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The dynamics of implied volatilities : a common principle components approach
Fengler, Matthias; Härdle, Wolfgang; Villa, Christophe - 2001
Persistent link: https://www.econbiz.de/10001609556
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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - In: Review of derivatives research 6 (2003) 3, pp. 179-202
Persistent link: https://www.econbiz.de/10001905297
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Flexible time series analysis
Härdle, Wolfgang; Tschernig, Rolf - 2000
Persistent link: https://www.econbiz.de/10009611560
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Flexible times series analysis
Härdle, Wolfgang; Tschernig, Rolf - 2000
Persistent link: https://www.econbiz.de/10001509214
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Web quantlets for time series analysis
Härdle, Wolfgang; Kleinow, Torsten; Knust, Florian - 2000
Persistent link: https://www.econbiz.de/10001470340
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Exploring credit data
Müller, Marlene; Härdle, Wolfgang - In: Credit risk : measurement, evaluation and management ; …, (pp. 157-173). 2003
Persistent link: https://www.econbiz.de/10002001903
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Exploring credit data
Müller, Marlene; Härdle, Wolfgang - 2002
Persistent link: https://www.econbiz.de/10001730369
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …
Persistent link: https://www.econbiz.de/10003636008