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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
the dynamics of the implied SPD's and related to weather data. …
Persistent link: https://www.econbiz.de/10010658762
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Composite Quantile Regression for the Single-Index Model
Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...
Persistent link: https://www.econbiz.de/10010609988
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TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang Karl; Nasekin, Sergey; Chuen, David … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...
Persistent link: https://www.econbiz.de/10010785498
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Localising Forward Intensities for Multiperiod Corporate Default
Prastyo, Dedy Dwi; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010895343
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Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010544325
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Implied Basket Correlation Dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10010607150
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The dynamics of hourly electricity prices
Härdle, Wolfgang Karl; Trück, Stefan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets …
Persistent link: https://www.econbiz.de/10008629517
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Adaptive Interest Rate Modelling
Guo, Mengmeng; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk …
Persistent link: https://www.econbiz.de/10008465250
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Nonparametric Estimation of Risk-Neutral Densities
Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form …
Persistent link: https://www.econbiz.de/10008503210
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Prognose mit nichtparametrischen Verfahren
Härdle, Wolfgang Karl; Schulz, Rainer; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
unbekannten Parameter b0 und b1 mithilfe historischer Daten geschätzt, so lässt sich für jedes gegebene x sofort der zugehörige … einem funktionalen Zusammenhang aus, geben aber kein festes parametrisches Modell vor und zwängen die Daten damit in kein … Prokrustes Bett. Sie sind deshalb hervorragend geeignet, um 1) Daten explorativ darzustellen, 2) parametrische Modelle zu …
Persistent link: https://www.econbiz.de/10008525434