Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin

Ladislaus von Bortkiewicz Professor

Unter den Linden 6

Berlin, D-10099

Germany

Charles University

Professor

Celetná 13

Dept Math Physics

Praha 1, 116 36

Czech Republic

National Yang Ming Chiao Tung University

No. 1001, Daxue Rd. East Dist.

Hsinchu City 300093

Taiwan

Asian Competitiveness Institute

Singapore

Academy of Economic Studies, Bucharest

Bucharest

Romania

  • Blockchain Research Center Humboldt-Universität zu Berlin

  • Charles University

  • National Yang Ming Chiao Tung University

  • Asian Competitiveness Institute

  • Academy of Economic Studies, Bucharest

SCHOLARLY PAPERS

282

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52,517

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Top 1,970

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896

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

  • Blockchain Research Center Humboldt-Universität zu Berlin

  • Charles University

  • National Yang Ming Chiao Tung University

  • Asian Competitiveness Institute

  • Academy of Economic Studies, Bucharest

Scholarly Papers (282)

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1.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 22 Sep 2020
Wolfgang Karl Härdle, Campbell R. Harvey and Raphael C. G. Reule
Blockchain Research Center Humboldt-Universität zu Berlin, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 3,539 (7,119)
Citation 18

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

2.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Ai Jun Hou, Weining Wang, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,781 (21,203)
Citation 15

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

3.

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Quantitative Finance (2021): 1-29.
Number of pages: 64 Posted: 07 Nov 2018 Last Revised: 28 Sep 2021
Alla Petukhina, Simon Trimborn, Wolfgang Karl Härdle and Hermann Elendner
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, University of Amsterdam - Amsterdam School of Economics (ASE), Blockchain Research Center Humboldt-Universität zu Berlin and Austrian Blockchain Center (ABC Research)
Downloads 1,750 (21,794)
Citation 34

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

4.

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Published version: Trimborn, S., Li, M. and W. K. Härdle (2019) "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach" Journal of Financial Econometrics, doi.org/10.1093/jjfinec/nbz016
Number of pages: 37 Posted: 19 Jul 2017 Last Revised: 12 Jul 2019
Simon Trimborn, Mingyang Li and Wolfgang Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE), Sun Yat-sen University (SYSU) - International School of Business and Finance (ISBE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,470 (28,391)
Citation 14

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

5.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Cathy Chen, Matthias R. Fengler, Wolfgang Karl Härdle and Yanchu Liu
Humboldt University of Berlin, University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 1,092 (43,889)

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

6.

VCRIX - A Volatility Index for Crypto-Currencies

Number of pages: 39 Posted: 13 Nov 2019 Last Revised: 27 Aug 2021
Alisa Kim, Simon Trimborn and Wolfgang Karl Härdle
Humboldt University of Berlin, University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,034 (47,355)
Citation 22

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index construction, volatility, crypto-currency, VCRIX

7.

CRIX an Index for Blockchain Based Currencies

Permanent Discussion paper. Revised and Published version: Trimborn, S. and W.K. Härdle (2018) "CRIX an Index for Cryptocurrencies" Journal of Empirical Finance, Volume 49, 2018, Pages 107-122, ISSN 0927-5398, Doi.org/10.1016/j.jempfin.2018.08.004.
Number of pages: 27 Posted: 27 Jun 2016 Last Revised: 10 Jul 2019
Simon Trimborn and Wolfgang Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 939 (54,210)
Citation 26

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

8.

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

in Gronwald and Hintermann (eds) Emission Trading Systems as a Climate Policy Instrument - Evaluation and Prospects, MIT Press (Forthcoming)
Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 08 Apr 2014
Stefan Trück, Wolfgang Karl Härdle and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Blockchain Research Center Humboldt-Universität zu Berlin and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 888 (58,512)
Citation 2

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

9.

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

European Journal of Finance, 2020, DOI: 10.1080/1351847X.2020.1789684
Number of pages: 33 Posted: 09 Jul 2020 Last Revised: 11 Aug 2020
Alla Petukhina, Raphael C. G. Reule and Wolfgang Karl Härdle
University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, International Research Training Group 1792 and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 708 (79,148)
Citation 13

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

10.

A First Econometric Analysis of the CRIX Family

Number of pages: 47 Posted: 31 Aug 2016
Shi Chen, Cathy Chen, Wolfgang Karl Härdle, TM Lee and Bobby Ong
Humboldt University of Berlin, Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, CoinGecko and CoinGecko
Downloads 652 (87,905)
Citation 15

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

11.

Mitigating Digital Asset Risks

Number of pages: 54 Posted: 10 Nov 2023 Last Revised: 09 Jan 2024
Huei-Wen Teng, Wolfgang Karl Härdle, Joerg Osterrieder, Lennart John Baals, Vassilios G. Papavassiliou, Karolina Bolesta, Audrius Kabasinskas, Olivija Filipovska, Nikolaos S. Thomaidis, Alexios Ioannis Moukas, Sam Goundar, Jamal Abdul Nasir, Abraham Itzhak Weinberg, Veni Arakelian, Ciprian-Octavian Truică, Mutlu Akar, Esra Kabaklarlı, Elena-Simona Apostol, Maria Iannario, Barbara Bedowska-Sojka, Hanna Kristin Skaftadottir, Peter Schwendner, Özgür Yıldırım, Albulena Shala, Galena Pisoni, Ioana Florina Coita, Szabolcs Korba, Christian M. Hafner, Bálint Molnár, Elda Xhumari, Daniel Traian Pele and Eda Orhun
National Chiao Tung University, Blockchain Research Center Humboldt-Universität zu Berlin, University of Twente, University of Twente, University College Dublin (UCD) - Michael Smurfit Graduate School of Business, Warsaw School of Economics (SGH) - Department of Economics I, Kaunas University of Technology, Geostrategic Institute Global, University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, Independent, Royal Melbourne Institute of Technolog (RMIT University), University of Galway, A.I. Weinberg Ltd., Council of Economic Advisors, Ministry of Finance, Hellenic Republic, University Politehnica of Bucharest, Yildiz Technical University, Selçuk University - Department of Economics, University POLITEHNICA of Bucharest, CSEF - University of Naples Federico II, Poznań University of Economics and Business, University of Iceland, Zurich University of Applied Sciences, Independent, Independent, York St John University, Universitatea din Oradea, Independent, Independent, Eötvös Loránd University, University of Tirana - Department of Informatics, Bucharest University of Economic Studies and American University in Bulgaria
Downloads 650 (88,431)
Citation 2

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Digital assets, Blockchain technology, Regulatory frameworks, Decentralized finance, Non-fungible tokens

12.

A Statistical Classification of Cryptocurrencies

Number of pages: 38 Posted: 30 Mar 2020 Last Revised: 13 Apr 2020
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Karl Härdle, Michalis Kolossiatis and Yannis G. Yatracos
Bucharest University of Economic Studies, Humboldt Universität zu Berlin | IRTG 1792, Blockchain Research Center Humboldt-Universität zu Berlin, University of Cyprus and Tsinghua University - Yau Mathematical Sciences Center
Downloads 599 (97,986)
Citation 4

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Cryptocurrency, Classification, Multivariate Analysis, Factor Models, Synchronicity

13.

Network Quantile Autoregression

Downloads 369 (100,796)
Citation 2

Network Quantile Autoregression

SFB 649 Discussion Paper 2016-050
Number of pages: 56 Posted: 23 Nov 2016
Xuening Zhu, Weining Wang, Weining Wang, Hangsheng Wang and Wolfgang Karl Härdle
Peking University, University of Yorkaffiliation not provided to SSRN, Peking University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 369 (173,021)
Citation 2

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

14.

Stochastic volatility dynamic hedging for Deribit BTC options

Yung-Chi Chang, Huei-Wen Teng, and Wolfgang Härdle. Stochastic volatility dynamic hedging of the inverse BTC option. Journal of Futures and Options, 16(2):1–48, 2023
Number of pages: 43 Posted: 21 Nov 2022 Last Revised: 09 Nov 2023
Yung-Chi Chang, Huei-Wen Teng and Wolfgang Karl Härdle
National Chiao Tung University, National Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 514 (119,028)

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

15.

FRM Financial Risk Meter

Advances in Econometrics, Volume 42, The Econometrics of Networks
Number of pages: 35 Posted: 05 Aug 2019 Last Revised: 07 Apr 2020
Andrija Mihoci, Michael Althof, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Brandenburg University of Technology (BTU), Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 514 (118,735)
Citation 3

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

16.

Financial Analytics of Inverse BTC Options in a Stochastic Volatility World

Number of pages: 36 Posted: 05 Oct 2022 Last Revised: 18 Jun 2023
Huei-Wen Teng and Wolfgang Karl Härdle
National Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 484 (127,599)
Citation 3

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

17.

Understanding Smart Contracts: Hype or Hope?

Number of pages: 77 Posted: 22 Mar 2021
Elizaveta Zinovyeva, Raphael C. G. Reule and Wolfgang Karl Härdle
Humboldt University of Berlin, International Research Training Group 1792 and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 438 (143,755)

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Cryptocurrency, Smart Contract, Ethereum, CRIX.

18.

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

The Singapore Economic Review, Forthcoming
Number of pages: 25 Posted: 23 Dec 2020 Last Revised: 27 Dec 2022
Rui Ren, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 437 (144,114)
Citation 4

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

19.

A Time-Varying Network for Cryptocurrencies

Journal of Business and Economic Statistics, forthcoming
Number of pages: 47 Posted: 20 Jun 2018 Last Revised: 16 Dec 2022
Li Guo, Wolfgang Karl Härdle and Yubo Tao
Fudan University - School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and University of Macau - Department of Economics
Downloads 426 (148,487)
Citation 1

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

20.

Stable Distributions

SFB 649 Discussion Paper 2005-008
Number of pages: 28 Posted: 09 Jan 2017
Szymon Borak, Wolfgang Karl Härdle and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 418 (151,831)
Citation 15

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21.

Testing Parametric Versus Semiparametric Modelling in Generalized Linear Models

Number of pages: 25 Posted: 14 Jan 1997
Wolfgang Karl Härdle, Marlene Müller and Enno Mammen
Blockchain Research Center Humboldt-Universität zu Berlin, Beuth University of Applied Sciences Berlin and University of Mannheim - Department of Economics
Downloads 414 (153,481)
Citation 4

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22.

LASSO-Driven Inference in Time and Space

Number of pages: 76 Posted: 15 Jun 2018 Last Revised: 15 May 2020
Victor Chernozhukov, Wolfgang Karl Härdle, Chen Huang, Weining Wang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Aarhus University - Department of Economics and Business Economics and University of Yorkaffiliation not provided to SSRN
Downloads 396 (161,378)
Citation 20

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

23.

Dynamic Topic Modelling for Cryptocurrency Community Forums

SFB 649 Discussion Paper 2016-051
Number of pages: 22 Posted: 28 Nov 2016
Marco Linton, Ernie G. S. Teo, Elisabeth Bommes, Cathy Chen and Wolfgang Karl Härdle
University of York, NUS Business School, Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 392 (163,273)
Citation 11

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Dynamic Topic Modelling, Cryptocurrencies, Financial Risk

24.

Tail-Risk Protection: Machine Learning Meets Modern Econometrics

Spilak, B., Härdle, W.K. (2021). Tail-Risk Protection: Machine Learning Meets Modern Econometrics. In: Lee, CF., Lee, A.C. (eds) Encyclopedia of Finance. Springer, Cham. https://doi.org/10.1007/978-3-030-73443-5_94-1
Number of pages: 33 Posted: 02 Dec 2020 Last Revised: 14 Aug 2023
Bruno Spilak and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 384 (167,057)
Citation 3

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tail-risk, trading strategy, cryptocurrency, Value-At-Risk, deep learning, machine learning, econometrics, extreme value theory, exceedance probability

25.

Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

Downloads 379 (169,506)

Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

Number of pages: 36 Posted: 27 Dec 2022 Last Revised: 10 Apr 2024
Yifu Wang, Wanbo Lu, Min-Bin Lin, Rui Ren and Wolfgang Karl Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Southwestern University of Finance and Economics (SWUFE), affiliation not provided to SSRN, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 276 (236,859)

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Partial correlation network, high-frequency data, cryptocurrency, cross exchanges, FTX, risk spillover

Cross-Exchange Crypto Risk: A High-Frequency Dynamic Network Perspective

Number of pages: 35 Posted: 02 Oct 2023 Last Revised: 26 May 2024
Yifu Wang, Wanbo Lu, Min-Bin Lin, Rui Ren and Wolfgang Karl Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, School of Statistics, affiliation not provided to SSRN, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 103 (569,128)

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Partial correlation network, high-frequency data, Bitcoin, FTX, HAR

26.

The Energy Consumption of the Ethereum-Ecosystem

Number of pages: 23 Posted: 02 Aug 2023
Patrick Woitschig, Gazi Salah Uddin, Taojun Xie and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Linkoping University - Department of Management and Engineering Division, National University of Singapore (NUS) - Asia Competitiveness Institute and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 367 (175,746)
Citation 5

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Cryptocurrency, Ethereum, Proof-of-Work, Proof-of-Stake, Merge, Energy

27.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang Karl Härdle, Weining Wang, Weining Wang and Lining Yu
Blockchain Research Center Humboldt-Universität zu Berlin, University of Yorkaffiliation not provided to SSRN and Humboldt University of Berlin
Downloads 360 (179,510)
Citation 21

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

28.

Blockchain Mechanism and Distributional Characteristics of Cryptos

Lin MB, Khowaja K, Chen CYH, Härdle WK. Blockchain mechanism and distributional characteristics of cryptos. Advances in Quantitative Analysis of Finance & Accounting (AQAFA) , Vol. 18, 2021. DOI:10.6293/AQAFA.202112_(18).0006
Number of pages: 27 Posted: 20 Mar 2021 Last Revised: 03 Feb 2022
Min-Bin Lin, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
affiliation not provided to SSRN, International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 343 (189,204)
Citation 2

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Cryptocurrency, price, blockchain mechanism, distributional characteristics, clustering

29.

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

SFB 649 Discussion Paper 2016-025
Number of pages: 38 Posted: 04 Aug 2016 Last Revised: 22 Jun 2017
Ying Chen, Wee Song Chua and Wolfgang Karl Härdle
National University of Singapore (NUS), National University of Singapore (NUS) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 330 (197,317)
Citation 3

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

30.

Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications

Number of pages: 45 Posted: 02 Aug 2023 Last Revised: 13 Nov 2024
Ilyas Agakishiev, Wolfgang Karl Härdle, Karel Kozmik, Milos Kopa and Alla Petukhina
Humboldt University of Berlin - Faculty of Economics and Business Administration, Blockchain Research Center Humboldt-Universität zu Berlin, Charles University in Prague - Faculty of Mathematics and Physics, Charles University in Prague - Faculty of Mathematics and Physics and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business
Downloads 313 (208,838)
Citation 1

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electricity market, distributional modeling, simulation, trading strategies, probabilistic forecasting

31.

Volatility Investing with Variance Swaps

SFB 649 Discussion Paper 2010-001
Number of pages: 26 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Elena Silyakova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 299 (219,407)

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

32.

Financial Risk Meter based on Expectiles

Journal of Multivariate Analysis
Number of pages: 25 Posted: 01 Apr 2021 Last Revised: 29 Jun 2022
Rui Ren, Meng-Jou Lu, Yingxing Li and Wolfgang Karl Härdle
Humboldt University of Berlin, National Chiao-Tung University, Xiamen University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 298 (220,961)
Citation 5

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

33.

Uniform Inference for Generalized Random Forests

Number of pages: 39 Posted: 20 Apr 2022 Last Revised: 03 Mar 2025
Wolfgang Karl Härdle, Chen Huang and Kainat Khowaja
Blockchain Research Center Humboldt-Universität zu Berlin, Aarhus University - Department of Economics and Business Economics and International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin
Downloads 288 (228,281)

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

34.

Robustifying Markowitz

Number of pages: 44 Posted: 20 Dec 2021 Last Revised: 11 Nov 2022
Yegor Klochkov, Alla Petukhina, Wolfgang Karl Härdle and Nikita Zhivotovskiy
Humboldt University of Berlin, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, Blockchain Research Center Humboldt-Universität zu Berlin and Department of mathematics ETH, Zürich
Downloads 280 (235,099)

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robust estimator, portfolio allocation, Markowitz, turnover

35.

Measuring and Modeling Risk Using High-Frequency Data

Number of pages: 23 Posted: 01 Nov 2008
Wolfgang Karl Härdle, Nikolaus Hautsch and Uta Pigorsch
Blockchain Research Center Humboldt-Universität zu Berlin, University of Vienna - Department of Statistics and Operations Research and University of Mannheim
Downloads 274 (240,374)
Citation 2

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Realized Volatility, Realized Betas, Volatility Modeling

36.

Understanding Jumps in High Frequency Digital Asset Markets

Number of pages: 34 Posted: 18 Oct 2021 Last Revised: 21 Oct 2021
Danial Saef, Odett Nagy, Sergej Sizov and Wolfgang Karl Härdle
Humboldt University of Berlin, Corvinus University of Budapest, Students, University of Koblenz-Landau - Information Systems and Semantic Web (ISWeb) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 267 (246,730)

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

37.

Hedging Cryptocurrency Options

Number of pages: 38 Posted: 14 Dec 2021
Jovanka Lili Matic, Natalie Packham and Wolfgang Karl Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Berlin School of Economics and Law and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 265 (248,617)
Citation 6

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

38.

CRIX or Evaluating Blockchain Based Currencies

Oberwolfach Report No. 42/2015 „The Mathematics and Statistics of Quantitative Risk“ DOI: 10.4171/OWR/2015/42
Number of pages: 9 Posted: 05 Jan 2017 Last Revised: 18 Apr 2021
Simon Trimborn and Wolfgang Karl Härdle
University of Amsterdam - Amsterdam School of Economics (ASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 260 (253,433)
Citation 5

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Index construction, CRIX, risk analysis, bitcoin, cryptocurrency

39.

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

SFB 649 Discussion Paper 2008-014
Number of pages: 27 Posted: 09 Jan 2017
Shiyi Chen, Kiho Jeong and Wolfgang Karl Härdle
Fudan University, Kyungpook National University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 257 (256,439)
Citation 7

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recurrent support vector regression, GARCH model, volatility forecasting

40.

Cryptocurrency Liquidity Forecasting

Downloads 255 (258,502)

Cryptocurrency Liquidity Forecasting

Number of pages: 17 Posted: 03 Nov 2023
Daniel Traian Pele, Wolfgang Karl Härdle and Ilyas Agakishiev
Bucharest University of Economic Studies, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Faculty of Economics and Business Administration
Downloads 255 (256,803)

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digital assets, crytos, risk, liquidity, neural networks

Cryptocurrency Liquidity Forecasting

Posted: 20 Nov 2023
Ilyas Agakishiev, Wolfgang Karl Härdle and Daniel Traian Pele
Independent, Blockchain Research Center Humboldt-Universität zu Berlin and Bucharest University of Economic Studies

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cryptocurrency, market, statistics, machine learning

41.

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

Number of pages: 50 Posted: 14 Dec 2022
Min-Bin Lin, Bingling Wang, Fabian Bocart, Christian M. Hafner and Wolfgang Karl Härdle
affiliation not provided to SSRN, IRTG 1792, Artnet Worldwide Corporation, Catholic University of Louvain - Institute of Statistics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 254 (259,551)

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

42.

Nonparametric Risk Management with Generalized Hyperbolic Distributions

Number of pages: 33 Posted: 20 Oct 2005
Wolfgang Karl Härdle, Ying Chen and Seok-Oh Jeong
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Catholic University of Louvain
Downloads 245 (269,009)
Citation 7

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adaptive volatility estimation, generalized hyperbolic distribution, value at risk

43.

Recursive Portfolio Selection with Decision Trees

SFB 649 Discussion Paper 2008-009
Number of pages: 27 Posted: 09 Jan 2017
Anton Andriyashin, Wolfgang Karl Härdle and Roman Vladimirovich Timofeev
Humboldt University of Berlin - Center for Applied Statistics and Economics, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 241 (273,367)
Citation 5

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

44.

Convenience Yields for Co2 Emission Allowance Futures Contracts

SFB 649 Discussion Paper 2006-076
Number of pages: 30 Posted: 09 Jan 2017
Szymon Borak, Wolfgang Karl Härdle, Stefan Trück and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 241 (273,367)
Citation 33

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

45.

An AI approach to measuring financial risk

SFB 649 Discussion Paper 2017-003
Number of pages: 26 Posted: 17 Feb 2017 Last Revised: 14 Aug 2020
Lining Yu, Wolfgang Karl Härdle, Lukas Borke and Thijs Benschop
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 227 (289,828)
Citation 8

Abstract:

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

46.

A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

SFB 649 Discussion Paper 2005-020
Number of pages: 43 Posted: 09 Jan 2017
Matthias R. Fengler, Wolfgang Karl Härdle and Enno Mammen
University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim - Department of Economics
Downloads 223 (294,832)
Citation 19

Abstract:

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47.

Emoji Driven Crypto Assets Market Reactions

Number of pages: 29 Posted: 13 Mar 2024 Last Revised: 05 May 2024
Xiaorui ZUO, Yao-Tsung CHEN and Wolfgang Karl Härdle
National University of Singapore (NUS), National Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 222 (296,085)

Abstract:

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Emoji, LLM, VCRIX, Crypto, Bitcoin

48.

Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks

IRTG 1792 Discussion Paper 2020-006
Number of pages: 30 Posted: 25 Aug 2020
Alexander Jakob Dautel, Wolfgang Karl Härdle, Stefan Lessmann and Hsin-Vonn Seow
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, School of Business and Economics, Humboldt-University of Berlin and affiliation not provided to SSRN
Downloads 222 (296,085)

Abstract:

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

49.

K-expectiles clustering

Number of pages: 25 Posted: 09 Mar 2021
Bingling Wang, Yingxing Li and Wolfgang Karl Härdle
IRTG 1792, Xiamen University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 216 (304,037)
Citation 1

Abstract:

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clustering, expectiles, asymmetric quadratic loss, image segmentation

50.

Distillation of News Flow Into Analysis of Stock Reactions

Number of pages: 40 Posted: 14 Jul 2015
Junni L. Zhang, Wolfgang Karl Härdle, Cathy Chen and Elisabeth Bommes
Peking University, Blockchain Research Center Humboldt-Universität zu Berlin, Chung Hua University and Humboldt University of Berlin
Downloads 215 (305,374)
Citation 22

Abstract:

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

51.

A Financial Risk Meter for China

Number of pages: 38 Posted: 18 Nov 2021 Last Revised: 07 May 2023
Ruting Wang, Michael Althof and Wolfgang Karl Härdle
Sun Yat-sen University (SYSU) - School of Business, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 214 (306,757)

Abstract:

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

52.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Shih-Kang Chao, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 214 (306,757)
Citation 2

Abstract:

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

53.

A Machine Learning Based Regulatory Risk Index for Cryptocurrencies

Number of pages: 40 Posted: 11 Nov 2020 Last Revised: 24 Aug 2021
Xinwen Ni, Wolfgang Karl Härdle and Taojun Xie
School of Business and Economics, Blockchain Research Center Humboldt-Universität zu Berlin and National University of Singapore (NUS) - Asia Competitiveness Institute
Downloads 212 (309,457)

Abstract:

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Cryptocurrency, Regulatory Risk, Index, LDA, News Classification

54.

Portfolio Tail-Risk Protection With Non-linear Latent Factors

Number of pages: 28 Posted: 25 Jun 2023
Bruno Spilak and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 210 (312,200)
Citation 1

Abstract:

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

55.

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

SFB 649 Discussion Paper 2011-054
Number of pages: 30 Posted: 09 Jan 2017
Ray-Bing Chen, Ying Chen and Wolfgang Karl Härdle
National Cheng Kung University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 209 (313,662)
Citation 2

Abstract:

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

56.

Support Vector Machines with Evolutionary Feature Selection for Default Prediction

SFB 649 Discussion Paper 2012-030
Number of pages: 26 Posted: 07 Jan 2017
Wolfgang Karl Härdle, Dedy Prastyo and Christian M. Hafner
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Catholic University of Louvain - Institute of Statistics
Downloads 206 (317,988)
Citation 2

Abstract:

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SVM, Genetic algorithm, global optmimum, default prediction

57.

Composite Quantile Regression for the Single-Index Model

SFB 649 Discussion Paper 2013-010
Number of pages: 43 Posted: 05 Jan 2017
Yan Fan, Wolfgang Karl Härdle, Weining Wang, Weining Wang and Lixing Zhu
Renmin University of China, Blockchain Research Center Humboldt-Universität zu Berlin, University of Yorkaffiliation not provided to SSRN and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 204 (320,998)
Citation 13

Abstract:

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

58.

Joint Tensor Expectile Regression for Electricity Day-Ahead Price Curves

Number of pages: 38 Posted: 03 May 2019 Last Revised: 30 Aug 2021
Awdesch Melzer, Wolfgang Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 203 (322,478)

Abstract:

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

59.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 202 (323,858)
Citation 2

Abstract:

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

60.

In the Beginning Was the Word: LLM-VaR and LLM-ES

Number of pages: 37 Posted: 20 Jan 2025
Daniel Traian Pele, Vlad Bolovaneanu, Min-Bin Lin, Rui Ren, Andrei Theodor Ginavar, Bruno Spilak, Alexandru Victor Andrei, Filip Toma, Stefan Lessmann and Wolfgang Karl Härdle
Bucharest University of Economic Studies, Bucharest University of Economic Studies, affiliation not provided to SSRN, Humboldt University of Berlin, Bucharest University of Economic Studies, Bucharest University of Economic Studies, Bucharest University of Economic Studies, Bucharest University of Economic Studies, School of Business and Economics, Humboldt-University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 199 (331,449)

Abstract:

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Value at Risk, Expected Shortfall, GPT, LLM-VaR, LLM-ES, Large Language Models

61.

Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Number of pages: 38 Posted: 05 Sep 2020 Last Revised: 10 Dec 2021
Junjie Hu, Weiyu Kuo and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin, National Chengchi University (NCCU) - Department of International Business and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 199 (328,414)
Citation 5

Abstract:

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

62.

Functional Principal Component Analysis for Derivatives of Multivariate Curves

SFB 649 Discussion Paper 2016-033
Number of pages: 37 Posted: 08 Sep 2016
Maria Grith, Wolfgang Karl Härdle, Alois Kneip and Heiko Wagner
Erasmus University Rotterdam (EUR) - Erasmus School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, University of Bonn and University of Bonn
Downloads 199 (328,414)
Citation 2

Abstract:

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

63.

Estimating Probabilities of Default with Support Vector Machines

Bundesbank Series 2 Discussion Paper No. 2007,18
Number of pages: 44 Posted: 08 Jun 2016
Wolfgang Karl Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 198 (329,943)
Citation 4

Abstract:

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Bankruptcy, Company rating, Default probability, Support vector machines

64.

Risk Budget Portfolios With Convex Non-negative Matrix Factorization

Number of pages: 30 Posted: 19 Jun 2023
Bruno Spilak and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 196 (333,042)
Citation 1

Abstract:

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Portfolio management, factor model, non-negative matrix factorization, risk budget, risk parity

65.

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

Number of pages: 51 Posted: 24 Jul 2015
Shiyi Chen, Wolfgang Karl Härdle and Wang Li
Fudan University, Blockchain Research Center Humboldt-Universität zu Berlin and Fudan University
Downloads 193 (339,412)
Citation 4

Abstract:

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

66.

Quantinar: A Blockchain p2p Ecosystem for Scientific Research

Number of pages: 31 Posted: 04 Dec 2022 Last Revised: 03 Apr 2023
Raul Bag, Bruno Spilak, Julian Winkel and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin, Humboldt-Universität zu Berlin, Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 192 (339,412)

Abstract:

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Blockchain

67.

Partial Linear Quantile Regression and Bootstrap Confidence Bands

SFB 649 Discussion Paper 2010-002
Number of pages: 33 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Ya'acov Ritov and Song Song
Blockchain Research Center Humboldt-Universität zu Berlin, Hebrew University of Jerusalem and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 192 (339,412)
Citation 4

Abstract:

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

68.

Pricing Kernels and Risk Premia implied in Bitcoin Options

Number of pages: 20 Posted: 07 Dec 2022 Last Revised: 25 Apr 2023
Julian Winkel and Wolfgang Karl Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 191 (341,114)

Abstract:

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

69.

TEDAS - Tail Event Driven Asset Allocation

Number of pages: 51 Posted: 03 Nov 2020
Sergey Nasekin, Wolfgang Karl Härdle and David Kuo Chuen Lee
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Singapore University of Social Sciences (SUSS)
Downloads 191 (341,114)

Abstract:

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

70.

FRM Financial Risk Meter for Emerging Markets

Number of pages: 47 Posted: 16 Feb 2021
Souhir Ben Amor, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 190 (342,762)
Citation 6

Abstract:

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

71.

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

Number of pages: 56 Posted: 24 Jan 2021 Last Revised: 26 Aug 2021
Shi Chen, Wolfgang Karl Härdle and Melanie Schienle
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center Humboldt-Universität zu Berlin and Karlsruhe Institute of Technology (KIT)
Downloads 189 (344,458)

Abstract:

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

72.

Smoothed L-Estimation of Regression Function

CentER Discussion Paper No. 2006-20
Number of pages: 23 Posted: 17 Apr 2006
Pavel Cizek, Julien Tamine and Wolfgang Karl Härdle
Tilburg University - Department of Econometrics & Operations Research, University of Angers - Research Group in Quantitative Saving (GREQAM) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 185 (351,304)
Citation 2

Abstract:

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nonparametric regression, L-estimation, smoothed cumulative distribution function

73.

An Expectile Factor Model for Day-ahead Wind Power Forecasting

Number of pages: 31 Posted: 18 Apr 2019 Last Revised: 30 Aug 2021
Awdesch Melzer, Wolfgang Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 176 (367,208)

Abstract:

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

74.

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

Computational Statistics, Vol. 30, No. 3, 2015
Number of pages: 23 Posted: 02 Mar 2016
Shiyi Chen, Kiho Jeong and Wolfgang Karl Härdle
Fudan University, Kyungpook National University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 176 (367,208)

Abstract:

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

75.

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

Number of pages: 29 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Shiyi Chen, Dengke Chen and Wolfgang Karl Härdle
Fudan University, Fudan University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 176 (367,208)

Abstract:

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

76.

A Consistent Nonparametric Test for Causality in Quantile

SFB 649 Discussion Paper 2008-007
Number of pages: 26 Posted: 09 Jan 2017
Kiho Jeong and Wolfgang Karl Härdle
Kyungpook National University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 175 (369,060)
Citation 28

Abstract:

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Granger Causality, Quantile, Nonparametric Test

77.

Networks of News and Cross-Sectional Returns

Number of pages: 47 Posted: 16 Aug 2021 Last Revised: 19 Oct 2021
Junjie Hu and Wolfgang Karl Härdle
Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 172 (374,813)
Citation 2

Abstract:

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

78.

Assessing Network Risk with FRM: Links with Pricing Kernel Volatility and Application to Cryptocurrencies

Number of pages: 32 Posted: 19 Oct 2023 Last Revised: 11 Mar 2024
Ruting Wang, Valerio Potì and Wolfgang Karl Härdle
Sun Yat-sen University (SYSU) - School of Business, University College Dublin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 167 (384,624)
Citation 2

Abstract:

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Cryptocurrencies, Network Dynamics, Quantile Regression, Systemic Risk, Regularisation, Penalisation Parameter, LASSO Regression

79.

Model-Driven Statistical Arbitrage on LETF Option Markets

Quantitative Finance, Vol. 19, No. 11, 2019, 1817–1837
Number of pages: 41 Posted: 17 Nov 2020
Sergey Nasekin and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 167 (384,624)

Abstract:

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

80.

CDO Pricing with Copulae

SFB 649 Discussion Paper 2009-013
Number of pages: 12 Posted: 09 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang Karl Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 166 (386,617)

Abstract:

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

81.

Computational Statistics and Data Visualization

SFB 649 Discussion Paper 2007-020
Number of pages: 12 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Chun-houh Chen and Antony Unwin
Blockchain Research Center Humboldt-Universität zu Berlin, Academia Sinica - Institute of Statistical Science and University of Augsburg
Downloads 163 (392,791)

Abstract:

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Data Visualization, Exploratory Graphics

82.

Calibration Design of Implied Volatility Surfaces

SFB 649 Discussion Paper 2006-002
Number of pages: 12 Posted: 09 Jan 2017
Kai Detlefsen and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 163 (392,791)
Citation 1

Abstract:

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

83.

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 Karl Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 162 (394,917)
Citation 3

Abstract:

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independent component analysis, Value-at-Risk

84.

Q3-D3-LSA

SFB 649 Discussion Paper 2016-049
Number of pages: 48 Posted: 18 Nov 2016
Lukas Borke and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 162 (394,917)
Citation 8

Abstract:

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

85.

GitHub API Based QuantNet Mining Infrastructure in R

Number of pages: 44 Posted: 07 Mar 2017 Last Revised: 09 Mar 2017
Lukas Borke and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 161 (397,020)
Citation 11

Abstract:

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

86.

Stochastic Population Analysis: A Functional Data Approach

Number of pages: 36 Posted: 14 Jul 2015
Lei Fang and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 160 (399,198)
Citation 1

Abstract:

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

87.

Pricing Green Financial Products

SFB 649 Discussion Paper No. 2017-020
Number of pages: 29 Posted: 25 Aug 2017
Awdesch Melzer, Wolfgang Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 156 (407,799)

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

88.

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

SFB 649 Discussion Paper 2013-037
Number of pages: 24 Posted: 05 Jan 2017
Wolfgang Karl Härdle and Dedy Prastyo
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 155 (410,037)
Citation 2

Abstract:

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

89.

Cryptos Have Rough Volatility and Correlated Jumps

Number of pages: 27 Posted: 12 Aug 2024
Lukas Krain, Xiaorui ZUO and Wolfgang Karl Härdle
Humboldt University of Berlin - BRC Blockchain Research Center, National University of Singapore (NUS) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 154 (412,285)

Abstract:

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Cryptos, Rough Volatility, Jumps, Hurst Exponent, Hawkes Process

90.

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 Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Brandenburg University of Technology (BTU) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 154 (412,285)
Citation 1

Abstract:

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Expectiles, Tail Risk, Local Parametric Approach, Risk Management

91.

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

Number of pages: 47 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Matthias R. Fengler, Wolfgang Karl Härdle and Yanchu Liu
University of Glasgow, Adam Smith Business School, University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 153 (414,517)
Citation 2

Abstract:

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

92.

Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models

CentER Discussion Paper Series No. 2007-35
Number of pages: 46 Posted: 18 Jun 2007
Pavel Cizek, Wolfgang Karl Härdle and V. Spokoiny
Tilburg University - Department of Econometrics & Operations Research, Blockchain Research Center Humboldt-Universität zu Berlin and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 152 (416,776)
Citation 2

Abstract:

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

93.

Implied Market Price of Weather Risk

SFB 649 Discussion Paper 2009-001
Number of pages: 35 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Brenda López Cabrera
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 151 (419,062)
Citation 12

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

94.

Implied Basket Correlation Dynamics

Statistics & Risk Modelling, 2014, SFB 649 Discussion Paper 2012-066
Number of pages: 35 Posted: 06 May 2016
Wolfgang Karl Härdle and Elena Silyakova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 149 (425,927)

Abstract:

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correlation risk, dimension reduction, dispersion strategy, dynamic factor

95.

What Drives Crypto’s Volatility Persistence: A Data Analytic Probe on Ethereum

Number of pages: 56 Posted: 08 Feb 2024
Min-Bin Lin, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
affiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 148 (425,927)

Abstract:

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Blockchain, Ethereum, ETH, cryptonomics, the Merge, volatility components

96.

Dynamics of State Price Densities

SFB 649 Discussion Paper 2005-021
Number of pages: 39 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Zdeněk Hlávka
Blockchain Research Center Humboldt-Universität zu Berlin and Charles University in Prague
Downloads 148 (425,927)
Citation 4

Abstract:

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97.

Tail Event Driven Networks of SIFIs

SFB 649 Discussion Paper 2017-004
Number of pages: 35 Posted: 11 Dec 2017
Cathy Chen, Wolfgang Karl Härdle and Yarema Okhrin
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and University of Augsburg
Downloads 147 (428,304)
Citation 21

Abstract:

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Systemic Risk, Network Analysis, Network Autoregression, Tail Event

98.

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

IRTG 1792 Discussion Paper 2018-001
Number of pages: 26 Posted: 23 May 2018
Marius Lux, Wolfgang Karl Härdle and Stefan Lessmann
School of Business and Economics, Humboldt-University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 145 (433,058)
Citation 1

Abstract:

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

99.

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

SFB 649 Discussion Paper 2009-009
Number of pages: 39 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Alena Mysickova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 145 (433,058)
Citation 6

Abstract:

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Demographic Forecasting, Population Projection, Stochastic Demography

100.

Calibration Risk for Exotic Options

SFB 649 Discussion Paper 2006-001
Number of pages: 30 Posted: 09 Jan 2017
Kai Detlefsen and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 145 (433,058)
Citation 2

Abstract:

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

101.

TERES - Tail Event Risk Expectile Based Shortfall

Number of pages: 30 Posted: 05 Jan 2017 Last Revised: 29 Jul 2020
Philipp Gschöpf, Wolfgang Karl Härdle and Andrija Mihoci
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 144 (435,492)
Citation 2

Abstract:

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

102.

Pricing Kernel Modeling

Number of pages: 21 Posted: 14 Jul 2015
Denis Belomestny, Shujie Ma and Wolfgang Karl Härdle
Weierstras Institute for Applied Analysis and Stochastics (WIAS), University of California, Riverside (UCR) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 143 (437,987)

Abstract:

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

103.

A Microeconomic Explanation of the EPK Paradox

SFB 649 Discussion Paper 2009-010
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Volker Kratschmer and Rouslan Moro
Blockchain Research Center Humboldt-Universität zu Berlin, Berlin University of Technology and German Institute for Economic Research (DIW Berlin)
Downloads 142 (445,542)
Citation 1

Abstract:

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

104.

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

SFB 649 Discussion Paper 2014-059
Number of pages: 24 Posted: 05 Jan 2017
Stephan Stahlschmidt, Matthias Eckardt and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 142 (440,456)
Citation 1

Abstract:

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

105.

Surrogate Models for Optimization of Dynamical Systems

Number of pages: 32 Posted: 26 Feb 2021 Last Revised: 18 Jan 2022
Kainat Khowaja, Wolfgang Karl Härdle and Mykhaylo Shcherbatyy
International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and affiliation not provided to SSRN
Downloads 141 (442,927)
Citation 1

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

106.

Spectral Risk for Digital Assets

Number of pages: 47 Posted: 22 Apr 2023 Last Revised: 03 May 2023
Meng-Jou Lu, Matúš Horváth, Xingjia Wang and Wolfgang Karl Härdle
Asia University, Masaryk University, Faculty of Economics and Administration - Department of Finance, Humboldt University of Berlin - BRC Blockchain Research Center and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 140 (445,542)

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Spectral Risk Measure, Value-at-Risk, Expected Shortfall, Digital Assets, CRIX, Portfolio

107.

Estimation of Default Probabilities with Support Vector Machines

SFB 649 Discussion Paper 2006-077
Number of pages: 43 Posted: 09 Jan 2017
Shiyi Chen, Wolfgang Karl Härdle and Rouslan Moro
Fudan University, Blockchain Research Center Humboldt-Universität zu Berlin and German Institute for Economic Research (DIW Berlin)
Downloads 140 (445,542)
Citation 9

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

108.

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 Karl Härdle
University of Toledo, Soochow University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 140 (445,542)
Citation 3

Abstract:

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

109.

Exploratory Graphics of a Financial Dataset

SFB 649 Discussion Paper 2006-031
Number of pages: 26 Posted: 07 Jan 2017 Last Revised: 11 Dec 2017
Antony Unwin, Martin Theus and Wolfgang Karl Härdle
University of Augsburg, University of Augsburg and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 139 (447,993)

Abstract:

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

110.

The Dynamics of Hourly Electricity Prices

SFB 649 Discussion Paper 2010-013
Number of pages: 24 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Stefan Trück
Blockchain Research Center Humboldt-Universität zu Berlin and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 138 (450,563)
Citation 6

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

111.

Multivariate Factorisable Sparse Asymmetric Least Squares Regression

SFB 649 Discussion Paper 2016-058
Number of pages: 32 Posted: 29 Dec 2016
Shih-Kang Chao, Wolfgang Karl Härdle and Chen Huang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Aarhus University - Department of Economics and Business Economics
Downloads 138 (450,563)

Abstract:

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

112.

FFT Based Option Pricing

SFB 649 Discussion Paper 2005-011
Number of pages: 20 Posted: 09 Jan 2017
Szymon Borak, Kai Detlefsen and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 137 (453,247)
Citation 2

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113.

Forecast Based Pricing of Weather Derivatives

SFB 649 Discussion Paper 2012-027
Number of pages: 25 Posted: 07 Jan 2017
Wolfgang Karl Härdle, Brenda López Cabrera and Matthias Ritter
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt-Universität zu Berlin - Department of Agricultural Economics
Downloads 136 (455,983)
Citation 2

Abstract:

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weather derivatives, seasonal variation, temperature, risk premia

114.

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 Karl Härdle
Hitotsubashi University - Graduate School of Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 135 (458,729)
Citation 1

Abstract:

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

115.

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 Karl Härdle
Peking University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 134 (461,530)
Citation 2

Abstract:

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

116.

Dynamic Valuation of Weather Derivatives Under Default Risk

SFB 649 Discussion Paper 2017-005
Number of pages: 38 Posted: 11 Dec 2017
Wolfgang Karl Härdle and Maria Osipenko
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 131 (470,031)
Citation 1

Abstract:

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Derivative Securities, Asset Pricing Models

117.

Dynamic Credit Default Swaps Curves in a Network Topology

SFB 649 Discussion Paper 2016-059
Number of pages: 47 Posted: 04 Jan 2017
Xiu Xu, Cathy Chen and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 131 (470,031)
Citation 3

Abstract:

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

118.

Textual Sentiment and Sector Specific Reaction

Number of pages: 37 Posted: 31 Aug 2020
Elisabeth Bommes, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 129 (481,687)
Citation 1

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

119.

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

Number of pages: 38 Posted: 30 Jul 2020
Lina Meng, Yinggang Zhou, Ruige Zhang, Zhen (Peter) Ye, Senmao Xia, Giovanni Cerulli, Carter Casady and Wolfgang Karl Härdle
Xiamen University, Xiamen University - Department of Finance, Xiamen University, University College London - Bartlett School of Sustainable Construction, Coventry University - School of Strategy and Leadership, National Research Council (CNR), Stanford University, Center for Sustainable Development and Global Competitiveness and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 129 (475,817)
Citation 1

Abstract:

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COVID-19, coronavirus

120.

Beta-Boosted Ensemble for Big Credit Scoring Data

SFB 649 Discussion Paper 2016-052
Number of pages: 21 Posted: 28 Nov 2016
Maciej Zieba and Wolfgang Karl Härdle
Wroclaw University of Technology and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 129 (475,817)
Citation 3

Abstract:

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

121.

A Bayesian Multi-Stage Spatio-Temporally Dependent Model for Spatial Clustering and Variable Selection

Number of pages: 33 Posted: 20 Jul 2023
Shaopei Ma, Keming Yu, Man-lai Tang, Jianxin Pan, Wolfgang Karl Härdle and Maozai Tian
Renmin University of China, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University London, The University of Manchester, Blockchain Research Center Humboldt-Universität zu Berlin and Renmin University of China - Center for Applied Statistics
Downloads 128 (478,690)

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Bayesian hierarchical model, Spatial clustering, Spatial confounding problem, Spatio-temporal modeling, Variable selection.

122.

CDO and HAC

SFB 649 Discussion Paper 2009-038
Number of pages: 40 Posted: 09 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang Karl Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 127 (481,687)

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

123.

Principal Component Analysis in an Asymmetric Norm

Number of pages: 34 Posted: 20 Oct 2016
Ngoc Tran, Petra Burdejova, Maria Osipenko and Wolfgang Karl Härdle
University of Texas at Austin, Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 127 (481,687)
Citation 7

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

124.

Improving Crime Count Forecasts Using Twitter and Taxi Data

IRTG 1792 Discussion Paper 2018-013
Number of pages: 35 Posted: 28 Feb 2018
Lara Vomfell, Wolfgang Karl Härdle and Stefan Lessmann
University of Warwick, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 126 (484,681)

Abstract:

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Predictive Policing, Crime Forecasting, Social Media Data, Spatial

125.

Is Scientific Performance a Function of Funds?

SFB 649 Discussion Paper No. 2017-028
Number of pages: 41 Posted: 13 Jun 2020 Last Revised: 03 Sep 2021
Alona Zharova, Wolfgang Karl Härdle and Stefan Lessmann
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 125 (487,752)
Citation 4

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

126.

Data Analytics Driven Controlling: Bridging Statistical Modeling and Managerial Intuition

Number of pages: 41 Posted: 23 Mar 2021 Last Revised: 27 Jan 2022
Kainat Khowaja, Danial Saef, Sergej Sizov and Wolfgang Karl Härdle
International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, Humboldt University of Berlin, University of Koblenz-Landau - Information Systems and Semantic Web (ISWeb) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 122 (497,007)
Citation 1

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

127.

Antisocial Online Behavior Detection Using Deep Learning

IRTG 1792 Discussion Paper 2019-029
Number of pages: 33 Posted: 28 Aug 2020
Elizaveta Zinovyeva, Wolfgang Karl Härdle and Stefan Lessmann
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 122 (497,007)
Citation 1

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

128.

Learning Machines Supporting Bankruptcy Prediction

SFB 649 Discussion Paper 2010-032
Number of pages: 28 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Rouslan Moro and Linda Hoffman
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and Humboldt University of Berlin
Downloads 122 (497,007)
Citation 2

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Support Vector Machine, Bankruptcy, Default Probabilities Prediction, Profitability

129.

Copula-Based Factor Model for Credit Risk Analysis

SFB 649 Discussion Paper 2015-042
Number of pages: 27 Posted: 05 Jan 2017
Meng-Jou Lu, Wolfgang Karl Härdle and Cathy Chen
National Chiao-Tung University, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 122 (497,007)
Citation 1

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

130.

Factorisable Multi-Task Quantile Regression

SFB 649 Discussion Paper 2016-057
Number of pages: 70 Posted: 04 Jan 2017
Wolfgang Karl Härdle, Shih-Kang Chao and Ming Yuan
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Columbia University
Downloads 122 (497,007)

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

131.

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 Z. Huang and Wolfgang Karl Härdle
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Texas A & M University, The Chinese University of Hong Kong and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 121 (500,224)
Citation 1

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

132.

Credit Rating Score Analysis

SFB 649 Discussion Paper 2016-046
Number of pages: 37 Posted: 03 Nov 2016
Wolfgang Karl Härdle, Kok Fai Phoon and David Kuo Chuen Lee
Blockchain Research Center Humboldt-Universität zu Berlin, SIM University and Singapore University of Social Sciences (SUSS)
Downloads 121 (503,307)

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Credit risk, Principal Components Analysis, Credit Rating Score

133.

Predicting Bankruptcy with Support Vector Machines

SFB 649 Discussion Paper 2005-009
Number of pages: 25 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 120 (503,307)
Citation 2

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134.

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

SFB 649 Discussion Paper 2016-001, Economic Risk, Berlin
Number of pages: 53 Posted: 27 Jun 2016
Cathy Chen, Thomas Chinan Chiang and Wolfgang Karl Härdle
Chung Hua University, Drexel University - Department of Finance and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 120 (503,307)
Citation 5

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

135.

Spatial Functional Principal Component Analysis with Applications to Brain Image Data

SFB 649 Discussion Paper 2017-024
Number of pages: 31 Posted: 11 Dec 2017
Yingxing Li, Chen Huang and Wolfgang Karl Härdle
Xiamen University, Aarhus University - Department of Economics and Business Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 119 (506,547)
Citation 2

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

136.

Forecasting the Term Structure of Variance Swaps

SFB 649 Discussion Paper 2006-052
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Kai Detlefsen
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 119 (506,547)

Abstract:

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

137.

Robust Estimation of Dimension Reduction Space

CentER Discussion Paper No. 2005-31
Number of pages: 25 Posted: 21 Apr 2005
Pavel Cizek and Wolfgang Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 119 (506,547)

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Dimension reduction, nonparametric regression, M-estimation

138.

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

LSE STICERD Research Paper No. EM537
Number of pages: 32 Posted: 08 Feb 2010
Wolfgang Karl Härdle, Oliver B. Linton and Yingcun Xia
Blockchain Research Center Humboldt-Universität zu Berlin, University of Cambridge and National University of Singapore (NUS)
Downloads 117 (513,083)
Citation 29

Abstract:

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139.

Industry Interdependency Dynamics in a Network Context

SFB 649 Discussion Paper 2017-010
Number of pages: 34 Posted: 02 May 2017
Ya Qian, Wolfgang Karl Härdle and Cathy Chen
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 116 (516,533)
Citation 1

Abstract:

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

140.

Data Science & Digital Society

Number of pages: 10 Posted: 29 May 2017
Cathy Chen and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 114 (523,348)

Abstract:

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

141.

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 Karl Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Downloads 114 (523,348)
Citation 8

Abstract:

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

142.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Brenda López Cabrera, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 113 (526,802)

Abstract:

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

143.

Regime switching forecasting for cryptocurrencies

Number of pages: 21 Posted: 07 Nov 2024
Ilyas Agakishiev, Wolfgang Karl Härdle, Denis M. Becker and Xiaorui ZUO
Independent, Blockchain Research Center Humboldt-Universität zu Berlin, NTNU Business School and National University of Singapore (NUS)
Downloads 112 (530,363)

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144.

Common Functional Implied Volatility Analysis

SFB 649 Discussion Paper 2005-012
Number of pages: 22 Posted: 09 Jan 2017
Michal Benko and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 112 (530,363)

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145.

Credit Risk Calibration Based on CDS Spreads

SFB 649 Discussion Paper 2014-026
Number of pages: 41 Posted: 05 Jan 2017
Shih-Kang Chao, Wolfgang Karl Härdle and Pham Thu Hien
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 111 (533,935)

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

146.

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

SFB 649 Discussion Paper 2016-024
Number of pages: 31 Posted: 04 Aug 2016
Kun Ho Kim, Shih-Kang Chao and Wolfgang Karl Härdle
Yeshiva University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 110 (537,489)

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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

147.

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

SFB 649 Discussion Paper 2008-006
Number of pages: 40 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Julius Mungo
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 109 (541,062)
Citation 4

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

148.

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 Karl Härdle
Humboldt University of Berlin, Berlin School of Economics and Law and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 108 (544,834)
Citation 1

Abstract:

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Bayesian Networks, structure learning, offender profiling

149.

Analysis of Deviance in Generalized Partial Linear Models

SFB 649 Discussion Paper 2013-028
Number of pages: 25 Posted: 05 Jan 2017
Wolfgang Karl Härdle and Li-Shan Huang
Blockchain Research Center Humboldt-Universität zu Berlin and National Tsing Hua University
Downloads 108 (544,834)
Citation 1

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

150.

Computational Statistics (Journal)

SFB 649 Discussion paper 2012-004
Number of pages: 12 Posted: 07 Jan 2017
Wolfgang Karl Härdle, Yuichi Mori and Jurgen Symanzik
Blockchain Research Center Humboldt-Universität zu Berlin, Okayama University of Sciences and Utah State University - Department of Mathematics and Statistics
Downloads 107 (548,661)

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

151.

Risk Related Brain Regions Detected with 3D Image FPCA

Number of pages: 31 Posted: 14 Jul 2015
Ying Chen, Wolfgang Karl Härdle, Qiang He and Piotr Majer
National University of Singapore (NUS), Blockchain Research Center Humboldt-Universität zu Berlin, National University of Singapore (NUS) - Department of Statistics and Applied Probability and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 107 (548,661)

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

152.

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 Karl Härdle, Julius Mungo and Carsten Trenkler
University of Konstanz - Department of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and University of Mannheim
Downloads 107 (548,661)
Citation 1

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

153.

A Data-driven Case-based Reasoning in Bankruptcy Prediction

Number of pages: 34 Posted: 17 Sep 2022 Last Revised: 02 Nov 2022
Wei Li, Wolfgang Karl Härdle and Stefan Lessmann
National University of Singapore (NUS) - Institute of Operations Research and Analytics, Blockchain Research Center Humboldt-Universität zu Berlin and School of Business and Economics, Humboldt-University of Berlin
Downloads 106 (552,506)

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Decision support system, Bankruptcy prediction, Case-based reasoning, Particle swarm optimization

154.

Factorisable Multitask Quantile Regression

Number of pages: 65 Posted: 09 Oct 2020
Shih-Kang Chao, Wolfgang Karl Härdle and Ming Yuan
University of Missouri at Columbia, Blockchain Research Center Humboldt-Universität zu Berlin and Columbia University
Downloads 106 (552,506)
Citation 1

Abstract:

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

155.

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 Karl Härdle and Sigbert Klinke
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 106 (552,506)
Citation 2

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

156.

NFTs and VizTech

Number of pages: 26 Posted: 26 Jun 2023
Bingling Wang, Min-Bin Lin and Wolfgang Karl Härdle
IRTG 1792, affiliation not provided to SSRN and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 105 (556,382)

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NFT, Non-Fungible token, CryptoPunks, digital asset, Visualisation Techniques, UMAP, t-SNE, blockchain, VizTech

157.

Common Factors in Credit Defaults Swap Markets

Computational Statistics, Vol. 30, No. 3, 2015
Number of pages: 19 Posted: 02 Mar 2016
Cathy Chen and Wolfgang Karl Härdle
Chung Hua University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 105 (556,382)

Abstract:

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

158.

Cryptocurrency Dynamics: Rodeo or Ascot?

Number of pages: 14 Posted: 06 Apr 2021 Last Revised: 08 Jan 2022
Konstantin Häusler and Wolfgang Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 104 (560,358)

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Cryptocurrency, SVCJ, Market Dynamics, Stochastic Volatility

159.

Nonparametric Estimation of Risk-Neutral Densities

SFB 649 Discussion Paper 2010-021
Number of pages: 31 Posted: 10 Jan 2017
Maria Grith, Wolfgang Karl Härdle and Melanie Schienle
Erasmus University Rotterdam (EUR) - Erasmus School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and Karlsruhe Institute of Technology (KIT)
Downloads 103 (564,334)
Citation 1

Abstract:

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

160.

Empirical Pricing Kernels and Investor Preferences

SFB 649 Discussion Paper 2007-017
Number of pages: 37 Posted: 09 Jan 2017
Kai Detlefsen, Wolfgang Karl Härdle and Rouslan Moro
Humboldt University of Berlin - Institute for Statistics and Econometrics, Blockchain Research Center Humboldt-Universität zu Berlin and German Institute for Economic Research (DIW Berlin)
Downloads 103 (564,334)
Citation 5

Abstract:

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

161.

Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

CFS Working Paper, No. 2009/18
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 06 Jun 2016
Nikolaus Hautsch, Wolfgang Karl Härdle and Andrija Mihoci
University of Vienna - Department of Statistics and Operations Research, Blockchain Research Center Humboldt-Universität zu Berlin and Brandenburg University of Technology (BTU)
Downloads 103 (564,334)
Citation 6

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

162.

Service Data Analytics and Business Intelligence

IRTG 1792 Discussion Paper 2020-002
Number of pages: 7 Posted: 25 Aug 2020
Dash Wu and Wolfgang Karl Härdle
University of Toronto - RiskLab and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 102 (568,296)

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Data Analytics, Business Intelligence Systems

163.

The Impact of News on US Household Inflation Expectations

SFB 649 Discussion Paper 2017-011
Number of pages: 14 Posted: 29 May 2017
Shih-Kang Chao, Wolfgang Karl Härdle, Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 102 (568,296)

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Inflation expectations, news impact, forecast disagreement

164.

Value-at-Risk Calculations with Time Varying Copulae

SFB 649 Discussion Paper 2005-004
Number of pages: 6 Posted: 09 Jan 2017
Enzo Giacomini and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 101 (572,351)

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165.

Numerics of Implied Binomial Trees

SFB 649 Discussion Paper 2008-044
Number of pages: 27 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Alena Mysickova
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 101 (572,351)
Citation 2

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

166.

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

SFB 649 Discussion Paper 2011-013
Number of pages: 27 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Maria Osipenko
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 101 (572,351)
Citation 2

Abstract:

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

167.

Penalized Adaptive Forecasting With Large Information Sets and Structural Changes

Number of pages: 53 Posted: 31 Aug 2018
Lenka Zboňáková, Lenka Zboňáková, Xinjue Li and Wolfgang Karl Härdle
Humboldt University of Berlin - Institute for Statistics and EconometricsHumboldt University of Berlin - Center for Applied Statistics and Economics (CASE), and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 100 (576,273)

Abstract:

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

168.

Dynamic Semi-Parametric Factor Model for Functional Expectiles

SFB 649 Discussion Paper 2017-027
Number of pages: 22 Posted: 11 Dec 2017
Petra Burdejova and Wolfgang Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 100 (576,273)

Abstract:

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Factor Model, Functional Data, Expectiles, Extremes

169.

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 Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 99 (580,249)
Citation 1

Abstract:

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

170.

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

SFB 649 Discussion Paper 2011-055
Number of pages: 38 Posted: 11 Dec 2017
Wolfgang Karl Härdle and Maria Osipenko
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 99 (580,249)
Citation 2

Abstract:

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Rainfall Derivatives, Equilibrium Pricing, Space-time Markov Model

171.

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 Karl Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 99 (580,249)

Abstract:

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

172.

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 14 Jul 2015
Wolfgang Karl Härdle, Wei Cui, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University College London and University of Yorkaffiliation not provided to SSRN
Downloads 99 (580,249)
Citation 1

Abstract:

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

173.

On SGX’s Voyage to Corporate Sustainability: Exploring Emerging Topics in Multi-Industry Corpora

Number of pages: 43 Posted: 18 Jan 2024
Xinwen Ni, Min-Bin Lin, Simon Schillebeeckx and Wolfgang Karl Härdle
School of Business and Economics, affiliation not provided to SSRN, Singapore Management University - Lee Kong Chian School of Business and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 98 (584,071)

Abstract:

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nsupervised learning, Latent Dirichlet Allocation (LDA), sustainability, Singapore Exchange (SGX)

174.

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 Karl Härdle and Juhyun Park
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Lancaster University
Downloads 98 (584,071)
Citation 1

Abstract:

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

175.

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

SFB 649 Discussion Paper 2014-016
Number of pages: 24 Posted: 05 Jan 2017
Stephan Stahlschmidt, Wolfgang Karl Härdle and Helmut Thome
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Martin Luther Universitat Halle Wittenberg
Downloads 97 (592,062)

Abstract:

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

176.

Semiparametric Regression Analysis Under Imputation for Missing Response Data

LSE STICERD Research Paper No. EM454
Number of pages: 42 Posted: 21 Jul 2008
Wolfgang Karl Härdle, Oliver B. Linton and Qihua Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University of Cambridge and AMSS
Downloads 97 (587,989)

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177.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang Karl Härdle, V. Spokoiny, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Yorkaffiliation not provided to SSRN
Downloads 96 (592,062)

Abstract:

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

178.

State Price Densities Implied from Weather Derivatives

Wolfgang Karl Härdle, Brenda López-Cabrera, and Huei-Wen Teng. State price densities implied from weather derivatives. Insurance: Mathematics and Economics, 64:106–125, 2015. doi:10.1016/j.insmatheco.2015.05.001
Number of pages: 35 Posted: 06 May 2016 Last Revised: 10 Nov 2023
Wolfgang Karl Härdle, Brenda López Cabrera and Huei-Wen Teng
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and National Chiao Tung University
Downloads 96 (592,062)
Citation 1

Abstract:

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

179.

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 Karl Härdle and Ya'acov Ritov
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Hebrew University of Jerusalem
Downloads 95 (595,998)
Citation 1

Abstract:

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

180.

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

SFB 649 Discussion Paper 2011-085
Number of pages: 39 Posted: 07 Jan 2017
Alena Mysickova, Song Song, Piotr Majer, Peter Mohr, Hauke Heekeren and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Free University of Berlin (FUB), Free University of Berlin (FUB) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 95 (595,998)
Citation 3

Abstract:

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

181.

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 Karl Härdle and Yuichi Mori
George Mason University, Blockchain Research Center Humboldt-Universität zu Berlin and Okayama University of Sciences
Downloads 94 (600,017)

Abstract:

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

182.

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

SFB 649 Discussion Paper No. 2012-031
Number of pages: 33 Posted: 25 Aug 2013
Wolfgang Karl Härdle, Nikolaus Hautsch and Andrija Mihoci
Blockchain Research Center Humboldt-Universität zu Berlin, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 94 (600,017)
Citation 8

Abstract:

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

183.

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

IRTG 1792 Discussion Paper No. 2018-010
Number of pages: 26 Posted: 30 Jul 2018
Wolfgang Karl Härdle and Chengxiu Ling
Blockchain Research Center Humboldt-Universität zu Berlin and University of Lausanne, Department of Actuarial Science
Downloads 93 (604,001)

Abstract:

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

184.

Pricing of Asian Temperature Risk

SFB 649 Discussion Paper 2009-046
Number of pages: 34 Posted: 11 Dec 2017
Fred Espen Benth, Wolfgang Karl Härdle and Brenda López Cabrera
University of Oslo, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 93 (604,001)
Citation 2

Abstract:

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

185.

Shape Invariant Modelling Pricing Kernels and Risk Aversion

SFB 649 Discussion Paper 2009-041
Number of pages: 33 Posted: 09 Jan 2017
Maria Grith, Wolfgang Karl Härdle and Juhyun Park
Erasmus University Rotterdam (EUR) - Erasmus School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and Lancaster University
Downloads 93 (604,001)
Citation 5

Abstract:

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pricing kernels, risk aversion, risk neutral density

186.

Generalized Single-Index Models: The EFM Approach

SFB 649 Discussion Paper 2009-050
Number of pages: 39 Posted: 09 Jan 2017
Xia Cui, Wolfgang Karl Härdle and Lixing Zhu
Sun Yat-sen University (SYSU), Blockchain Research Center Humboldt-Universität zu Berlin and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 93 (604,001)
Citation 3

Abstract:

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

187.

The Common and Specific Components of Inflation Expectation Across European Countries

Number of pages: 33 Posted: 29 Sep 2020
Shi Chen, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 92 (608,091)

Abstract:

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

188.

Reference Dependent Preferences and the EPK Puzzle

SFB 649 Discussion Paper No. 2013-023
Number of pages: 37 Posted: 05 Jan 2017
Maria Grith, Wolfgang Karl Härdle and Volker Krätschmer
Erasmus University Rotterdam (EUR) - Erasmus School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and University of Duisburg-Essen
Downloads 92 (608,091)
Citation 4

Abstract:

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

189.

Investor -Fund Manager Behavioral Discrepancy: Does It Affect Portfolio Performance?

Number of pages: 38 Posted: 20 Sep 2024
Wolfgang Karl Härdle, Qingfu Liu, Wang Chuanjie and Xiaorui ZUO
Blockchain Research Center Humboldt-Universität zu Berlin, Fudan University - School of Economics, affiliation not provided to SSRN and National University of Singapore (NUS)
Downloads 91 (612,206)

Abstract:

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190.

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

Number of pages: 50 Posted: 05 Sep 2020
Xinjue Li, Lenka Zboňáková, Lenka Zboňáková, Weining Wang, Weining Wang and Wolfgang Karl Härdle
, Humboldt University of Berlin - Institute for Statistics and EconometricsHumboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of Yorkaffiliation not provided to SSRN and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 91 (612,206)

Abstract:

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

191.

Yxilon – a Client/Server Based Statistical Environment

SFB 649 Discussion Paper 2007-036
Number of pages: 9 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 91 (612,206)

Abstract:

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E-learning, Statistical Software

192.

Modeling Dependencies in Finance Using Copulae

SFB 649 Discussion Paper 2008-043
Number of pages: 38 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Ostap Okhrin and Yarema Okhrin
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 91 (612,206)

Abstract:

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Distribution functions, Dimension Reduction, Risk management, Statistical models

193.

Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics

SFB 649 Discussion Paper 2012-048
Number of pages: 33 Posted: 07 Jan 2017
Wolfgang Karl Härdle and Piotr Majer
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 91 (612,206)
Citation 7

Abstract:

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

194.

Shapley Curves: A Smoothing Perspective

Number of pages: 36 Posted: 06 Dec 2022
Ratmir Miftachov, Georg Keilbar and Wolfgang Karl Härdle
Humboldt University of Berlin - IRTG 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 90 (616,452)

Abstract:

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Shapley curves, nonparametric statistics, explainable ML, additive models, smoothing techniques

195.

Phenotypic Convergence of Cryptocurrencies

IRTG 1792 Discussion Paper 2019-018
Number of pages: 44 Posted: 31 Aug 2020
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Karl Härdle, Michalis Kolossiatis and Yannis G. Yatracos
Bucharest University of Economic Studies, Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, University of Cyprus and Tsinghua University - Yau Mathematical Sciences Center
Downloads 90 (616,452)

Abstract:

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

196.

On the Utility of E-Learning in Statistics

SFB 649 Discussion Paper 2007-050
Number of pages: 16 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 90 (616,452)

Abstract:

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E-Learning, Statistics, Web-based Learning

197.

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 Karl Härdle, Ya'acov Ritov, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Hebrew University of Jerusalem and University of Yorkaffiliation not provided to SSRN
Downloads 90 (616,452)

Abstract:

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

198.

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

Number of pages: 44 Posted: 05 Sep 2020
Kun Ho Kim, Shih-Kang Chao and Wolfgang Karl Härdle
affiliation not provided to SSRN, University of Missouri at Columbia and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 88 (625,117)
Citation 1

Abstract:

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

199.

Kernel Estimation: the Equivalent Spline Smoothing Method

Number of pages: 28 Posted: 25 Aug 2020
Wolfgang Karl Härdle and Michael Nussbaum
Blockchain Research Center Humboldt-Universität zu Berlin and affiliation not provided to SSRN
Downloads 88 (625,117)

Abstract:

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

200.

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 Karl Härdle and Brenda López Cabrera
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 88 (625,117)

Abstract:

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Regularization, Energy Risk Transmission, Network, German Energy Market

201.

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 Karl Härdle, Saeideh Aliakbari and Linda Hoffman
Brunel University London, Blockchain Research Center Humboldt-Universität zu Berlin, Brunel University London and Humboldt University of Berlin
Downloads 88 (625,117)
Citation 1

Abstract:

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Credit risk, Bankruptcy, Asian companies, SVM

202.

SONIC: SOcial Network with Influencers and Communities

Number of pages: 55 Posted: 05 Sep 2020
Cathy Yi‐Hsuan Chen, Wolfgang Karl Härdle and Yegor Klochkov
University of Glasgow, Adam Smith Business School, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 87 (629,507)

Abstract:

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

203.

Forecasting in Blockchain-based Local Energy Markets

IRTG 1792 Discussion Paper 2019-014
Number of pages: 24 Posted: 31 Aug 2020
Michael Kostmann and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 87 (629,507)

Abstract:

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

204.

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 Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of St. Gallen - SEPS: Economics and Political Sciences and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 87 (638,565)
Citation 1

Abstract:

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205.

Uniform Confidence Bands for Pricing Kernels

SFB 649 Discussion Paper 2010-003
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Yarema Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University of Augsburg and University of Yorkaffiliation not provided to SSRN
Downloads 86 (634,012)
Citation 9

Abstract:

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

206.

Copula Dynamics in CDOs

SFB 649 Discussion Paper 2012-032
Number of pages: 25 Posted: 07 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang Karl Härdle and Ludger Overbeck
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Giessen
Downloads 86 (638,565)

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

207.

Time Varying Hierarchical Archimedean Copulae

SFB 649 Discussion Paper 2010-018
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Ostap Okhrin and Yarema Okhrin
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Downloads 85 (638,565)
Citation 12

Abstract:

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copula, multivariate distribution, Archimedean copula, adaptive estimation

208.

Constrained Kelly Portfolios Under Alpha-Stable Laws

IRTG 1792 Discussion Paper 2019-004
Number of pages: 25 Posted: 31 Aug 2020
Niels Wesselhöfft and Wolfgang Karl Härdle
Humboldt Universität zu Berlin | IRTG 1792 and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 84 (643,084)

Abstract:

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

209.

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 Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 84 (643,084)
Citation 1

Abstract:

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

210.

Statistics of Risk Aversion

SFB 649 Discussion Paper 2007-025
Number of pages: 11 Posted: 09 Jan 2017
Enzo Giacomini and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 84 (643,084)

Abstract:

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Dynamic Semiparametric Estimation, Pricing Kernel, Risk Aversion

211.

Localized Realized Volatility Modelling

SFB 649 Discussion Paper 2009-003
Number of pages: 36 Posted: 09 Jan 2017
Ying Chen, Wolfgang Karl Härdle and Uta Pigorsch
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim
Downloads 84 (643,084)
Citation 21

Abstract:

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Localized Autoregressive Modeling, Realized Volatility, Adaptive Procedure

212.

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 Karl Härdle and Julius Mungo
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 84 (643,084)

Abstract:

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

213.

Adaptive Interest Rate Modelling

SFB 649 Discussion Paper 2010-029
Number of pages: 30 Posted: 09 Jan 2017
Mengmeng Guo and Wolfgang Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 83 (647,695)
Citation 1

Abstract:

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

214.

Robust Econometrics

SFB 649 Discussion Paper 2006-050
Number of pages: 33 Posted: 09 Jan 2017
Pavel Cizek and Wolfgang Karl Härdle
Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 82 (652,196)

Abstract:

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215.

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 Karl Härdle
Soochow University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 82 (652,196)
Citation 1

Abstract:

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Markov chain, ARFIMA process, Viterbi algorithm, Long memory

216.

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 Karl Härdle
Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 82 (652,196)
Citation 1

Abstract:

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E-learning, Evaluation, Statistical software

217.

Cooling Measures and Housing Wealth: Evidence from Singapore

Number of pages: 44 Posted: 14 Oct 2019 Last Revised: 26 Aug 2021
Wolfgang Karl Härdle, Rainer Schulz and Taojun Xie
Blockchain Research Center Humboldt-Universität zu Berlin, University of Aberdeen - Health Economics Research Unit and National University of Singapore (NUS) - Asia Competitiveness Institute
Downloads 81 (656,870)
Citation 6

Abstract:

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house price distribution, stochastic dominance tests

218.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang Karl Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 81 (656,870)

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

219.

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 Karl Härdle and Shih-Feng Huan
National Cheng Kung University, National Sun Yat-sen University, Blockchain Research Center Humboldt-Universität zu Berlin and National Sun Yat-sen University
Downloads 80 (661,620)
Citation 1

Abstract:

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

220.

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 Karl Härdle, Yuh-Jye Lee, Dorothea Schaefer and Yi-Ren Yeh
Blockchain Research Center Humboldt-Universität zu Berlin, National Taiwan University of Science and Technology, German Institute for Economic Research (DIW Berlin) and National Taiwan University of Science and Technology
Downloads 80 (661,620)
Citation 4

Abstract:

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

221.

Modeling Asset Prices

SFB 649 Discussion Paper 2010-031
Number of pages: 29 Posted: 09 Jan 2017
James E. Gentle and Wolfgang Karl Härdle
George Mason University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 80 (661,620)

Abstract:

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

222.

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 Karl Härdle and Pham Thu Hien
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 78 (671,441)
Citation 3

Abstract:

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

223.

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 Karl Härdle, Chen Huang and Shih-Kang Chao
Blockchain Research Center Humboldt-Universität zu Berlin, Aarhus University - Department of Economics and Business Economics and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 77 (676,304)

Abstract:

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

224.

On the Appropriateness of Inappropriate VAR Models

SFB 649 Discussion Paper 2006-003
Number of pages: 26 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Zdeněk Hlávka and Gerhard Stahl
Blockchain Research Center Humboldt-Universität zu Berlin, Charles University in Prague and European Union - Committee of the Regions
Downloads 76 (681,358)

Abstract:

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

225.

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

Number of pages: 33 Posted: 27 Aug 2021
Wolfgang Karl Härdle and Yuanhua Feng
Blockchain Research Center Humboldt-Universität zu Berlin and University of Paderborn
Downloads 75 (686,357)

Abstract:

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

226.

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 Karl Härdle and Maria Osipenko
Gazi University, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 75 (686,357)

Abstract:

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

227.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang Karl Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 75 (686,357)
Citation 1

Abstract:

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

228.

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 Karl Härdle
Soochow University, University of Toledo, Soochow University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 75 (686,357)
Citation 1

Abstract:

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

229.

Financial Risk Meters in Taiwan's High-Cap Sectors

Number of pages: 34 Posted: 10 Apr 2024 Last Revised: 18 Dec 2024
Siang-Li Jheng, Huei-Wen Teng and Wolfgang Karl Härdle
National Chiao Tung University, National Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 73 (696,846)

Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Systemic Risk, Recession, Taiwan Market, Financial Network, Co-stress

230.

Time Series Modelling with Semiparametric Factor Dynamics

SFB 649 Discussion Paper 2007-023
Number of pages: 41 Posted: 09 Jan 2017
Szymon Borak, Wolfgang Karl Härdle, Enno Mamme and Byeong U. Park
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, University of Mannheim and Seoul National University
Downloads 73 (696,846)
Citation 23

Abstract:

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

231.

E-Learning Statistics - A Selective Review

SFB 649 Discussion Paper 2006-024
Number of pages: 15 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 73 (696,846)

Abstract:

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

232.

Pricing Kernel (Non)Monotonicity and conditional information

Number of pages: 40 Posted: 27 Feb 2025
Lei Zhou, Ruting Wang, Wolfgang Karl Härdle, Xiaorui ZUO and Levin Schach
National University of Singapore (NUS), Sun Yat-sen University (SYSU) - School of Business, Blockchain Research Center Humboldt-Universität zu Berlin, National University of Singapore (NUS) and Humboldt-University of Berlin
Downloads 72 (707,611)

Abstract:

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JEL Classification: G12, G13, G23 Pricing kernel, Kernel Estimation, Risk-Neutral Density, Crypto Currency

233.

Graphical Data Representation in Bankruptcy Analysis

SFB 649 Discussion Paper 2006-015
Number of pages: 24 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Rouslan Moro and Dorothea Schaefer
Blockchain Research Center Humboldt-Universität zu Berlin, German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW Berlin)
Downloads 72 (702,212)

Abstract:

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

234.

Common Functional Principal Components

Number of pages: 35 Posted: 08 Jan 2017
Wolfgang Karl Härdle and Alois Kneip
Blockchain Research Center Humboldt-Universität zu Berlin and University of Bonn
Downloads 72 (702,212)

Abstract:

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235.

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 Karl Härdle, Taleb Ahmad and Julius Mungo
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 71 (707,611)
Citation 1

Abstract:

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electronic books, Arabtex, MM*STAT, Statistical software

236.

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 Karl Härdle and Keming Yu
Wuhan University of Technology, Blockchain Research Center Humboldt-Universität zu Berlin and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 70 (713,226)

Abstract:

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

237.

Statistical Inference for Generalized Additive Partially Linear Model

Journal of Multivariate Analysis, Volume 162, November 2017, Pages 1-15
Number of pages: 47 Posted: 17 Nov 2020
Rong Liu, Wolfgang Karl Härdle and Guoiy Zhang
University of Toledo, Blockchain Research Center Humboldt-Universität zu Berlin and affiliation not provided to SSRN
Downloads 69 (718,841)

Abstract:

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

238.

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 Karl Härdle and Julius Mungo
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 69 (718,841)
Citation 1

Abstract:

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

239.

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 Karl Härdle
AMSS, China Agricultural University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 69 (718,841)

Abstract:

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

240.

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 Karl Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 69 (718,841)

Abstract:

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expectiles, tail risk, local parametric approach, risk management

241.

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 Karl Härdle
Humboldt University of Berlin, Brandenburg University of Technology (BTU) and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 69 (718,841)

Abstract:

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

242.

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 Karl Härdle, Sigbert Klinke and Shafeeqah Al Ahwadi
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Department of Communication Disorders Sciences
Downloads 68 (724,627)

Abstract:

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

243.

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 Karl Härdle
Michigan State University, Michigan State University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 67 (730,289)
Citation 1

Abstract:

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

244.

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

IRTG 1792 Discussion Paper 2018-059
Number of pages: 27 Posted: 31 Aug 2020
Lenka Zbonakova, Ricardo Monti and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), affiliation not provided to SSRN and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 66 (736,178)
Citation 2

Abstract:

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

245.

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 Karl Härdle and Volker Kratschmer
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Berlin University of Technology
Downloads 66 (736,178)
Citation 1

Abstract:

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dynamic factor models, dimension reduction, risk neutral density

246.

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 Karl Härdle
Gazi University, Humboldt University of Berlin and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 66 (736,178)
Citation 1

Abstract:

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

247.

Integrable E-Lements for Statistics Education

SFB 649 Discussion Paper 2005-058
Number of pages: 15 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Sigbert Klinke and Uwe Ziegenhagen
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 65 (741,963)
Citation 1

Abstract:

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

248.

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 Karl Härdle and Lijian Yang
Soochow University, University of Georgia, Blockchain Research Center Humboldt-Universität zu Berlin and Soochow University
Downloads 65 (741,963)

Abstract:

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

249.

Nonparametric Productivity Analysis

SFB 649 Discussion Paper 2005-013
Number of pages: 18 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Seok-Oh Jeong
Blockchain Research Center Humboldt-Universität zu Berlin and Catholic University of Louvain
Downloads 64 (748,042)
Citation 2

Abstract:

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250.

De Copulis Non Est Disputandum - Copulae: An Overview

SFB 649 Discussion Paper 2009-031
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Ostap Okhrin
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - School of Business and Economics
Downloads 64 (748,042)
Citation 2

Abstract:

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

251.

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 Karl Härdle
Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Texas State University, Hong Kong Baptist University (HKBU) - Department of Mathematics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 64 (748,042)

Abstract:

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

252.

Increasing Weather Risk: Fact or Fiction?

Number of pages: 17 Posted: 08 Jan 2017
Weining Wang, Weining Wang, Ihtiyor Bobojonov, Wolfgang Karl Härdle and Martin Odening
University of Yorkaffiliation not provided to SSRN, Humboldt University of Berlin - Department of Agricultural Economics and Social Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 63 (754,205)

Abstract:

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

253.

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

IRTG 1792 Discussion Paper 2020-001
Number of pages: 23 Posted: 25 Aug 2020
Shiyi Chen, Wolfgang Karl Härdle and Li Wang
Fudan University - School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and East China Normal University (ECNU)
Downloads 62 (760,498)
Citation 2

Abstract:

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Nonparametric Methods, Commercial Banks, Shadow Bank, Financial Risk

254.

Time Dependent Relative Risk Aversion

Number of pages: 39 Posted: 09 Jan 2017
Enzo Giacomini, Michael Handel and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nagler & Company and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 62 (760,498)
Citation 1

Abstract:

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risk aversion, pricing kernels, time dependent preferences

255.

How to Measure the Performance of a Collaborative Research Center

Scientometrics 2018, Volume 117, pages 1023 to 1040
Number of pages: 20 Posted: 16 Nov 2020
Alona Zharova, Janine Tellinger-Rice and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 61 (773,393)

Abstract:

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

256.

Estimating Low Sampling Frequency Risk Measure by High-Frequency Data

IRTG 1792 Discussion Paper 2019-003
Number of pages: 27 Posted: 31 Aug 2020
Niels Wesselhöfft and Wolfgang Karl Härdle
Humboldt Universität zu Berlin | IRTG 1792 and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 61 (766,895)

Abstract:

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

257.

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 Karl Härdle
Michigan State University, Seoul National University, Oregon State University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 61 (766,895)
Citation 3

Abstract:

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

258.

Testing Monotonicity of Pricing Kernels

SFB 649 Discussion Paper 2008-001
Number of pages: 28 Posted: 09 Jan 2017
Yuri Golubev, Wolfgang Karl Härdle and Roman Vladimirovich Timofeev
CMI Université de Provence, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 60 (773,393)
Citation 8

Abstract:

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Risk Aversion, Pricing kernel

259.

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

Macroeconomic Dynamics, Volume 24, Issue 4 June 2020, pp. 995-1015
Number of pages: 32 Posted: 16 Nov 2020
Ben Zhe Wang, Jeffrey Sheen, Stefan Trück, Shih-Kang Chao and Wolfgang Karl Härdle
Macquarie University, Macquarie Business School, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, University of Missouri at Columbia and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 59 (779,960)

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

260.

QuantNet – a Database-Driven Online Repository of Scientific Information

Number of pages: 26 Posted: 09 Jan 2017
Anton Andriyashin and Wolfgang Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 59 (779,960)

Abstract:

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

261.

Inhomogeneous Dependency Modelling with Time Varying Copulae

SFB 649 Discussion Paper 2006-075
Number of pages: 51 Posted: 09 Jan 2017
Enzo Giacomini, Wolfgang Karl Härdle, V. Spokoiny and Ekaterina Ignatieva
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 59 (779,960)
Citation 4

Abstract:

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

262.

Color Harmonization in Car Manufacturing Process

SFB 649 Discussion Paper 2006-071
Number of pages: 20 Posted: 09 Jan 2017
Anton Andriyashin, Michal Benko, Wolfgang Karl Härdle, Roman Vladimirovich Timofeev and Uwe Ziegenhagen
Humboldt University of Berlin - Center for Applied Statistics and Economics, Humboldt University of Berlin - Institute for Statistics and Econometrics, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 59 (779,960)

Abstract:

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263.

The Stochastic Fluctuation of the Quantile Regression Curve

SFB 649 Discussion Paper 2008-027
Number of pages: 26 Posted: 09 Jan 2017
Wolfgang Karl Härdle and Song Song
Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 58 (786,704)

Abstract:

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

264.

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

Number of pages: 31 Posted: 03 Jul 2015
Petra Burdejova, Wolfgang Karl Härdle, Piotr Kokoszka and Q. Xiong
Humboldt University of Berlin - School of Business and Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Utah State University - Department of Mathematics & Statistics and Humboldt University of Berlin
Downloads 57 (793,413)
Citation 2

Abstract:

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

265.

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 Karl Härdle
Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 56 (800,522)

Abstract:

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pricing kernels, risk aversion, risk neutral density

266.

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 Karl Härdle
Hebrew University of Jerusalem and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 56 (800,522)

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

267.

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 Karl Härdle, Julius Mungo and Carsten Trenkler
University of Konstanz - Department of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and University of Mannheim
Downloads 55 (807,671)
Citation 1

Abstract:

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

268.

Working with the XQC

SFB 649 Discussion Paper 2005-010
Number of pages: 18 Posted: 09 Jan 2017 Last Revised: 11 Dec 2017
Wolfgang Karl Härdle and Heiko Lehmann
Blockchain Research Center Humboldt-Universität zu Berlin and Deutsche Telekom AG - Deutsche Telekom Laboratories
Downloads 54 (814,985)

Abstract:

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269.

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 Karl Härdle
Fudan University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 52 (829,896)
Citation 65

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

270.

Financial Risk Meters in Taiwan’s High-Cap Sectors

Number of pages: 35 Posted: 02 Jan 2025
Siang-Li Jheng, Huei-Wen Teng and Wolfgang Karl Härdle
National Chiao Tung University, National Chiao Tung University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 48 (861,450)

Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Systemic Risk, Recession, Taiwan Market, Financial Network

271.

Dynamic Forward Intensities for Multiperiod Default 

Number of pages: 34 Posted: 16 Jul 2024
Dedy Dwi Prastyo, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Institute of Technology Sepuluh Nopember (ITS) - Department of Statistics, International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 46 (886,586)

Abstract:

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Forward default intensity, Local adaptive, Mutiperiod prediction

272.

Dynamic Forward Intensities for Multiperiod Default

Number of pages: 34 Posted: 17 Jun 2024
Dedy Dwi Prastyo, Kainat Khowaja, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Institute of Technology Sepuluh Nopember (ITS) - Department of Statistics, International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 45 (886,586)

Abstract:

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Forward default intensity, Local adaptive, Mutiperiod prediction

273.

Option Returns and the risk-free Rate in Crypto Asset Markets

Number of pages: 23 Posted: 07 May 2025
Julian Winkel, Wolfgang Karl Härdle, Lei Zhou and Ying Chen
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Mathematics
Downloads 37 (961,242)

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JEL Classification: C14, C50, G10 Bitcoin, Ether, Deribit, risk premium, volatility premium, option, risk-free rate, perpetual future

274.

Which risk do crypto index investments have?

Number of pages: 45 Posted: 04 Feb 2025
Huei-Wen Teng, Matúš Horváth, Meng-Jou Lu and Wolfgang Karl Härdle
National Chiao Tung University, Masaryk University, Faculty of Economics and Administration - Department of Finance, Asia University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 34 (991,785)

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Cryptocurrency index, CRIX, portfolio, Spectral Risk Measure, VaR, Expected Shortfall

275.

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

J Asset Management (2018) 19:49–63 https://doi.org/10.1057/s41260-017-0060-9
Posted: 05 Jan 2017 Last Revised: 27 Dec 2022
Wolfgang Karl Härdle, David Kuo Chuen Lee, Sergey Nasekin and Alla Petukhina
Blockchain Research Center Humboldt-Universität zu Berlin, Singapore University of Social Sciences (SUSS), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business

Abstract:

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

276.

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 Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Free University of Berlin (FUB), Free University of Berlin (FUB) and Blockchain Research Center Humboldt-Universität zu Berlin

Abstract:

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

277.

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 Karl Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Ruhr University of Bochum, Ruhr University of Bochum - Faculty of Mathematics and Blockchain Research Center Humboldt-Universität zu Berlin

Abstract:

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

278.

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 Karl Härdle and Enno Mammen
University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim - Department of Economics

Abstract:

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

279.

Time Inhomogeneous Multiple Volatility Modeling

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 55-95, 2003
Posted: 29 Feb 2008
Wolfgang Karl Härdle, Helmut Herwartz and V. Spokoiny
Blockchain Research Center Humboldt-Universität zu Berlin, 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

280.

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 Karl Härdle and Matthias R. Fengler
affiliation not provided to SSRN, Blockchain Research Center Humboldt-Universität zu Berlin and University of St. Gallen - SEPS: Economics and Political Sciences

Abstract:

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281.

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

Working Paper No. 62
Posted: 22 May 2000
Peter Hall, Wolfgang Karl Härdle, Torsten Kleinow and Peter Schmidt
Australian National University (ANU) - Department of Mathematics, Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin and affiliation not provided to SSRN

Abstract:

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282.

Computerassisted Semiparametric Generalized Linear Models

COMPUTATIONAL STATISTICS, Vol 12 No 2, March 26, 1997
Posted: 29 Apr 1997
Marlene Müller, Bernd Ronz and Wolfgang Karl Härdle
Beuth University of Applied Sciences Berlin, Humboldt-Universitat zu Berlin and Blockchain Research Center Humboldt-Universität zu Berlin

Abstract:

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