Narrow search
Showing 1 - 10 of 232
Cover Image
Adaptive pointwise estimation in time-inhomogeneous time-series models
Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2008
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10003635965
Cover Image
Independent component analysis via copula techniques
Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - 2008
Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...
Persistent link: https://www.econbiz.de/10003635977
Cover Image
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … of volatility. Moreover, non-parametric measures af systematic risk are attainable, that can straightforwardly be used to …
Persistent link: https://www.econbiz.de/10003727640
Cover Image
Optimal smoothing for a computationally and statistically efficient single index estimator
Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - 2009
In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...
Persistent link: https://www.econbiz.de/10003835181
Cover Image
De copulis non est disputandum Copulae : an overview
Härdle, Wolfgang; Okhrin, Ostap - 2009
model provide better results than those based on the normal distribution. -- copula ; multivariate distribution ; value-at-risk …Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …
Persistent link: https://www.econbiz.de/10003850706
Cover Image
Generalized single-index models : the EFM approach
Cui, Xia; Härdle, Wolfgang; Zhu, Lixing - 2009
Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...
Persistent link: https://www.econbiz.de/10003893146
Cover Image
Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10003376011
Cover Image
Estimation of the signal subspace without estimation of the inverse covariance matrix
Panov, Vladimir - 2010
Let a high-dimensional random vector ⃗X can be represented as a sum of two components - a signal ⃗S , which belongs to some low-dimensional subspace S, and a noise component ⃗N . This paper presents a new approach for estimating the subspace S based on the ideas of the Non-Gaussian...
Persistent link: https://www.econbiz.de/10008663366
Cover Image
Non-gaussian component analysis : new ideas, new proofs, new applications
Panov, Vladimir - 2010
subspace ; classification problem ; Value at Risk …
Persistent link: https://www.econbiz.de/10003973622
Cover Image
Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …
Persistent link: https://www.econbiz.de/10003953027