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The stochastic fluctuation of the quantile regression curve
Härdle, Wolfgang (contributor); Song, Song (contributor) - 2008
Persistent link: https://www.econbiz.de/10003693057
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Increasing weather risk : fact of fiction?
Wang, Weining; Bobojonov, Ihtiyor B.; Härdle, Wolfgang; … - 2011
It 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 application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10009379509
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286
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FRM Financial Risk Meter for emerging markets
Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang - 2021
Persistent link: https://www.econbiz.de/10012500180
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Common factors in credit defaults swaps markets
Chen, Yi-Hsuan; Härdle, Wolfgang - 2012
We 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 swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....
Persistent link: https://www.econbiz.de/10009634306
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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hangsheng; Härdle, … - 2016
connected nodes and node spe- ci c characteristics in a quantile autoregression process. A minimum contrast estimation approach …
Persistent link: https://www.econbiz.de/10011572028
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Monetary policy and wealth inequality over the great recession in the UK : an empirical analysis
Mumtaz, Haroon; Theophilopoulou, Angeliki - 2019
We use detailed micro information at household level from the Wealth and Assets Survey to construct measures of wealth inequality from 2005 to 2016 at the monthly frequency. We investigate the dynamic relationship between monetary policy and the evolution of wealth inequality measures. Our...
Persistent link: https://www.econbiz.de/10012120339
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A consistent nonparametric test for causality in quantile
Jeong, Kiho (contributor); Härdle, Wolfgang (contributor) - 2008
Persistent link: https://www.econbiz.de/10003636023
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Park, Byeong U.; Xue, Lan; Härdle, Wolfgang - 2005
Persistent link: https://www.econbiz.de/10003323041
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Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999
the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …
Persistent link: https://www.econbiz.de/10009581110