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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

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

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

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

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2000

-in estimation. We apply the empirical likelihood based test to a discretised diffusion model which has been recently considered in …

Persistent link: https://www.econbiz.de/10009612573

Tail event driven networks of SIFIs

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang; Okhrin, Yarema - 2017

The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three aspects. More precisely, our framework captures the risk...

Persistent link: https://www.econbiz.de/10011598923

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

Statistics of risk aversion

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633711