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Browsing by Author "Wang, Weining"
Now showing items 1-17 of 17
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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 ...
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2017-11-06DiskussionspapierDynamic Semiparametric Factor Model with a Common Break Chen, Likai; Wang, Weining; Wu, Wei BiaoFor change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading ...
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2015-11-02BuchEstimating inflation expectation co-movement across countries Chen, Shi; Härdle, Wolfgang Karl; Wang, WeiningInflation expectation is an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free ...
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2015-01-12BuchEstimation of NAIRU withInflation Expectation Data Cui, Wei; Härdle, Wolfgang Karl; Wang, WeiningEstimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment, inflation, and inflation expectation. However, existing literature falls short in endogenizing inflation ...
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2012-01-04BuchHMM in dynamic HAC models Härdle, Wolfgang Karl; Okhrin, Ostap; Wang, WeiningUnderstanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean ...
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2011-11-10BuchIncreasing Weather Risk Fact or Fiction?Wang, Weining; Bobojonov, Ihtiyor; Härdle, Wolfgang Karl; Odening, MartinIt is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the ...
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2011-01-03BuchLocal Quantile Regression Härdle, Wolfgang Karl; Spokoiny, Vladimir; Wang, WeiningConditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form ...
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2011-01-03BuchLocalising temperature risk Härdle, Wolfgang Karl; Cabrera, Brenda López; Okhrin, Ostap; Wang, WeiningOn the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A ...
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2016-11-23DiskussionspapierNetwork Quantile Autoregression Zhu, Xuening; Wang, Weining; Wang, Hangsheng; Härdle, Wolfgang KarlIt is a challenging task to understand the complex dependency structures in an ultra-high dimensional network, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile ...
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2014-01-31BuchNonparametric Estimates for Conditional Quantiles of Time Series Franke, Jürgen; Mwita, Peter; Wang, WeiningWe consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated ...
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2010-08-31BuchPrognose mit nichtparametrischen Verfahren Härdle, Wolfgang Karl; Schulz, Rainer; Wang, WeiningStatistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen j-dimensional beobachtbaren Variablen x = (x1,...xl) besteht. Kann der funktionale ...
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2012-01-25BuchQuantile 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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2014-11-03BuchTENET: Tail-Event drivenNETwork risk Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; Wang, WeiningWe propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable ...
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2013-10-28BuchTie the straps uniform bootstrap confidence bands for bounded influence curve estimatorsHärdle, Wolfgang Karl; Ritov, Ya‘acov; Wang, WeiningWe consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap ...
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2016-11-07DiskussionspapierTime Varying Quantile Lasso Zbonakova, Lenka; Härdle, Wolfgang Karl; Wang, WeiningIn the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by ...
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2010-01-19MasterarbeitUniform Confidence Band for Pricing Kernels Wang, WeiningPricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the ...
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2010-01-07BuchUniform confidence bands for pricing kernels Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, WeiningPricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the ...
