Wolfgang K. Härdle

Humboldt University of Berlin - Institute for Statistics and Econometrics

Leiter (Prof)

Unter den Linden 6

Berlin, D-10099

Germany

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

Unter den Linden 6

Berlin, D-10099

Germany

SCHOLARLY PAPERS

212

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Ideas:
“  Über den Wolken gibt es keinen Regen  ”

Scholarly Papers (212)

1.

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
National University of Singapore (NUS) - Department of Mathematics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 798 (29,869)
Citation 5

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

2.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 589 (45,071)
Citation 1

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

3.

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, Cathy Yi‐Hsuan Chen and Wolfgang K. Härdle
Stockholm University, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 556 (48,490)
Citation 8

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

4.

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
National University of Singapore (NUS) - Department of Mathematics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 510 (54,084)
Citation 10

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

5.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, CoinGecko and CoinGecko
Downloads 408 (71,176)
Citation 6

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

6.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 05 Aug 2019
Wolfgang K. Härdle, Campbell R. Harvey and Raphael C. G. Reule
Humboldt University of Berlin - Institute for Statistics and Econometrics, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 377 (77,964)
Citation 3

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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

7.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Beuth University of Applied Sciences Berlin and University of Mannheim - Department of Economics
Downloads 352 (84,468)

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8.
Downloads 201 (100,491)
Citation 3

Network Quantile Autoregression

SFB 649 Discussion Paper 2016-050
Number of pages: 56 Posted: 23 Nov 2016
Xuening Zhu, Weining Wang, Hangsheng Wang and Wolfgang K. Härdle
Peking University, Humboldt University of Berlin, Peking University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 201 (150,965)

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

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 K. Härdle and Yanchu Liu
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 247 (123,853)

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

10.

Measuring and Modeling Risk Using High-Frequency Data

Number of pages: 23 Posted: 01 Nov 2008
Wolfgang K. Härdle, Nikolaus Hautsch and Uta Pigorsch
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Vienna - Department of Statistics and Operations Research and University of Mannheim
Downloads 204 (149,106)
Citation 2

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Realized Volatility, Realized Betas, Volatility Modeling

11.

Nonparametric Risk Management with Generalized Hyperbolic Distributions

Number of pages: 33 Posted: 20 Oct 2005
Wolfgang K. Härdle, Ying Chen and Seok-Oh Jeong
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Catholic University of Louvain
Downloads 185 (163,206)
Citation 6

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adaptive volatility estimation, generalized hyperbolic distribution, value at risk

12.

Investing With Cryptocurrencies – Evaluating the Potential of Portfolio Allocation Strategies

Number of pages: 41 Posted: 07 Nov 2018 Last Revised: 16 Nov 2018
Alla Petukhina, Simon Trimborn, Wolfgang K. Härdle and Hermann Elendner
Humboldt University of Berlin - Institute for Statistics and Econometrics, National University of Singapore (NUS) - Department of Mathematics, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 174 (172,445)
Citation 3

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

13.

Dynamic Topic Modelling for Cryptocurrency Community Forums

SFB 649 Discussion Paper 2016-051
Number of pages: 22 Posted: 28 Nov 2016
University of York, NUS Business School, Humboldt University of Berlin, Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 149 (196,714)

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

14.

CRIX or Evaluating Blockchain Based Currencies

SFB 649 Discussion Paper 2015-048
Number of pages: 9 Posted: 05 Jan 2017
Simon Trimborn and Wolfgang K. Härdle
National University of Singapore (NUS) - Department of Mathematics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 138 (209,340)

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Index construction, CRIX, risk analysis, bitcoin, cryptocurrency

15.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, Chung Hua University and Humboldt University of Berlin
Downloads 136 (211,905)
Citation 2

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

16.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 120 (233,249)

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

17.

Leveraged ETF Options Implied Volatility Paradox: A Statistical Study

SFB 649 Discussion Paper 2016-004, Economic Risk, Berlin
Number of pages: 42 Posted: 27 Jun 2016 Last Revised: 14 Nov 2016
Wolfgang K. Härdle, Sergey Nasekin and Zhiwu Hong
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 106 (254,952)
Citation 1

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exchange-traded funds, options, moneyness scaling, stochastic volatility, bootstrap, dynamic factor models

18.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 102 (261,852)

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

19.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 97 (270,664)

Abstract:

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

20.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang K. Härdle, Weining Wang and Lining Yu
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 96 (272,483)
Citation 3

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

21.

FRM: A Financial Risk Meter Based on Penalizing Tail Events Occurrence

SFB 649 Discussion Paper 2017-003
Number of pages: 42 Posted: 17 Feb 2017 Last Revised: 20 Feb 2017
Lining Yu, Wolfgang K. Härdle, Lukas Borke and Thijs Benschop
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 95 (274,399)
Citation 1

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

22.

A Dynamic Network Perspective on Cryptocurrencies

Number of pages: 36 Posted: 20 Jun 2018 Last Revised: 29 Mar 2019
Li Guo, Yubo Tao and Wolfgang K. Härdle
Singapore Management University, Lee Kong Chian School of Business, School of Economics, Singapore Management University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 94 (276,311)
Citation 1

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Community Detection, Dynamic Stochastic Blockmodel, Spectral Clustering, Node Covariate, Return Predictability, Portfolio Management.

23.

LASSO-Driven Inference in Time and Space

Number of pages: 70 Posted: 15 Jun 2018 Last Revised: 28 Apr 2019
Victor Chernozhukov, Wolfgang K. Härdle, Chen Huang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics, Faculty of Mathematics and Statistics, University of St. Gallen and City, U of London
Downloads 87 (290,241)
Citation 5

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

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-012
Number of pages: 34 Posted: 29 May 2017
Ya Qian, Wolfgang K. Härdle and Cathy Chen
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 55 (378,225)

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

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 32 (470,076)

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

25.

Recursive Portfolio Selection with Decision Trees

SFB 649 Discussion Paper 2008-009
Number of pages: 27 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 87 (290,241)
Citation 2

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

26.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Bonn and University of Bonn
Downloads 85 (294,442)
Citation 1

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

27.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 84 (296,575)
Citation 2

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

28.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 75 (317,231)
Citation 2

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nonparametric regression, L-estimation, smoothed cumulative distribution function

29.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang K. Härdle and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 71 (327,063)
Citation 1

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

30.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 70 (329,657)

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

31.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 69 (332,217)
Citation 6

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

32.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 69 (332,217)
Citation 1

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

33.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 64 (345,677)

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Dimension reduction, nonparametric regression, M-estimation

34.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 63 (348,459)

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correlation risk, dimension reduction, dispersion strategy, dynamic factor

35.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 61 (354,144)
Citation 2

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

36.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and School of Business and Economics, Humboldt-University of Berlin
Downloads 60 (357,040)

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Predictive Policing, Crime Forecasting, Social Media Data, Spatial

37.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 60 (357,040)
Citation 3

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recurrent support vector regression, GARCH model, volatility forecasting

38.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 60 (357,040)
Citation 2

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

39.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 60 (357,040)
Citation 3

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

40.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 58 (362,996)
Citation 5

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41.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 58 (362,996)
Citation 1

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

42.

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 and Lixing Zhu
Renmin University of China, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 57 (366,126)
Citation 7

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

43.

Adaptive Order Flow Forecasting with Multiplicative Error Models

SFB 649 Discussion Paper 2014-035
Number of pages: 28 Posted: 05 Jan 2017
Wolfgang K. Härdle, Andrija Mihoci and Christopher Hian-Ann Ting
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics and Singapore Management University
Downloads 57 (366,126)

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multiplicative error models, trading volume, order flow, forecasting

44.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 53 (378,863)

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

45.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Singapore University of Social Sciences (SUSS), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nanyang Technological University (NTU) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 51 (385,396)
Citation 1

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

46.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 51 (385,396)

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Bankruptcy, Company rating, Default probability, Support vector machines

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), Humboldt University of Berlin - Institute for Statistics and Econometrics, National University of Singapore (NUS) - Department of Statistics and Applied Probability and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 41 (429,744)

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

Risk Related Brain Regions Detected with 3D Image FPCA

Number of pages: 31 Posted: 07 Jun 2016
Ying Chen, Wolfgang K. Härdle, Qiang He and Piotr Majer
National University of Singapore (NUS), Humboldt University of Berlin - Institute for Statistics and Econometrics, National University of Singapore (NUS) - Department of Statistics and Applied Probability and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 10 (607,842)

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Decision Making; fMRI; Neuroeconomics; Risk Attitude; RPID

48.

Is Scientific Performance a Function of Funds?

SFB 649 Discussion Paper No. 2017-028
Number of pages: 41 Posted: 11 Dec 2017 Last Revised: 05 Mar 2018
Alona Zharova, Wolfgang K. Härdle and Stefan Lessmann
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and School of Business and Economics, Humboldt-University of Berlin
Downloads 50 (388,754)
Citation 2

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

49.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 50 (388,754)
Citation 3

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

50.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Cambridge and National University of Singapore (NUS)
Downloads 50 (388,754)
Citation 25

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51.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 48 (395,582)
Citation 8

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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

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 and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 48 (395,582)

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

53.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 48 (395,582)

Abstract:

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

54.

FRM Financial Risk Meter

Special Issue in Empirical Economics on “Economic Applications of Quantile Regression 2.0”, Forthcoming
Number of pages: 30 Posted: 05 Aug 2019
Brandenburg University of Technology (BTU), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 47 (399,015)

Abstract:

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

55.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 47 (399,015)

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

56.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Mannheim - Department of Economics
Downloads 46 (402,595)
Citation 15

Abstract:

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57.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 46 (402,595)

Abstract:

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

58.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Cambridge and AMSS
Downloads 46 (402,595)

Abstract:

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59.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 45 (406,141)
Citation 30

Abstract:

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

60.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 45 (406,141)

Abstract:

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

61.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, German Institute for Economic Research (DIW Berlin) and Humboldt University of Berlin
Downloads 45 (406,141)
Citation 1

Abstract:

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Support Vector Machine, Bankruptcy, Default Probabilities Prediction, Profitability

62.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 45 (406,141)

Abstract:

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

63.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Wisconsin - Madison
Downloads 45 (406,141)

Abstract:

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

64.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Fudan University
Downloads 45 (406,141)

Abstract:

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

65.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and School of Business and Economics, Humboldt-University of Berlin
Downloads 43 (413,538)
Citation 1

Abstract:

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

66.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt-Universität zu Berlin - Department of Agricultural Economics
Downloads 42 (417,310)
Citation 1

Abstract:

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weather derivatives, seasonal variation, temperature, risk premia

67.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 40 (424,899)

Abstract:

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68.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Charles University in Prague
Downloads 40 (424,899)
Citation 2

Abstract:

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69.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Augsburg
Downloads 39 (428,955)

Abstract:

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Systemic Risk, Network Analysis, Network Autoregression, Tail Event

70.

Data Science & Digital Society

Number of pages: 10 Posted: 29 May 2017
Cathy Chen and Wolfgang K. Härdle
Humboldt University of Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 39 (428,955)

Abstract:

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

71.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 39 (428,955)
Citation 2

Abstract:

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72.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Faculty of Mathematics and Statistics, University of St. Gallen
Downloads 39 (428,955)

Abstract:

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

73.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Catholic University of Louvain (UCL) - School of Statistics
Downloads 38 (433,065)

Abstract:

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SVM, Genetic algorithm, global optmimum, default prediction

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 and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, University College London and Humboldt University of Berlin
Downloads 32 (470,076)

Abstract:

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 11 Dec 2017
Wei Cui, Wolfgang K. Härdle and Weining Wang
University College London, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 6 (636,156)

Abstract:

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NAIRU; New Keynesian Phillips Curve; Inflation Expectation

75.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, 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 37 (437,135)
Citation 6

Abstract:

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

76.

The Impact of News on US Household Inflation Expectations

SFB 649 Discussion Paper 2017-011
Number of pages: 14 Posted: 29 May 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 36 (441,217)

Abstract:

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Inflation expectations, news impact, forecast disagreement

77.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 36 (441,217)

Abstract:

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78.

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 Lee Kuo Chuen
Humboldt University of Berlin - Institute for Statistics and Econometrics, SIM University and Singapore University of Social Sciences (SUSS)
Downloads 36 (441,217)

Abstract:

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Credit risk, Principal Components Analysis, Credit Rating Score

79.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 35 (445,394)

Abstract:

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

80.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 34 (449,694)

Abstract:

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Derivative Securities, Asset Pricing Models

81.

Local Adaptive Multiplicative Error Models For High-Frequency Forecasts

Journal of Applied Econometrics, Vol. 30, pp. 529-550, 2015
Number of pages: 22 Posted: 06 Jun 2016
Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci
Humboldt University of Berlin - Institute for Statistics and Econometrics, 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 33 (454,073)
Citation 1

Abstract:

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82.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 32 (458,564)
Citation 3

Abstract:

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Granger Causality, Quantile, Nonparametric Test

83.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 32 (458,564)
Citation 5

Abstract:

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

84.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 31 (463,185)
Citation 3

Abstract:

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

85.

TERES - Tail Event Risk Expectile Based Shortfall

Number of pages: 30 Posted: 05 Jan 2017
Philipp Gschöpf, Wolfgang K. Härdle and Andrija Mihoci
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 30 (467,995)
Citation 2

Abstract:

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

86.

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
Michigan State University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 30 (467,995)

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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

87.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 29 (472,853)

Abstract:

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Factor Model, Functional Data, Expectiles, Extremes

88.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and German Institute for Economic Research (DIW Berlin)
Downloads 29 (472,853)
Citation 4

Abstract:

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

89.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and German Institute for Economic Research (DIW Berlin)
Downloads 29 (472,853)
Citation 6

Abstract:

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

90.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Karlsruhe Institute of Technology (KIT)
Downloads 27 (483,135)
Citation 1

Abstract:

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

91.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 27 (483,135)

Abstract:

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Dynamic Semiparametric Estimation, Pricing Kernel, Risk Aversion

92.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Lancaster University
Downloads 27 (483,135)

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

93.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 26 (488,462)

Abstract:

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

94.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 26 (488,462)
Citation 9

Abstract:

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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

95.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 26 (488,462)
Citation 1

Abstract:

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

96.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 26 (488,462)

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

97.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 25 (493,907)
Citation 2

Abstract:

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

98.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 25 (493,907)
Citation 3

Abstract:

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Demographic Forecasting, Population Projection, Stochastic Demography

99.

An Expectile Factor Model for Day-ahead Wind Power Forecasting

Number of pages: 31 Posted: 18 Apr 2019
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 24 (499,563)

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

100.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 24 (499,563)

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

101.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, National Taiwan University of Science and Technology, German Institute for Economic Research (DIW Berlin) and National Taiwan University of Science and Technology
Downloads 24 (499,563)
Citation 2

Abstract:

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

102.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 24 (499,563)
Citation 1

Abstract:

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

103.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 23 (505,075)
Citation 8

Abstract:

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104.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 23 (505,075)
Citation 1

Abstract:

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

105.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 23 (505,075)

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

106.

Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change

SFB 649 Discussion Paper 2017-023
Number of pages: 20 Posted: 14 Dec 2017
Xinjue Li, Lenka Zbonakova and Wolfgang K. Härdle
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 22 (511,003)

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

107.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 22 (511,003)

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Distribution functions, Dimension Reduction, Risk management, Statistical models

108.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Lausanne, Department of Actuarial Science
Downloads 21 (516,814)

Abstract:

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

109.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Hebrew University of Jerusalem
Downloads 21 (516,814)
Citation 1

Abstract:

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

110.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 20 (522,664)
Citation 1

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

111.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Hebrew University of Jerusalem and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
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Citation 4

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

112.

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

SFB 649 Discussion Paper 2011-055
Number of pages: 38 Posted: 09 Jan 2017
Wolfgang K. Härdle and Maria Osipenko
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 20 (522,664)
Citation 1

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rainfall derivatives; equilibrium pricing; space-time Markov model

113.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Faculty of Mathematics and Statistics, University of St. Gallen and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
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multivariate functional data, high-dimensional M-estimators, nuclear norm regularizer, factor analysis, expectile regression, fMRI, risk perception

114.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Brandenburg University of Technology (BTU)
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Citation 6

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

115.

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, Faculty of Mathematics and Statistics, University of St. Gallen and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 19 (528,577)

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

116.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 19 (528,577)

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

117.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Giessen
Downloads 19 (528,577)

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

118.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 18 (534,443)

Abstract:

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Regularization, Energy Risk Transmission, Network, German Energy Market

119.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 18 (534,443)

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

120.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and National Central University at Taiwan
Downloads 18 (534,443)
Citation 1

Abstract:

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

121.

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 and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 17 (540,348)

Abstract:

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

122.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, Brunel University London and Humboldt University of Berlin
Downloads 17 (540,348)
Citation 1

Abstract:

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Credit risk, Bankruptcy, Asian companies, SVM

123.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Duisburg-Essen
Downloads 17 (540,348)
Citation 4

Abstract:

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

124.

Joint Tensor Expectile Regression for Electricity Day-Ahead Price Curves

Number of pages: 38 Posted: 03 May 2019
Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 16 (546,202)

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

125.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 16 (546,202)

Abstract:

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independent component analysis, Value-at-Risk

126.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 16 (546,202)

Abstract:

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

127.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 16 (546,202)

Abstract:

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

128.

Common Factors in Credit Defaults Swaps Markets

SFB 649 Discussion Paper 2012-063
Number of pages: 44 Posted: 06 May 2016
Cathy Chen and Wolfgang K. Härdle
Chung Hua University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 16 (546,202)
Citation 4

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credit default swaps; common factors; credit risk

129.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 15 (552,136)
Citation 1

Abstract:

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

130.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Mannheim and Seoul National University
Downloads 15 (552,136)
Citation 9

Abstract:

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

131.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 15 (552,136)

Abstract:

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

132.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle, V. Spokoiny and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Humboldt University of Berlin
Downloads 15 (552,136)

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

133.

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
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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 15 (552,136)
Citation 2

Abstract:

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

134.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 15 (552,136)
Citation 1

Abstract:

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

135.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 14 (558,176)
Citation 1

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136.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 14 (558,176)

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Bayesian Networks, structure learning, offender profiling

137.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and National Tsing Hua University
Downloads 14 (558,176)

Abstract:

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

138.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 14 (558,176)

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

139.

Penalized Adaptive Forecasting With Large Information Sets and Structural Changes

Number of pages: 53 Posted: 31 Aug 2018
Lenka Zboňáková, Xinjue Li and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 13 (564,301)

Abstract:

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

140.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 13 (564,301)
Citation 2

Abstract:

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Rainfall Derivatives, Equilibrium Pricing, Space-time Markov Model

141.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Mannheim
Downloads 13 (564,301)
Citation 4

Abstract:

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Localized Autoregressive Modeling, Realized Volatility, Adaptive Procedure

142.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 13 (564,301)
Citation 12

Abstract:

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copula, multivariate distribution, Archimedean copula, adaptive estimation

143.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 13 (564,301)
Citation 3

Abstract:

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

144.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 13 (564,301)
Citation 1

Abstract:

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

145.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 13 (564,301)

Abstract:

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expectiles, tail risk, local parametric approach, risk management

146.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, Utah State University - Department of Mathematics & Statistics and Humboldt University of Berlin
Downloads 13 (564,301)

Abstract:

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

147.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 12 (570,690)

Abstract:

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Expectiles, Tail Risk, Local Parametric Approach, Risk Management

148.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and National Sun Yat-sen University
Downloads 12 (570,690)

Abstract:

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

149.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Lancaster University
Downloads 12 (570,690)
Citation 3

Abstract:

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pricing kernels, risk aversion, risk neutral density

150.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 12 (570,690)

Abstract:

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

151.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 12 (570,690)
Citation 1

Abstract:

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risk aversion, pricing kernels, time dependent preferences

152.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 11 (576,849)

Abstract:

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

153.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 11 (576,849)

Abstract:

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

154.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Okayama University of Sciences
Downloads 10 (583,212)

Abstract:

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

155.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 10 (583,212)
Citation 1

Abstract:

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Markov chain, ARFIMA process, Viterbi algorithm, Long memory

156.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Academia Sinica - Institute of Statistical Science and University of Augsburg
Downloads 10 (583,212)

Abstract:

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Data Visualization, Exploratory Graphics

157.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 10 (583,212)

Abstract:

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

158.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Martin Luther Universitat Halle Wittenberg
Downloads 10 (583,212)

Abstract:

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

159.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 9 (589,561)
Citation 1

Abstract:

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

160.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Berlin University of Technology
Downloads 9 (589,561)

Abstract:

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dynamic factor models, dimension reduction, risk neutral density

161.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 9 (589,561)

Abstract:

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

162.

Common Functional Principal Components

Number of pages: 35 Posted: 08 Jan 2017
Wolfgang K. Härdle and Alois Kneip
Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Bonn
Downloads 9 (589,561)

Abstract:

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163.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Okayama University of Sciences and Utah State University - Department of Mathematics and Statistics
Downloads 9 (589,561)

Abstract:

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

164.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 8 (596,028)
Citation 1

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

165.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 8 (596,028)

Abstract:

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E-learning, Evaluation, Statistical software

166.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 8 (596,028)

Abstract:

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

167.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 8 (596,028)
Citation 1

Abstract:

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

168.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 8 (596,028)

Abstract:

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

169.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 8 (596,028)

Abstract:

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

170.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 8 (596,028)
Citation 1

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

171.

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 and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Hebrew University of Jerusalem and Humboldt University of Berlin
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Nonparametric Regression, Bootstrap, Quantile Regression, Confidence Bands, Additive Model, Robust Statistics

172.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Charles University in Prague and European Union - Committee of the Regions
Downloads 7 (602,536)

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

173.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
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Citation 4

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

174.

Increasing Weather Risk: Fact or Fiction?

Number of pages: 17 Posted: 08 Jan 2017
Weining Wang, Ihtiyor Bobojonov, Wolfgang K. Härdle and Martin Odening
Humboldt University of Berlin, Humboldt University of Berlin - Department of Agricultural Economics and Social Sciences, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
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weather extremes, agricultural risk, change point test, quantile regressions

175.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 6 (609,165)

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176.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 6 (609,165)
Citation 4

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Risk Aversion, Pricing kernel

177.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
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QuantNet, database-driven, online, repository, XML, XSLT, PHP, mySQL, Atox

178.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 6 (609,165)

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

179.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Berlin University of Technology and German Institute for Economic Research (DIW Berlin)
Downloads 6 (609,165)
Citation 1

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

180.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and University of Mannheim
Downloads 6 (609,165)
Citation 1

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

181.

Color Harmonization in Car Manufacturing Process

SFB 649 Discussion Paper 2006-071
Number of pages: 20 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
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182.

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 and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Augsburg and Humboldt University of Berlin
Downloads 6 (609,165)
Citation 1

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

183.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
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discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH

184.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 6 (609,165)
Citation 2

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

185.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
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Citation 1

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

186.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 5 (615,838)

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pricing kernels, risk aversion, risk neutral density

187.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
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E-Learning, Statistics, Web-based Learning

188.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
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E-learning, Statistical Software

189.

Nonparametric Productivity Analysis

SFB 649 Discussion Paper 2005-013
Number of pages: 18 Posted: 09 Jan 2017
Wolfgang K. Härdle and Seok-Oh Jeong
Humboldt University of Berlin - Institute for Statistics and Econometrics and Catholic University of Louvain
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Citation 1

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190.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Kuwait University
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E-learning, MM*Stat, Wiki, ArabTeX, Statistical software

191.

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), Humboldt University of Berlin - Institute for Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
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Citation 5

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

192.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
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Citation 1

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

193.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 5 (615,838)
Citation 1

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electronic books, Arabtex, MM*STAT, Statistical software

194.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
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Citation 1

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

195.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
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Missing data, Estimating equations, Single-index models, Asymptotic normality

196.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
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British Cohort Study data, Bayesian inference, Quantile regression, Asymmetric Laplace error distribution, Markov chain Monte Carlo, Variable selection

197.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and University of Mannheim
Downloads 5 (615,838)
Citation 1

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

198.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Deutsche Telekom AG - Deutsche Telekom Laboratories
Downloads 4 (622,839)

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199.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 4 (622,839)
Citation 1

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

200.

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 Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 3 (630,778)

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Mixture distribution, Inverse problem, Risk aversion, Exponential mixture, Empirical pricing kernel, DAX, Market utility function.

201.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 3 (630,778)
Citation 1

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

202.

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, Humboldt University of Berlin - Institute for Statistics and Econometrics and Soochow University
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B spline, confidence corridor, Karhunen-Loève L^2 representation, knots, functional data, varying coefficient

203.
Downloads 2 (640,605)
Citation 9

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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 2 (671,142)
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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
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
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204.

Adaptive Pointwise Estimation in Time-Inhomogeneous Conditional Heteroscedasticity Models

Econometrics Journal, Vol. 12, Issue 2, pp. 248-271, July 2009
Number of pages: 24 Posted: 08 Oct 2009
P. Čížek, Wolfgang K. Härdle and V. Spokoiny
affiliation not provided to SSRN, Humboldt University of Berlin - Institute for Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 2 (640,605)
Citation 1
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205.

Portfolio Decisions and Brain Reactions Via the CEAD Method

Psychometrika 2015; doi: 10.1007/s11336-015-9441-5
Posted: 07 Jun 2016
Piotr Majer, Peter Mohr, Hauke Heekeren and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Free University of Berlin (FUB), Free University of Berlin (FUB) and Humboldt University of Berlin - Institute for Statistics and Econometrics

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risk, risk attitude, fMRI, decision making, neuroeconomics, semiparametric model, factor structure, brain imaging, spatial clustering, inference on clusters, CEAD method

206.

Confidence Corridors for Multivariate Generalized Quantile Regression

Journal of Business and Economic Statistics, DOI:10.1080/07350015.2015.1054493
Posted: 20 Feb 2016 Last Revised: 06 Jun 2016
Shih-Kang Chao, Katharina Proksch, Holger Dette and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Ruhr Universität Bochum, Ruhr Universität Bochum - Faculty of Mathematics and Humboldt University of Berlin - Institute for Statistics and Econometrics

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Bootstrap; Expectile regression; Goodness-of-fit tests; Quantile treatment effect; Smoothing; nonparametric regression

207.

Generalized Dynamic Semi‐Parametric Factor Models for High‐Dimensional Non‐Stationary Time Series

The Econometrics Journal, Vol. 17, Issue 2, pp. S101-S131, 2014
Number of pages: 31 Posted: 05 Jun 2014
Song Song, Wolfgang K. Härdle and Ya'acov Ritov
University of Alabama - Department of Mathematics, Humboldt University of Berlin - Institute for Statistics and Econometrics and Hebrew University of Jerusalem
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Asymptotic inference, Factor model, Group Lasso, Periodic, Seasonality, Semi‐parametric model, Spectral analysis, Weather

208.

A Semiparametric Factor Model for Implied Volatility Surface Dynamics

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 189-218, 2007
Posted: 16 Jun 2008
Matthias R. Fengler, Wolfgang K. Härdle and Enno Mammen
University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Mannheim - Department of Economics

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functional principal component analysis, implied volatility surface, semiparametric factor models

209.

Time Inhomogeneous Multiple Volatility Modeling

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 55-95, 2003
Posted: 29 Feb 2008
Wolfgang K. Härdle, Helmut Herwartz and V. Spokoiny
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Kiel - Institute of Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)

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stochastic volatility model, multivariate volatility model, adaptive estimation, local homogeneity

210.

Common Factors Governing Vdax Movements and the Maximum Loss

Financial Markets and Portfolio Management, Vol. 16, No. 1, pp. 16-29, 2002
Posted: 14 Sep 2005
Peter Schmidt, Wolfgang K. Härdle and Matthias R. Fengler
affiliation not provided to SSRN, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of St. Gallen - School of Economics and Political Science

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211.

Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient

Working Paper No. 62
Posted: 22 May 2000
Peter Hall, Wolfgang K. Härdle, Torsten Kleinow and Peter Schmidt
Australian National University (ANU) - Department of Mathematics, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and affiliation not provided to SSRN

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212.

Computerassisted Semiparametric Generalized Linear Models

COMPUTATIONAL STATISTICS, Vol 12 No 2, March 26, 1997
Posted: 29 Apr 1997
Marlene Müller, Bernd Ronz and Wolfgang K. Härdle
Beuth University of Applied Sciences Berlin, Humboldt-Universitat zu Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics

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