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Browsing by Author "Härdle, Wolfgang Karl"
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2000-02-24BuchA Bootstrap Test for Single Index Models Härdle, Wolfgang Karl; Mammen, Enno; Proença, Isabel
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2011-01-03DiskussionspapierA Confidence Corridor for Expectile Functions Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang KarlLet (X1; Y1), …, (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown τ - expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency ...
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2011-01-03DiskussionspapierA Confidence Corridor for Sparse Longitudinal Data Curves Zheng, Shuzhuan; Yang, Lijian; Härdle, Wolfgang KarlLongitudinal data analysis is a central piece of statistics. The data are curves and they are observed at random locations. This makes the construction of a simultaneous confidence corridor (SCC) (confidence band) for the ...
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2008-01-07DiskussionspapierA Consistent Nonparametric Test for Causality in Quantile Jeong, Kiho; Härdle, Wolfgang KarlThis paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in ...
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2017-10-20ZeitschriftenartikelA Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk Härdle, Wolfgang Karl; Osipenko, MariaWeather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for ...
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2005-03-06DiskussionspapierA Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, EnnoA primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional ...
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2016-08-30DiskussionspapierA first econometric analysis of the CRIX family Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Lee, TM; Ong, BobbyThe CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on different ...
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2007-04-25DiskussionspapierA Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter Tsay, Wen-Jen; Härdle, Wolfgang KarlWe propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models ...
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2009-03-23DiskussionspapierA Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics Cao, Ji; Härdle, Wolfgang Karl; Mungo, JuliusAs a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation ...
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2009-02-17DiskussionspapierA Microeconomic Explanation of the EPK Paradox Härdle, Wolfgang Karl; Krätschmer, Volker; Moro, RouslanSupported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might ...
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2016-06-21DiskussionspapierA Mortality Model forMulti-populations Fang, Lei; Härdle, Wolfgang Karl; Park, JuhyunMortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element ...
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2018-11-14ZeitschriftenartikelA Note on the Impact of News on US Household Inflation Expectations Wang, Ben; Sheen, Jeffrey; Trück, Stefan; Chao, Shih-Kang; Härdle, Wolfgang KarlMonthly disaggregated US data from 1978 to 2016 reveal that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when controlling for household personal characteristics, ...
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2014-01-03DiskussionspapierA Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data Gu, Lijie; Wang, Li; Härdle, Wolfgang Karl; Yang, LijianWe consider a varying coefficient regression model for sparse functional data, with time varying response variable depending linearly on some time independent covariates with coefficients as functions of time dependent ...
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2016-05-09DiskussionspapierAcademic Ranking Scales in Economics Zharova, Alona; Mihoci, Andrija; Härdle, Wolfgang KarlPublications are a vital element of any scientist’s career. It is not only the number of media outlets but aslo the quality of published research that enters decisions on jobs, salary, tenure, etc. Academic ranking scales ...
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2005-09-16BuchAdaptive Estimation for a Time Inhomogeneous Stochastic-Volatility Model Härdle, Wolfgang Karl; Teyssière, Gilles; Spokoiny, Vladimir
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2010-05-26DiskussionspapierAdaptive Interest Rate Modelling Guo, Mengmeng; Härdle, Wolfgang KarlA good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying ...
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2014-07-08DiskussionspapierAdaptive Order FlowForecasting withMultiplicativeError Models Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, Christopher Hian-AnnA flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict ...
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2008-01-07DiskussionspapierAdaptive pointwise estimation in time-inhomogeneous time-series models Cizek, Pavel; Härdle, Wolfgang Karl; Spokoiny, VladimirThis paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general ...
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2020-02-20ZeitschriftenartikelAdaptive weights clustering of research papers Adamyan, Larisa; Efimov, Kirill; Chen, Cathy Y.; Härdle, Wolfgang KarlThe JEL classification system is a standard way of assigning key topics to economic articles to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic Literature) ...
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2017-07-04DiskussionspapierAdaptive weights clustering of research papers Adamyan, Larisa; Efimov, Kirill; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang KarlThe JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic ...
