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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

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

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

FRM Financial Risk Meter for emerging markets

Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang - 2021

Persistent link: https://www.econbiz.de/10012500180

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

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

A consistent nonparametric test for causality in quantile

Jeong, Kiho (contributor); Härdle, Wolfgang (contributor) - 2008

Persistent link: https://www.econbiz.de/10003636023

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

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401