regression, Variance built-in Mean

231.

Dynamic Activity Analysis Model Based Win-Win Development Forecasting Under the Environmental Regulation in China

SFB 649 Discussion Paper 2012-002
Number of pages: 23 Posted: 07 Jan 2017
Shiyi Chen and Wolfgang K. Härdle
Fudan University and Blockchain Research Center
Downloads 8 (798,216)
Citation 6

Abstract:

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Dynamic Activity Analysis Model, Energy-Saving and Emission-Abating, Environmental Regulation, Win-Win Development

232.

Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study

SFB 649 Discussion Paper 2014-021
Number of pages: 27 Posted: 05 Jan 2017
Xianhua Dai, Wolfgang K. Härdle and Keming Yu
Wuhan University of Technology, Blockchain Research Center and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 8 (798,216)

Abstract:

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British Cohort Study data, Bayesian inference, Quantile regression, Asymmetric Laplace error distribution, Markov chain Monte Carlo, Variable selection

233.

VAR Modeling for Dynamic Loadings Driving Volatility Strings

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 361-381, 2008
Number of pages: 29 Posted: 17 Jun 2008 Last Revised: 06 Jun 2016
Ralf Brüggemann, Wolfgang K. Härdle, Julius Mungo and Carsten Trenkler
University of Konstanz - Department of Economics, Blockchain Research Center, Humboldt University of Berlin and University of Mannheim
Downloads 8 (798,216)
Citation 1

Abstract:

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C14, C32, implied volatility surface, dynamic semiparametric factor model, vector autoregression, impulse responses

234.

How to Measure the Performance of a Collaborative Research Center

Scientometrics 2018, Volume 117, pages 1023 to 1040
Number of pages: 20 Posted: 16 Nov 2020
Alona Zharova, Janine Tellinger-Rice and Wolfgang K. Härdle
Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center
Downloads 7 (807,996)

Abstract:

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Research Performance, Fixed Effect Panel Data Model, Network, Collaborative Research Center

235.

Using R, LaTeX and Wiki for an Arabic E-Learning Platform

SFB 649 Discussion Paper 2008-030
Number of pages: 21 Posted: 09 Jan 2017
Taleb Ahmad, Wolfgang K. Härdle, Sigbert Klinke and Shafeeqah Al Ahwadi
Humboldt University of Berlin, Blockchain Research Center, Humboldt University of Berlin and Kuwait University
Downloads 7 (807,996)

Abstract:

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E-learning, MM*Stat, Wiki, ArabTeX, Statistical software

236.

Inhomogeneous Dependency Modelling with Time Varying Copulae

SFB 649 Discussion Paper 2006-075
Number of pages: 51 Posted: 09 Jan 2017
Enzo Giacomini, Wolfgang K. Härdle, V. Spokoiny and Ekaterina Ignatieva
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 7 (807,996)
Citation 4

Abstract:

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Value-at-Risk, time varying copula, adaptive estimation, nonparametric estimation.

237.

Color Harmonization in Car Manufacturing Process

SFB 649 Discussion Paper 2006-071
Number of pages: 20 Posted: 09 Jan 2017
Anton Andriyashin, Michal Benko, Wolfgang K. Härdle, Roman Vladimirovich Timofeev and Uwe Ziegenhagen
Humboldt University of Berlin - Center for Applied Statistics and Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics, Blockchain Research Center, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 7 (807,996)

Abstract:

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238.

On the Utility of E-Learning in Statistics

SFB 649 Discussion Paper 2007-050
Number of pages: 16 Posted: 09 Jan 2017
Wolfgang K. Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 6 (817,737)

Abstract:

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E-Learning, Statistics, Web-based Learning

239.

Yxilon – a Client/Server Based Statistical Environment

SFB 649 Discussion Paper 2007-036
Number of pages: 9 Posted: 09 Jan 2017
Wolfgang K. Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 6 (817,737)

Abstract:

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E-learning, Statistical Software

240.

The Stochastic Fluctuation of the Quantile Regression Curve

SFB 649 Discussion Paper 2008-027
Number of pages: 26 Posted: 09 Jan 2017
Wolfgang K. Härdle and Song Song
Blockchain Research Center and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 6 (817,737)

Abstract:

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Quantile Regression, Consistency Rate, Confidence Band, Check Function, Kernel Smoothing, Nonparametric Fitting

241.

Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

SFB 649 Discussion Paper 2005-047
Number of pages: 44 Posted: 09 Jan 2017
Lijian Yang, Byeong U. Park, Lan Xue and Wolfgang K. Härdle
Michigan State University, Seoul National University, Oregon State University and Blockchain Research Center
Downloads 6 (817,737)
Citation 2

Abstract:

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Equivalent kernels; German real GNP; Local polynomial; Marginal integration; Rate of convergence

242.

Working with the XQC

SFB 649 Discussion Paper 2005-010
Number of pages: 18 Posted: 09 Jan 2017 Last Revised: 11 Dec 2017
Wolfgang K. Härdle and Heiko Lehmann
Blockchain Research Center and Deutsche Telekom AG - Deutsche Telekom Laboratories
Downloads 5 (827,542)

Abstract:

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243.

De Copulis Non Est Disputandum - Copulae: An Overview

SFB 649 Discussion Paper 2009-031
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang K. Härdle and Ostap Okhrin
Blockchain Research Center and Humboldt University of Berlin - School of Business and Economics
Downloads 5 (827,542)
Citation 1

Abstract:

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copula, multivariate distribution, value-at-risk, multivariate dependence

244.

On the Difficulty to Design Arabic E-Learning System in Statistics

SFB 649 Discussion Paper 2006-062
Number of pages: 12 Posted: 09 Jan 2017
Wolfgang K. Härdle, Taleb Ahmad and Julius Mungo
Blockchain Research Center, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 5 (827,542)
Citation 1

Abstract:

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electronic books, Arabtex, MM*STAT, Statistical software

245.

A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data

SFB 649 Discussion Paper 2014-002
Number of pages: 48 Posted: 05 Jan 2017
Lijie Gu, Li Wang, Wolfgang K. Härdle and Lijian Yang
Soochow University, University of Georgia, Blockchain Research Center and Soochow University
Downloads 5 (827,542)

Abstract:

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B spline, confidence corridor, Karhunen-Loève L^2 representation, knots, functional data, varying coefficient

246.

From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples

SFB 649 Discussion Paper 2007-024
Number of pages: 25 Posted: 09 Jan 2017
Ya'acov Ritov and Wolfgang K. Härdle
Hebrew University of Jerusalem and Blockchain Research Center
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Mixture distribution, Inverse problem, Risk aversion, Exponential mixture, Empirical pricing kernel, DAX, Market utility function.

247.

Integrable E-Lements for Statistics Education

SFB 649 Discussion Paper 2005-058
Number of pages: 15 Posted: 09 Jan 2017
Wolfgang K. Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
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Citation 1

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electronic books, hypertext, e-supported teaching, statistical software

248.

Calibrating CAT Bonds for Mexican Earthquakes

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Citation 10

Calibrating CAT Bonds for Mexican Earthquakes

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 625-650, September 2010
Number of pages: 26 Posted: 04 Aug 2010
Wolfgang K. Härdle and Brenda López Cabrera
Blockchain Research Center and Humboldt University of Berlin
Downloads 3 (884,285)

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Calibrating Cat Bonds for Mexican Earthquakes

Journal of Risk and Insurance, Vol. 77, Issue 3, pp. 625-650, 2010
Number of pages: 26 Posted: 08 Mar 2018
Wolfgang K. Härdle and Brenda López Cabrera
Blockchain Research Center and Humboldt University of Berlin
Downloads 1 (914,453)
Citation 1

Abstract:

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