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Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

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 …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

Persistent link: https://www.econbiz.de/10009627286

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

Persistent link: https://www.econbiz.de/10009582392

Robust adaptive estimation of dimension reduction space

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918932

Semiparametric analysis of German East-West migration intentions : facts and theory

Burda, Michael C.; Härdle, Wolfgang; Müller, Marlene; … - 1997

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and … Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German … compatible with classical Marshallian theory of migration and motivates the semiparametric analysis. We estimate a Generalized …

Persistent link: https://www.econbiz.de/10009574896

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...

Persistent link: https://www.econbiz.de/10009612026

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Semiparametric additive indices for binary response and generalized additive models

Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; … - 1998

Y has a Bernoulli distribution with parameter G{XT β + α + m1(T1) + … + md(Td)}. The paper discusses estimation of β and …

Persistent link: https://www.econbiz.de/10009578571

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang; Hafner, Christian M. - 1997

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the …

Persistent link: https://www.econbiz.de/10009659059

Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models

Liang, Hua; Härdle, Wolfgang; Werwatz, Axel - 1997

Persistent link: https://www.econbiz.de/10009659060