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How sensitive are average derivatives?
Härdle, Wolfgang; Cybakov, Aleksandr B. - 1992
Persistent link: https://www.econbiz.de/10000834352
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Einführung in die Statistik der Finanzmärkte
Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M. - 2001
Persistent link: https://www.econbiz.de/10001599509
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Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression
Feng, Yuanhua; Härdle, Wolfgang - 2021
Persistent link: https://www.econbiz.de/10012625953
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Einführung in die Statistik der Finanzmärkte
Franke, Jürgen; Härdle, Wolfgang; Hafner, Christian M.; … - 2001
Persistent link: https://www.econbiz.de/10001723367
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Einführung in die Statistik der Finanzmärkte
Franke, Jürgen; Härdle, Wolfgang - 2004 - 2. Aufl.
Persistent link: https://www.econbiz.de/10001786475
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TERES: tail event risk expectile based shortfall
Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015
A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...
Persistent link: https://www.econbiz.de/10011349502
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Portfolio decisions and brain reactions via the CEAD method
Majer, Piotr; Mohr, Peter; Heekeren, Hauke R.; Härdle, … - 2014
Decision making can be a complex process requiring the integration of several attributes of choice options … functional magnetic resonance imaging (fMRI) data from an investment decision (ID) study for ID-related effects. We propose a new … technique for identifying activated brain regions: Cluster, Estimation, Activation and Decision (CEAD) method. Our analysis is …
Persistent link: https://www.econbiz.de/10010379977
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Modeling dependencies in finance using copulae
Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
Persistent link: https://www.econbiz.de/10003727552
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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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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185