Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin

Ladislaus von Bortkiewicz Professor

Unter den Linden 6

Berlin, D-10099

Germany

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

Asian Competitiveness Institute

Singapore

  • Blockchain Research Center Humboldt-Universität zu Berlin

  • Charles University

  • National Yang Ming Chiao Tung University

  • Asian Competitiveness Institute

SCHOLARLY PAPERS

263

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

  • Blockchain Research Center Humboldt-Universität zu Berlin

  • Charles University

  • National Yang Ming Chiao Tung University

  • Asian Competitiveness Institute

Scholarly Papers (263)

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1.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 22 Sep 2020
Wolfgang Karl Härdle, Campbell R. Harvey and Raphael C. G. Reule
Blockchain Research Center Humboldt-Universität zu Berlin, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 2,863 (7,338)
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 Karl Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,571 (18,908)
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 Karl Härdle and Hermann Elendner
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, University of Amsterdam - Amsterdam School of Economics (ASE), Blockchain Research Center Humboldt-Universität zu Berlin and Austrian Blockchain Center (ABC Research)
Downloads 1,444 (21,513)
Citation 18

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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 Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE), Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,266 (26,166)
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 Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 818 (48,533)
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 Karl Härdle and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Blockchain Research Center Humboldt-Universität zu Berlin and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 790 (50,866)
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.

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 Karl Härdle
Humboldt University of Berlin, University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 728 (56,739)
Citation 14

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index construction, volatility, crypto-currency, VCRIX

8.

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 Karl 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 Humboldt-Universität zu Berlin
Downloads 683 (61,781)
Citation 9

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

9.

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 Karl Härdle and Yanchu Liu
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 593 (73,916)

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

10.

A First Econometric Analysis of the CRIX Family

Number of pages: 47 Posted: 31 Aug 2016
Shi Chen, Cathy Chen, Wolfgang Karl Härdle, TM Lee and Bobby Ong
Humboldt University of Berlin, Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, CoinGecko and CoinGecko
Downloads 591 (74,231)
Citation 12

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

11.

Network Quantile Autoregression

Downloads 286 (97,517)
Citation 7

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 Karl Härdle
Peking University, University of Yorkaffiliation not provided to SSRN, Peking University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 286 (170,133)
Citation 2

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

12.

Understanding Smart Contracts: Hype or Hope?

Number of pages: 77 Posted: 22 Mar 2021
Elizaveta Zinovyeva, Raphael C. G. Reule and Wolfgang Karl Härdle
Humboldt University of Berlin, International Research Training Group 1792 and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 427 (110,266)

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Cryptocurrency, Smart Contract, Ethereum, CRIX.

13.

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 Karl 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 Humboldt-Universität zu Berlin
Downloads 391 (122,084)
Citation 3

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

14.

Testing Parametric Versus Semiparametric Modelling in Generalized Linear Models

Number of pages: 25 Posted: 14 Jan 1997
Wolfgang Karl Härdle, Marlene Müller and Enno Mammen
Blockchain Research Center Humboldt-Universität zu Berlin, Beuth University of Applied Sciences Berlin and University of Mannheim - Department of Economics
Downloads 379 (126,540)
Citation 2

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15.

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

The Singapore Economic Review, Forthcoming
Number of pages: 25 Posted: 23 Dec 2020 Last Revised: 27 Dec 2022
Rui Ren, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 343 (141,192)
Citation 2

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

16.

A Time-Varying Network for Cryptocurrencies

Journal of Business and Economic Statistics, forthcoming
Number of pages: 47 Posted: 20 Jun 2018 Last Revised: 16 Dec 2022
Li Guo, Wolfgang Karl Härdle and Yubo Tao
Fudan University - School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and University of Macau - Department of Economics
Downloads 316 (154,098)
Citation 1

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

17.

LASSO-Driven Inference in Time and Space

Number of pages: 76 Posted: 15 Jun 2018 Last Revised: 15 May 2020
Victor Chernozhukov, Wolfgang Karl Härdle, Chen Huang, Weining Wang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Aarhus University - Department of Economics and Business Economics and University of Yorkaffiliation not provided to SSRN
Downloads 304 (160,543)
Citation 11

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

18.

A Statistical Classification of Cryptocurrencies

Number of pages: 38 Posted: 30 Mar 2020 Last Revised: 13 Apr 2020
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Karl 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 Humboldt-Universität zu Berlin, University of Cyprus and Tsinghua University - Yau Mathematical Sciences Center
Downloads 289 (169,875)

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Cryptocurrency, Classification, Multivariate Analysis, Factor Models, Synchronicity

19.

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 Karl Härdle
Humboldt University of Berlin, Corvinus University of Budapest, Students, University of Koblenz-Landau - Information Systems and Semantic Web (ISWeb) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 256 (191,410)

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

20.

Stable Distributions

SFB 649 Discussion Paper 2005-008
Number of pages: 28 Posted: 09 Jan 2017
Szymon Borak, Wolfgang Karl Härdle and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 250 (195,972)
Citation 10

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21.

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 Karl Härdle
National University of Singapore (NUS), National University of Singapore (NUS) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 232 (210,707)
Citation 2

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

22.

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 Karl Härdle
University of York, NUS Business School, Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 229 (213,432)
Citation 4

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

23.

Measuring and Modeling Risk Using High-Frequency Data

Number of pages: 23 Posted: 01 Nov 2008
Wolfgang Karl Härdle, Nikolaus Hautsch and Uta Pigorsch
Blockchain Research Center Humboldt-Universität zu Berlin, University of Vienna - Department of Statistics and Operations Research and University of Mannheim
Downloads 225 (217,036)
Citation 2

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Realized Volatility, Realized Betas, Volatility Modeling

24.

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 Karl Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 224 (217,975)
Citation 1

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25.

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 Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 213 (228,538)
Citation 5

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Index construction, CRIX, risk analysis, bitcoin, cryptocurrency

26.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang Karl Härdle, Weining Wang, Weining Wang and Lining Yu
Blockchain Research Center Humboldt-Universität zu Berlin, University of Yorkaffiliation not provided to SSRN and Humboldt University of Berlin
Downloads 201 (240,941)
Citation 21

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

27.

Nonparametric Risk Management with Generalized Hyperbolic Distributions

Number of pages: 33 Posted: 20 Oct 2005
Wolfgang Karl Härdle, Ying Chen and Seok-Oh Jeong
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Catholic University of Louvain
Downloads 200 (242,052)
Citation 6

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adaptive volatility estimation, generalized hyperbolic distribution, value at risk

28.

Financial Analytics of Inverse BTC Options in a Stochastic Volatility World

Number of pages: 2 Posted: 05 Oct 2022 Last Revised: 31 May 2023
Huei-Wen Teng and Wolfgang Karl Härdle
National Yang Ming Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 187 (257,131)

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cryptocurrency, crypto options, stochastic volatility models, correlated jumps, simulation, Delta hedge, CRiX, crypto index.

29.

Recursive Portfolio Selection with Decision Trees

SFB 649 Discussion Paper 2008-009
Number of pages: 27 Posted: 09 Jan 2017
Anton Andriyashin, Wolfgang Karl Härdle and Roman Vladimirovich Timofeev
Humboldt University of Berlin - Center for Applied Statistics and Economics, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 175 (272,567)
Citation 5

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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 Karl Härdle and Elena Silyakova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 175 (272,567)

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

31.

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 Karl Härdle, Stefan Trück and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 167 (283,739)
Citation 33

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

32.

Distillation of News Flow Into Analysis of Stock Reactions

Number of pages: 40 Posted: 14 Jul 2015
Junni L. Zhang, Wolfgang Karl Härdle, Cathy Chen and Elisabeth Bommes
Peking University, Blockchain Research Center Humboldt-Universität zu Berlin, Chung Hua University and Humboldt University of Berlin
Downloads 167 (283,739)
Citation 7

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

33.

Hedging Cryptocurrency Options

Number of pages: 38 Posted: 14 Dec 2021
Jovanka Lili Matic, Natalie Packham and Wolfgang Karl 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 Humboldt-Universität zu Berlin
Downloads 165 (286,635)
Citation 3

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

34.

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 Karl Härdle
Fudan University, Kyungpook National University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 165 (286,635)
Citation 6

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recurrent support vector regression, GARCH model, volatility forecasting

35.

Robustifying Markowitz

Number of pages: 44 Posted: 20 Dec 2021 Last Revised: 11 Nov 2022
Yegor Klochkov, Alla Petukhina, Wolfgang Karl 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 Humboldt-Universität zu Berlin and Department of mathematics ETH, Zürich
Downloads 158 (297,382)

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robust estimator, portfolio allocation, Markowitz, turnover

36.

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 Karl Härdle, Lukas Borke and Thijs Benschop
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 152 (307,051)
Citation 3

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

37.

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 Karl Härdle, Alois Kneip and Heiko Wagner
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, University of Bonn and University of Bonn
Downloads 144 (320,871)
Citation 2

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

38.

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 Karl Härdle
Humboldt University of Berlin, National Chiao-Tung University, Xiamen University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 143 (322,638)
Citation 1

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

39.

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 Karl Härdle and Enno Mammen
University of St. Gallen - School of Economics and Political Science, Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim - Department of Economics
Downloads 134 (339,466)
Citation 16

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40.

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 Karl Härdle, Weining Wang, Weining Wang and Lixing Zhu
Renmin University of China, Blockchain Research Center Humboldt-Universität zu Berlin, University of Yorkaffiliation not provided to SSRN and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 134 (339,466)
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

41.

Stochastic volatility dynamic hedging for Deribit BTC options

Number of pages: 43 Posted: 21 Nov 2022 Last Revised: 02 Mar 2023
Yung-Chi Chang, Huei-Wen Teng and Wolfgang Karl Härdle
National Yang Ming Chiao Tung University, National Yang Ming Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 132 (343,359)

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inverse BTC option, stochastic volatility model, dynamic hedging, Greeks

42.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 131 (345,362)
Citation 2

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

43.

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 Karl Härdle
Humboldt-Universita?t zu Berlin, National Chengchi University (NCCU) - Department of International Business and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 129 (349,353)
Citation 5

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

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 Karl Härdle, Stefan Lessmann and Hsin-Vonn Seow
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, School of Business and Economics, Humboldt-University of Berlin and affiliation not provided to SSRN
Downloads 129 (349,353)

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

45.

Hedging Cryptos with Bitcoin Futures

Number of pages: 34 Posted: 12 Jul 2022
Francis Liu, Natalie Packham, Meng-Jou Lu and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin - IRTG1792, Berlin School of Economics and Law, National Chiao-Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 127 (353,391)

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Cryptocurrencies, risk management, hedging, copulas

46.

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 Karl Härdle
IRTG 1792, Humboldt-Universität 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 Humboldt-Universität zu Berlin
Downloads 124 (359,790)
Citation 2

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Cryptocurrency, price, blockchain mechanism, distributional characteristics, clustering

47.

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 Karl Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 121 (366,264)
Citation 3

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Bankruptcy, Company rating, Default probability, Support vector machines

48.

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 Karl Härdle
Fudan University, Kyungpook National University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 120 (368,555)

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

49.

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 Karl Härdle
Fudan University, Fudan University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 119 (370,866)

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

50.

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 Karl Härdle, Dedy Prastyo and Christian Hafner
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Catholic University of Louvain (UCL) - School of Statistics
Downloads 118 (373,048)
Citation 2

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SVM, Genetic algorithm, global optmimum, default prediction

51.

A Machine Learning Based Regulatory Risk Index for Cryptocurrencies

Number of pages: 40 Posted: 11 Nov 2020 Last Revised: 24 Aug 2021
Xinwen Ni, Wolfgang Karl Härdle and Taojun Xie
School of Business and Economics, Blockchain Research Center Humboldt-Universität zu Berlin and National University of Singapore (NUS) - Asia Competitiveness Institute
Downloads 116 (377,680)
Citation 1

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Cryptocurrency, Regulatory Risk, Index, LDA, News Classification

52.

Stochastic Population Analysis: A Functional Data Approach

Number of pages: 36 Posted: 14 Jul 2015
Lei Fang and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 113 (384,812)
Citation 1

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

53.

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 Karl Härdle and Melanie Schienle
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center Humboldt-Universität zu Berlin and Karlsruhe Institute of Technology (KIT)
Downloads 110 (392,355)

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

54.

代 DAI Digital Art Index: A robust price index for heterogeneous digital assets

Number of pages: 50 Posted: 14 Dec 2022
Min-Bin Lin, Bingling Wang, Fabian Bocart, Christian Hafner and Wolfgang Karl Härdle
IRTG 1792, Humboldt-Universität zu Berlin, Germany, IRTG 1792, Artnet Worldwide Corporation, Catholic University of Louvain (UCL) - School of Statistics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 107 (400,044)

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Non-fungible token, digital art, hedonic regression, index construction, robustness

55.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Shih-Kang Chao, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 106 (402,658)
Citation 2

Abstract:

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

56.

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 Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 105 (405,307)

Abstract:

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

57.

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 Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 104 (408,063)
Citation 11

Abstract:

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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

58.

Q3-D3-LSA

SFB 649 Discussion Paper 2016-049
Number of pages: 48 Posted: 18 Nov 2016
Lukas Borke and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 104 (408,063)
Citation 8

Abstract:

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

59.

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 Karl Härdle and V. Spokoiny
Tilburg University - Department of Econometrics & Operations Research, Blockchain Research Center Humboldt-Universität zu Berlin and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 103 (410,882)
Citation 2

Abstract:

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

60.

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 Karl 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 Humboldt-Universität zu Berlin
Downloads 102 (413,682)

Abstract:

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

61.

FRM Financial Risk Meter for Emerging Markets

Number of pages: 47 Posted: 16 Feb 2021
Souhir Ben Amor, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 101 (416,637)
Citation 2

Abstract:

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

62.

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 Karl Härdle
Kyungpook National University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 101 (416,637)
Citation 9

Abstract:

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Granger Causality, Quantile, Nonparametric Test

63.

Dynamics of State Price Densities

SFB 649 Discussion Paper 2005-021
Number of pages: 39 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Zdeněk Hlávka
Blockchain Research Center Humboldt-Universität zu Berlin and Charles University in Prague
Downloads 99 (422,353)
Citation 4

Abstract:

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64.

A Financial Risk Meter for China

Number of pages: 38 Posted: 18 Nov 2021 Last Revised: 07 May 2023
Ruting Wang, Michael Althof and Wolfgang Karl Härdle
Sun Yat-sen University (SYSU) - Business School, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 98 (425,253)

Abstract:

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

65.

Pricing Green Financial Products

SFB 649 Discussion Paper No. 2017-020
Number of pages: 29 Posted: 25 Aug 2017
Awdesch Melzer, Wolfgang Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 98 (425,253)

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

66.

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 Karl Härdle and Stefan Lessmann
School of Business and Economics, Humboldt-University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 96 (430,919)
Citation 1

Abstract:

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

67.

TERES - Tail Event Risk Expectile Based Shortfall

Number of pages: 30 Posted: 05 Jan 2017 Last Revised: 29 Jul 2020
Philipp Gschöpf, Wolfgang Karl Härdle and Andrija Mihoci
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 96 (430,919)
Citation 2

Abstract:

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

68.

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 Karl Härdle and Yanchu Liu
University of Glasgow, Adam Smith Business School, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 93 (439,747)
Citation 2

Abstract:

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

69.

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 Karl Härdle
Tilburg University - Department of Econometrics & Operations Research, University of Angers - Research Group in Quantitative Saving (GREQAM) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 93 (439,747)
Citation 2

Abstract:

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nonparametric regression, L-estimation, smoothed cumulative distribution function

70.

Pricing Kernel Modeling

Number of pages: 21 Posted: 14 Jul 2015
Denis Belomestny, Shujie Ma and Wolfgang Karl Härdle
Weierstras Institute for Applied Analysis and Stochastics (WIAS), University of California, Riverside (UCR) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 91 (445,887)

Abstract:

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

71.

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 Karl Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 89 (452,063)

Abstract:

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

72.

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 Karl Härdle and Dedy Prastyo
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 88 (455,273)
Citation 1

Abstract:

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

73.

Tail Event Driven Networks of SIFIs

SFB 649 Discussion Paper 2017-004
Number of pages: 35 Posted: 11 Dec 2017
Cathy Chen, Wolfgang Karl Härdle and Yarema Okhrin
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and University of Augsburg
Downloads 87 (458,521)
Citation 12

Abstract:

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Systemic Risk, Network Analysis, Network Autoregression, Tail Event

74.

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 Karl Härdle and Stefan Lessmann
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 85 (465,019)
Citation 4

Abstract:

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

75.

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 Karl Härdle and Stefan Lessmann
University of Warwick, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 85 (465,019)

Abstract:

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Predictive Policing, Crime Forecasting, Social Media Data, Spatial

76.

Implied Basket Correlation Dynamics

Statistics & Risk Modelling, 2014, SFB 649 Discussion Paper 2012-066
Number of pages: 35 Posted: 06 May 2016
Wolfgang Karl Härdle and Elena Silyakova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 85 (465,019)

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correlation risk, dimension reduction, dispersion strategy, dynamic factor

77.

Calibration Risk for Exotic Options

SFB 649 Discussion Paper 2006-001
Number of pages: 30 Posted: 09 Jan 2017
Kai Detlefsen and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 84 (468,442)
Citation 1

Abstract:

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

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 Karl Härdle
National Cheng Kung University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 83 (471,795)
Citation 2

Abstract:

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

79.

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 Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 83 (471,795)
Citation 3

Abstract:

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

80.

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 Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 82 (475,249)

Abstract:

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

81.

Textual Sentiment and Sector Specific Reaction

Number of pages: 37 Posted: 31 Aug 2020
Elisabeth Bommes, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 82 (475,249)
Citation 1

Abstract:

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

82.

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 Karl Härdle and Alena Mysickova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 82 (475,249)
Citation 4

Abstract:

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Demographic Forecasting, Population Projection, Stochastic Demography

83.

The Dynamics of Hourly Electricity Prices

SFB 649 Discussion Paper 2010-013
Number of pages: 24 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Stefan Trück
Blockchain Research Center Humboldt-Universität zu Berlin and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 82 (475,249)
Citation 6

Abstract:

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

84.

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 Karl Härdle
Xiamen University, Xiamen University - Department of Finance, Xiamen University, University College London - Bartlett School of Sustainable Construction, Coventry University - School of Strategy and Leadership, National Research Council (CNR), Stanford University, Center for Sustainable Development and Global Competitiveness and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 81 (478,698)
Citation 1

Abstract:

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COVID-19, coronavirus

85.

Pricing Kernels and Risk Premia implied in Bitcoin Options

Number of pages: 20 Posted: 07 Dec 2022 Last Revised: 25 Apr 2023
Julian Winkel and Wolfgang Karl Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 79 (485,698)

Abstract:

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Bitcoin, Deribit, pricing kernel, risk aversion, speculation, hedging

86.

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 Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 79 (485,698)
Citation 1

Abstract:

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

87.

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 Karl Härdle
Wroclaw University of Technology and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 79 (485,698)
Citation 3

Abstract:

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

88.

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 Karl Härdle
Chung Hua University, Drexel University - Department of Finance and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 79 (485,698)
Citation 5

Abstract:

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

89.

Robust Estimation of Dimension Reduction Space

CentER Discussion Paper No. 2005-31
Number of pages: 25 Posted: 21 Apr 2005
Pavel Cizek and Wolfgang Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 78 (489,339)

Abstract:

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Dimension reduction, nonparametric regression, M-estimation

90.

Networks of News and Cross-Sectional Returns

Number of pages: 47 Posted: 16 Aug 2021 Last Revised: 19 Oct 2021
Junjie Hu and Wolfgang Karl Härdle
Humboldt-Universita?t zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 77 (492,939)

Abstract:

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

91.

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 Karl Härdle
University of Augsburg, University of Augsburg and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 76 (496,664)

Abstract:

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

92.

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 Karl Härdle and Cathy Chen
National Chiao-Tung University, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 76 (496,664)
Citation 1

Abstract:

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

93.

Principal Component Analysis in an Asymmetric Norm

Number of pages: 34 Posted: 20 Oct 2016
Ngoc Tran, Petra Burdejova, Maria Osipenko and Wolfgang Karl 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 Humboldt-Universität zu Berlin
Downloads 76 (496,664)
Citation 7

Abstract:

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

94.

Learning Machines Supporting Bankruptcy Prediction

SFB 649 Discussion Paper 2010-032
Number of pages: 28 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Rouslan Moro and Linda Hoffman
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and Humboldt University of Berlin
Downloads 75 (500,429)
Citation 2

Abstract:

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Support Vector Machine, Bankruptcy, Default Probabilities Prediction, Profitability

95.

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 Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 74 (504,164)

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

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 Karl 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 Humboldt-Universität zu Berlin
Downloads 73 (507,946)
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 Karl Härdle and David Kuo Chuen Lee
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Singapore University of Social Sciences (SUSS)
Downloads 71 (515,836)

Abstract:

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

98.

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 Karl Härdle
Soochow University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 71 (515,836)

Abstract:

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

99.

Factorisable Multi-Task Quantile Regression

SFB 649 Discussion Paper 2016-057
Number of pages: 70 Posted: 04 Jan 2017
Wolfgang Karl Härdle, Shih-Kang Chao and Ming Yuan
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Wisconsin - Madison
Downloads 71 (515,836)
Citation 1

Abstract:

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

100.

Forecast Based Pricing of Weather Derivatives

SFB 649 Discussion Paper 2012-027
Number of pages: 25 Posted: 07 Jan 2017
Wolfgang Karl Härdle, Brenda López Cabrera and Matthias Ritter
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt-Universität zu Berlin - Department of Agricultural Economics
Downloads 70 (519,696)
Citation 2

Abstract:

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weather derivatives, seasonal variation, temperature, risk premia

101.

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 Karl Härdle
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Texas A & M University, The Chinese University of Hong Kong and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 70 (519,696)
Citation 1

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

102.

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 Karl Härdle, Oliver B. Linton and Yingcun Xia
Blockchain Research Center Humboldt-Universität zu Berlin, University of Cambridge and National University of Singapore (NUS)
Downloads 70 (519,696)
Citation 26

Abstract:

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103.

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 Karl Härdle and Rouslan Moro
Fudan University, Blockchain Research Center Humboldt-Universität zu Berlin and German Institute for Economic Research (DIW Berlin)
Downloads 69 (523,744)
Citation 7

Abstract:

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

104.

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 Karl Härdle and Chen Huang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Aarhus University - Department of Economics and Business Economics
Downloads 69 (523,744)

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

105.

Surrogate Models for Optimization of Dynamical Systems

Number of pages: 32 Posted: 26 Feb 2021 Last Revised: 18 Jan 2022
Kainat Khowaja, Wolfgang Karl Härdle and Mykhaylo Shcherbatyy
International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and affiliation not provided to SSRN
Downloads 68 (527,744)
Citation 1

Abstract:

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

106.

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-010
Number of pages: 34 Posted: 02 May 2017
Ya Qian, Wolfgang Karl Härdle and Cathy Chen
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 68 (527,744)
Citation 1

Abstract:

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

107.

Dynamic Valuation of Weather Derivatives Under Default Risk

SFB 649 Discussion Paper 2017-005
Number of pages: 38 Posted: 11 Dec 2017
Wolfgang Karl Härdle and Maria Osipenko
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 67 (531,931)
Citation 1

Abstract:

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Derivative Securities, Asset Pricing Models

108.

Data Science & Digital Society

Number of pages: 10 Posted: 29 May 2017
Cathy Chen and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 67 (531,931)

Abstract:

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

109.

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 Karl Härdle and Julius Mungo
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 66 (536,154)
Citation 4

Abstract:

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

110.

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 Karl Härdle and Wang Li
Fudan University, Blockchain Research Center Humboldt-Universität zu Berlin and Fudan University
Downloads 66 (536,154)
Citation 4

Abstract:

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

111.

Predicting Bankruptcy with Support Vector Machines

SFB 649 Discussion Paper 2005-009
Number of pages: 25 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 64 (544,719)
Citation 1

Abstract:

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112.

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 Karl Härdle
Chung Hua University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 64 (544,719)

Abstract:

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

113.

Empirical Pricing Kernels and Investor Preferences

SFB 649 Discussion Paper 2007-017
Number of pages: 37 Posted: 09 Jan 2017
Kai Detlefsen, Wolfgang Karl Härdle and Rouslan Moro
Humboldt University of Berlin - Institute for Statistics and Econometrics, Blockchain Research Center Humboldt-Universität zu Berlin and German Institute for Economic Research (DIW Berlin)
Downloads 63 (549,074)
Citation 5

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

114.

Antisocial Online Behavior Detection Using Deep Learning

IRTG 1792 Discussion Paper 2019-029
Number of pages: 33 Posted: 28 Aug 2020
Elizaveta Zinovyeva, Wolfgang Karl Härdle and Stefan Lessmann
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 61 (557,972)
Citation 1

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

115.

Semiparametric Regression Analysis Under Imputation for Missing Response Data

LSE STICERD Research Paper No. EM454
Number of pages: 42 Posted: 21 Jul 2008
Wolfgang Karl Härdle, Oliver B. Linton and Qihua Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University of Cambridge and AMSS
Downloads 61 (557,972)

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116.

Computational Statistics and Data Visualization

SFB 649 Discussion Paper 2007-020
Number of pages: 12 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Chun-houh Chen and Antony Unwin
Blockchain Research Center Humboldt-Universität zu Berlin, Academia Sinica - Institute of Statistical Science and University of Augsburg
Downloads 60 (562,471)

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Data Visualization, Exploratory Graphics

117.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Brenda López Cabrera, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 60 (562,471)

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

118.

Common Functional Implied Volatility Analysis

SFB 649 Discussion Paper 2005-012
Number of pages: 22 Posted: 09 Jan 2017
Michal Benko and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 59 (567,079)

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119.

Implied Market Price of Weather Risk

SFB 649 Discussion Paper 2009-001
Number of pages: 35 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Brenda López Cabrera
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 59 (567,079)
Citation 6

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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

120.

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 Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 58 (571,733)
Citation 10

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121.

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 Karl 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 Humboldt-Universität zu Berlin
Downloads 57 (576,517)

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

122.

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 Karl Härdle
Fudan University - School of Economics, University of Macau - Department of Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 57 (576,517)
Citation 1

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

123.

Credit Rating Score Analysis

SFB 649 Discussion Paper 2016-046
Number of pages: 37 Posted: 03 Nov 2016
Wolfgang Karl Härdle, Kok Fai Phoon and David Kuo Chuen Lee
Blockchain Research Center Humboldt-Universität zu Berlin, SIM University and Singapore University of Social Sciences (SUSS)
Downloads 57 (576,517)

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Credit risk, Principal Components Analysis, Credit Rating Score

124.

Risk Related Brain Regions Detected with 3D Image FPCA

Number of pages: 31 Posted: 14 Jul 2015
Ying Chen, Wolfgang Karl Härdle, Qiang He and Piotr Majer
National University of Singapore (NUS), Blockchain Research Center Humboldt-Universität zu Berlin, National University of Singapore (NUS) - Department of Statistics and Applied Probability and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 57 (576,517)

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

125.

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 Karl Härdle, Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 55 (586,100)

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Inflation expectations, news impact, forecast disagreement

126.

Nonparametric Estimation of Risk-Neutral Densities

SFB 649 Discussion Paper 2010-021
Number of pages: 31 Posted: 10 Jan 2017
Maria Grith, Wolfgang Karl Härdle and Melanie Schienle
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Karlsruhe Institute of Technology (KIT)
Downloads 55 (586,100)
Citation 1

Abstract:

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

127.

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 Karl Härdle
Yeshiva University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 55 (586,100)

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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

128.

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 Karl Härdle and Maria Osipenko
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 54 (590,950)
Citation 2

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

129.

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 Karl Härdle, Nikolaus Hautsch and Andrija Mihoci
Blockchain Research Center Humboldt-Universität zu Berlin, 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 54 (590,950)
Citation 8

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

130.

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 Karl Härdle
Humboldt University of Berlin - Institute for Statistics and EconometricsHumboldt University of Berlin - Center for Applied Statistics and Economics (CASE), and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 53 (595,918)

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

131.

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 Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 52 (601,214)

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Factor Model, Functional Data, Expectiles, Extremes

132.

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 Karl Härdle and Pham Thu Hien
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 52 (601,214)

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

133.

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 14 Jul 2015
Wolfgang Karl Härdle, Wei Cui, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University College London and University of Yorkaffiliation not provided to SSRN
Downloads 52 (601,214)

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

134.

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 Karl Härdle and Andrija Mihoci
University of Vienna - Department of Statistics and Operations Research, Blockchain Research Center Humboldt-Universität zu Berlin and Brandenburg University of Technology (BTU)
Downloads 52 (601,214)
Citation 6

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

135.

Pricing of Asian Temperature Risk

SFB 649 Discussion Paper 2009-046
Number of pages: 34 Posted: 11 Dec 2017
Fred Espen Benth, Wolfgang Karl Härdle and Brenda López Cabrera
University of Oslo, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 51 (606,385)
Citation 2

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

136.

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 Karl Härdle and Maria Osipenko
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 51 (606,385)
Citation 2

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Rainfall Derivatives, Equilibrium Pricing, Space-time Markov Model

137.

Partial Linear Quantile Regression and Bootstrap Confidence Bands

SFB 649 Discussion Paper 2010-002
Number of pages: 33 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Ya'acov Ritov and Song Song
Blockchain Research Center Humboldt-Universität zu Berlin, Hebrew University of Jerusalem and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 51 (606,385)
Citation 4

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

138.

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 Karl Härdle and Volker Krätschmer
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and University of Duisburg-Essen
Downloads 51 (606,385)
Citation 4

Abstract:

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

139.

Cryptocurrency Dynamics: Rodeo or Ascot?

Number of pages: 14 Posted: 06 Apr 2021 Last Revised: 08 Jan 2022
Konstantin Häusler and Wolfgang Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 50 (611,649)

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Cryptocurrency, SVCJ, Market Dynamics, Stochastic Volatility

140.

SONIC: SOcial Network with Influencers and Communities

Number of pages: 55 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Wolfgang Karl Härdle and Yegor Klochkov
University of Glasgow, Adam Smith Business School, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 48 (622,197)

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

141.

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 Karl Härdle
Fudan University - School of Economics, University of Macau - Department of Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 48 (622,197)
Citation 1

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

142.

Service Data Analytics and Business Intelligence

IRTG 1792 Discussion Paper 2020-002
Number of pages: 7 Posted: 25 Aug 2020
Dash Wu and Wolfgang Karl Härdle
University of Toronto - RiskLab and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 48 (622,197)

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Data Analytics, Business Intelligence Systems

143.

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 Karl Härdle
Xiamen University, Aarhus University - Department of Economics and Business Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 48 (622,197)
Citation 1

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

144.

Generalized Single-Index Models: The EFM Approach

SFB 649 Discussion Paper 2009-050
Number of pages: 39 Posted: 09 Jan 2017
Xia Cui, Wolfgang Karl Härdle and Lixing Zhu
Sun Yat-sen University (SYSU), Blockchain Research Center Humboldt-Universität zu Berlin and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 48 (622,197)
Citation 2

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

145.

Numerics of Implied Binomial Trees

SFB 649 Discussion Paper 2008-044
Number of pages: 27 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Alena Mysickova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 47 (627,623)
Citation 1

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

146.

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 Karl Härdle and Juhyun Park
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Lancaster University
Downloads 47 (627,623)
Citation 5

Abstract:

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pricing kernels, risk aversion, risk neutral density

147.

Analysis of Deviance in Generalized Partial Linear Models

SFB 649 Discussion Paper 2013-028
Number of pages: 25 Posted: 05 Jan 2017
Wolfgang Karl Härdle and Li-Shan Huang
Blockchain Research Center Humboldt-Universität zu Berlin and National Tsing Hua University
Downloads 47 (627,623)
Citation 1

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

148.

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 Karl Härdle and Chengxiu Ling
Blockchain Research Center Humboldt-Universität zu Berlin and University of Lausanne, Department of Actuarial Science
Downloads 46 (633,059)

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

149.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang Karl Härdle, V. Spokoiny, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Yorkaffiliation not provided to SSRN
Downloads 46 (633,059)

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

150.

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 Karl Härdle and Helmut Thome
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Martin Luther Universitat Halle Wittenberg
Downloads 46 (633,059)

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