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Estimation and determinants of Chinese banks' total factor efficiency : a new vsion based on unbalanced development of Chinese banks and their overall risk

Shiyi, Chen; Härdle, Wolfgang; Wang, Li - 2014

-product for the estimation of banks' total factor efficiency (TFE) as well as TFE of each production factor. A unique data sample … of 171 Chinese commercial banks, which is the largest data sample concerning with Chinese banking efficiency issues until … efficiency, and finds that a model with risk-weighted assets as undesirable outputs can better capture the impact of shadow …

Persistent link: https://www.econbiz.de/10010436522

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

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

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.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10003727640

Optimal smoothing for a computationally and statistically efficient single index estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - 2009

; MAVE method ; Semi-parametric efficiency …

Persistent link: https://www.econbiz.de/10003835181

De copulis non est disputandum Copulae : an overview

Härdle, Wolfgang; Okhrin, Ostap - 2009

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

Persistent link: https://www.econbiz.de/10003850706

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

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

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

Non-gaussian component analysis : new ideas, new proofs, new applications

Panov, Vladimir - 2010

In this article, we present new ideas concerning Non-Gaussian Component Analysis (NGCA). We use the structural assumption that a high-dimensional random vector X can be represented as a sum of two components - a lowdimensional signal S and a noise component N. We show that this assumption...

Persistent link: https://www.econbiz.de/10003973622

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