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Browsing by Author "Chao, Shih-Kang"
Now showing items 1-11 of 11
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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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2014-05-16DiskussionspapierConfidence 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 ...
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2014-05-09DiskussionspapierCredit 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 ...
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2016-12-29DiskussionspapierFactorisable Multi-Task Quantile Regression Chao, Shih-Kang; Härdle, Wolfgang Karl; Yuan, MingFor many applications, analyzing multiple response variables jointly is desirable because of their dependency, and valuable information about the distribution can be retrieved by estimating quantiles. In this paper, we ...
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2015-07-20DiskussionspapierFactorisable Sparse Tail Event Curves Chao, Shih-Kang; Härdle, Wolfgang Karl; Yuan, MingIn this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional quantiles and global comovement analysis on conditional ranges for high-dimensional data. The proposed ...
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2016-03-21DiskussionspapierFactorisable Sparse Tail Event Curves with Expectiles Härdle, Wolfgang Karl; Huang, Chen; Chao, Shih-KangOberwolfach Report: New Developments in Functional and Highly Multivariate Statistical Methodology
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2016-12-29DiskussionspapierMultivariate Factorisable Sparse Asymmetric Least Squares Regression Chao, Shih-Kang; Härdle, Wolfgang Karl; Huang, ChenMore and more data are observed in form of curves. Numerous applications in finance, neuroeconomics, demographics and also weather and climate analysis make it necessary to extract common patterns and prompt joint modelling ...
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2015-06-05DissertationQuantile regression in risk calibration Chao, Shih-KangDie Quantilsregression untersucht die Quantilfunktion QY |X (τ ), sodass ∀τ ∈ (0, 1), FY |X [QY |X (τ )] = τ erfu ̈llt ist, wobei FY |X die bedingte Verteilungsfunktion von Y gegeben X ist. Die Quantilsregression ermo ...
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2012-01-25DiskussionspapierQuantile Regression in Risk Calibration Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, WeiningFinancial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain ...
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2016-08-04DiskussionspapierSimultaneous Inference for the Partially Linear Model with a Multivariate Unknown Function when the Covariates are Measured with Errors Kim, Kun Ho; Chao, Shih-Kang; Härdle, Wolfgang KarlIn this paper, we analyze the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we ...
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2017-05-29DiskussionspapierThe impact of news on US household inflation expectations Chao, Shih-Kang; Härdle, Wolfgang Karl; Sheen, Jeffrey; Trück, Stefan; Wang, Ben ZheAnalysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when ...
