- edoc-Server Home
- Browsing by Author
Browsing by Author "Härdle, Wolfgang Karl"
Now showing items 41-60 of 258
-
2005-09-30BuchCommon Factors Governing VDAX Movements and the Maximum Loss Härdle, Wolfgang Karl; Schmidt, PeterBased on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to ...
-
2012-10-25BuchCommon factors in credit defaults swaps markets Chen, Yi-Hsuan; Härdle, Wolfgang KarlWe examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default ...
-
2005-03-01BuchCommon Functional Implied Volatility Analysis Benko, Michal; Härdle, Wolfgang KarlTrading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the ...
-
2006-01-30BuchCommon Functional Principal Components Benko, Michal; Härdle, Wolfgang Karl; Kneip, AloisFunctional principal component analysis (FPCA) based on the Karhunen-Loève decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional ...
-
2006-06-07BuchComponent Analysis for Additive Models Härdle, Wolfgang Karl; Sperlich, Stefan; Spokoiny, VladimirWe consider the component analysis problem for a regression model with an additive structure. The problem is to check the hypothesis of linearity for each component without specifying the structure of the remaining components. ...
-
2013-02-13BuchComposite Quantile Regression for the Single-Index Model Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, LixingQuantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one ...
-
2012-01-05BuchComputational Statistics (Journal)Härdle, Wolfgang Karl; Mori, Yuichi; Symanzik, JürgenComputational Statistics is an international journal that fosters the publication of applications and methodological research in the field of computational statistics. In this article, we will discuss the motivation, ...
-
2007-04-19BuchComputational Statistics and Data Visualization Unwin, Antony; Chen, Chun-houh; Härdle, Wolfgang KarlThis book is the third volume of the Handbook of Computational Statistics and covers the field of Data Visualization. In line with the companion volumes, it contains a collection of chapters by experts in the field to ...
-
2003-04-22Berichte und sonstige TexteComputational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security Aydinli, Gökhan; Härdle, Wolfgang Karl; Neuwirth, E.The use of electronic spreadsheets as the primary software tool for teaching management science modeling techniques and quantitative methods in economics and finance undoubtedly played a key role in the increasing impact ...
-
2003-04-22BuchComputational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security Aydinli, Gökhan; Härdle, Wolfgang Karl; Neuwirth, ErichThe use of electronic spreadsheets as the primary software tool for teaching management science modeling techniques and quantitative methods in economics and finance undoubtedly played a key role in the increasing impact ...
-
2017-06-08BuchComputing Machines Berg, Torsten van den; Bommes, Elisabeth; Härdle, Wolfgang Karl; Petukhina, AllaThe computer has always enabled statisticians to carry out their tasks effectively and through subsequent developments in digital technology, with increasing efficiency. Technology has also enabled statisticians to identify ...
-
2009-11-04ZeitschriftenartikelConfidence bands in quantile regression Härdle, Wolfgang Karl; Song, SongLet (X1, Y1), …, (Xn, Yn) be independent and identically distributed random variables and let l(x) be the unknown p-quantile regression curve of Y conditional on X. A quantile smoother ln(x) is a localized, nonlinear ...
-
2014-05-16BuchConfidence Corridorsfor MultivariateGeneralizedQuantile Regression Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; Härdle, Wolfgang KarlWe focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable ...
-
1999-02-26BuchConnected Teaching of Statistics Härdle, Wolfgang Karl; Klinke, Sigbert; Marron, J. S.Statistics is considered to be a difficult science since it requires a variety of skills including handling of quantitative data, graphical insights as well as mathematical ability. Yet ever increasing special knowledge ...
-
2006-11-14BuchConvenience Yields for CO2 Emission Allowance Futures Contracts Borak, Szymon; Härdle, Wolfgang Karl; Trück, Stefan; Weron, RafalIn January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formallyentered into operation.Within the new trading system, the right to emit a particularamount of CO2 becomes a tradable commodity - called EU ...
-
2012-04-08BuchCopula Dynamics in CDOs Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; Overbeck, LudgerValues of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on ...
-
2015-08-24BuchCopula-Based Factor Model for Credit Risk Analysis Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang KarlA standard quantitative method to access credit risk employs a factor model based on joint multi- variate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default ...
-
2016-11-02DiskussionspapierCredit Rating Score Analysis Härdle, Wolfgang Karl; Fai, Phoon Kok; Chuen, David Lee KuoWe analyse a sample of funds and other securities each assigned a total rating score by an unknown expert entity. The scores are based on a number of risk and complexity factors, each assigned a category (factor score) of ...
-
2014-05-09BuchCredit Risk Calibrationbased on CDS Spreads Chao, Shih-Kang; Härdle, Wolfgang Karl; Pham-Thu, HienAs observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by ...
-
2016-05-24BuchCRIX an Indexfor blockchainbased Currencies Trimborn, Simon; Härdle, Wolfgang KarlThe S&P500 or DAX30 are important benchmarks for the financial industry. These and other indices describe different compositions of certain segments of the financial markets. For currency markets, the IMF offers the index ...
