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Nonparametric risk management with generalized hyperbolic distributions
Chen, Ying; Härdle, Wolfgang; Jeong, Seok-oh - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 910-923
Persistent link: https://www.econbiz.de/10003772400
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On the appropriateness of inappropriate VaR models
Härdle, Wolfgang; Hlávka, Zdeněk; Stahl, Gerhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 2, pp. 273-297
Persistent link: https://www.econbiz.de/10003328297
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 387-402
Persistent link: https://www.econbiz.de/10003910560
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De copulis non est disputandum : copulae: an overview
Härdle, Wolfgang; Okhrin, Ostap - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10003951049
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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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A semiparametric factor model for implied volatility surface dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218
Persistent link: https://www.econbiz.de/10003518308
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Spatial risk premium on weather derivatives and hedging weather exposure in electricity
Härdle, Wolfgang; Osipenko, Maria - In: The energy journal 33 (2012) 2, pp. 149-170
Persistent link: https://www.econbiz.de/10009568826
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of applied econometrics 30 (2015) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10011332871
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An application of principal component analysis on multivariate time-stationary spatio-temporal data
Stahlschmidt, Stephan; Härdle, Wolfgang; Thome, Helmut - In: Spatial economic analysis : the journal of the Regional … 10 (2015) 2, pp. 160-180
Persistent link: https://www.econbiz.de/10011312235
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Shape invariant modeling of pricing kernels and risk aversion
Grith, Maria; Härdle, Wolfgang; Park, Juhyun - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 370-399
Persistent link: https://www.econbiz.de/10009745814