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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Persistent link: https://www.econbiz.de/10001555314
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CDO surfaces dynamics
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013
correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …
Persistent link: https://www.econbiz.de/10009763975
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10009665551
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Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - In: Journal of empirical finance 24 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
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Copula dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 2012
conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10009531437
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...
Persistent link: https://www.econbiz.de/10009612026
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Cross-exchange crypto risk : a high-frequency dynamic network perspective
Wang, Yifu; Lu, Wanbo; Lin, Min-Bin; Ren, Rui; Härdle, … - In: International review of financial analysis 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014543953
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A time-varying network for cryptocurrencies
Guo, Li; Härdle, Wolfgang; Tao, Yubo (Robert) - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 437-456
Persistent link: https://www.econbiz.de/10015053414
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Implied Basket Correlation Dynamics
Härdle, Wolfgang - 2016
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10012999402
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A Consistent Nonparametric Test for Causality in Quantile
Jeong, Kiho - 2017
This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend Zheng's approach to the case of dependent...
Persistent link: https://www.econbiz.de/10012966261