Narrow search
Showing 1 - 10 of 13
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Pricing Kernel Modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10011115466
Cover Image
Credit Risk Calibration based on CDS Spreads
Chao, Shih-Kang; Härdle, Wolfgang Karl; Pham-Thu, Hien - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...
Persistent link: https://www.econbiz.de/10010772307
Cover Image
Adaptive Order Flow Forecasting with Multiplicative Error Models
Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is … series, i.e., the buyer and the seller-initiated trading volumes and the order flow dynamics. Analysing order flow series and … its information content of mini Nikkei 225 index futures traded at the Osaka Securities Exchange in 2012 and 2013, a data …
Persistent link: https://www.econbiz.de/10010895342
Cover Image
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
Cover Image
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
Cover Image
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