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Statistics of financial markets : an introduction

Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2004

Persistent link: https://www.econbiz.de/10002071301

Guo, Mengmeng; Härdle, Wolfgang - 2010

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...

Persistent link: https://www.econbiz.de/10003973636

Statistics of financial markets : an introduction

Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2011 - 3. ed.

38 3 Basic Concepts of Probability Theory 43 3.1 Real Valued … 231 11.4.2 Exchange Rate: Theory of the Interest Rate Parity . . 233 11.4.3 Term Structure: The … 477 18.5 Extreme Value Theory for Time Series 478 18.6 Recommended Literature …

Persistent link: https://www.econbiz.de/10008661923

Pricing of Asian temperature risk

Benth, Fred Espen; Härdle, Wolfgang; López Cabrera, Brenda - 2009

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

Persistent link: https://www.econbiz.de/10003893132

Statistics of financial markets : exercises and solutions

Borak, Szymon; Härdle, Wolfgang; López Cabrera, Brenda - 2010 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003929526

Partial linear quantile regression and bootstrap confidence bands

Härdle, Wolfgang; Ritov, Ya’acov; Song, Song - 2010

In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error...

Persistent link: https://www.econbiz.de/10003952788

Uniform confidence bands for pricing kernels

Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010

estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …

Persistent link: https://www.econbiz.de/10003952791

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

Persistent link: https://www.econbiz.de/10003953034

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

Do maternal health problems influence child's worrying status? : evidence from British cohort study

Dai, Xianhua; Härdle, Wolfgang; Yu, Keming - 2014

The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...

Persistent link: https://www.econbiz.de/10010253468