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subject:"Schätztheorie"
~language:"eng"
~person:"Härdle, Wolfgang"
~subject:"Factor analysis"
~subject:"Volatility"
~type_genre:"Article in journal"
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Schätztheorie
Factor analysis
Volatility
Theorie
47
Theory
47
Nichtparametrisches Verfahren
12
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12
Time series analysis
11
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Härdle, Wolfgang
McAleer, Michael
40
Phillips, Peter C. B.
33
Andrews, Donald W. K.
30
Bollerslev, Tim
26
Li, Qi
26
Newey, Whitney K.
26
Pesaran, M. Hashem
26
Bai, Jushan
25
Baltagi, Badi H.
23
Gupta, Rangan
22
Ohtani, Kazuhiro
21
Ghysels, Eric
20
Giles, David E. A.
20
Granger, C. W. J.
18
Horowitz, Joel
18
Perron, Pierre
18
Diebold, Francis X.
17
King, Maxwell L.
17
Krämer, Walter
17
Lee, Lung-fei
17
Marcellino, Massimiliano
17
Robinson, Peter M.
17
Ullah, Aman
17
Gouriéroux, Christian
16
Linton, Oliver
16
Srivastava, Virendra K.
16
Tauchen, George Eugene
16
Andersen, Torben
15
Asai, Manabu
15
Bekaert, Geert
15
Caporale, Guglielmo Maria
15
Franses, Philip Hans
15
Hahn, Jinyong
15
Koopman, Siem Jan
15
Lütkepohl, Helmut
15
Schmidt, Peter
15
Wooldridge, Jeffrey M.
15
Aït-Sahalia, Yacine
14
Bera, Anil K.
14
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Econometric theory
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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1
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ECONIS (ZBW)
18
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1
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting
;
Potì, Valerio
;
Härdle, Wolfgang
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Saved in:
2
VCRIX : a volatility index for crypto-currencies
Kim, Alisa
;
Trimborn, Simon
;
Härdle, Wolfgang
- In:
International review of financial analysis
78
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013254312
Saved in:
3
Forex exchange rate forecasting using deep recurrent neural networks
Dautel, Alexander Jakob
;
Härdle, Wolfgang
;
Lessmann, Stefan
- In:
Digital finance : smart data analytics, investment …
2
(
2020
)
1/2
,
pp. 69-96
Persistent link: https://www.econbiz.de/10012284950
Saved in:
4
Copula-based factor model for credit risk analysis
Lu, Meng-Jou
;
Chen, Cathy Yi-Hsuan
;
Härdle, Wolfgang
- In:
Review of quantitative finance and accounting
49
(
2017
)
4
,
pp. 949-971
Persistent link: https://www.econbiz.de/10011797579
Saved in:
5
Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang
;
Majer, Piotr
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 1109-1129
Persistent link: https://www.econbiz.de/10011715314
Saved in:
6
Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
Song, Song
;
Härdle, Wolfgang
;
Ritov, Ya'acov
- In:
The econometrics journal
17
(
2014
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10010498722
Saved in:
7
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang
;
Hautsch, Nikolaus
;
Mihoci, Andrija
- In:
Journal of empirical finance
19
(
2012
)
4
,
pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
Saved in:
8
Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen
;
Härdle, Wolfgang
;
Jeong, Kiho
- In:
Journal of forecasting
29
(
2010
)
4
,
pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
Saved in:
9
Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo
;
Härdle, Wolfgang
;
Krätschmer, Volker
- In:
Advances in statistical analysis : AStA ; a journal of …
93
(
2009
)
4
,
pp. 387-402
Persistent link: https://www.econbiz.de/10003910560
Saved in:
10
A semiparametric factor model for implied volatility surface dynamics
Fengler, Matthias R.
;
Härdle, Wolfgang
;
Mammen, Enno
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
2
,
pp. 189-218
Persistent link: https://www.econbiz.de/10003518308
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