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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics

Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009

to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

Persistent link: https://www.econbiz.de/10003828611

Implied market price of weather risk

Härdle, Wolfgang; López Cabrera, Brenda - 2009

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Persistent link: https://www.econbiz.de/10003796146

Empirical pricing kernels and investor preferences

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

Persistent link: https://www.econbiz.de/10003633572

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10003636008

Forecast based pricing of weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Persistent link: https://www.econbiz.de/10009511156

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10009620778

Adaptive order flow forecasting with multiplicative error models

Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010374563

Modeling asset prices

Gentle, James E.; Härdle, Wolfgang - 2010

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …

Persistent link: https://www.econbiz.de/10003973644

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

Mean volatility regressions

Lin, Lu; Li, Feng; Zhu, Lixing; Härdle, Wolfgang - 2010

Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...

Persistent link: https://www.econbiz.de/10008772580