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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

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

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

Empirical pricing kernels and investor preferences

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10003633572

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …

Persistent link: https://www.econbiz.de/10003636008

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10003636113

Numerics of implied binomial trees

Härdle, Wolfgang (contributor); … - 2008

with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …

Persistent link: https://www.econbiz.de/10003727608

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang (contributor); … - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10003727640

Localized realized volatility modelling

Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - 2009

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Persistent link: https://www.econbiz.de/10003796151

Adaptive interest rate modelling

Guo, Mengmeng; Härdle, Wolfgang - 2010

A 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 parameters. In this paper, the local parameter approach is introduced...

Persistent link: https://www.econbiz.de/10003973636