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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

Kernel regression smoothing of time series

Härdle, Wolfgang; Vieu, Philippe - 1990

Persistent link: https://www.econbiz.de/10000800790

Adaptive pointwise estimation in time-inhomogeneous time-series models

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2008

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Persistent link: https://www.econbiz.de/10003635965

Inhomogeneous dependence modeling with time-varying copulae

Giacomini, Enzo; Härdle, Wolfgang; Spokojnyj, Vladimir G. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 224-234

Persistent link: https://www.econbiz.de/10003885784

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Persistent link: https://www.econbiz.de/10003953027

A mortality model for multi-populations : a semi-parametric approach

Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016

Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality rate is a time-varying indicator curve. Our main...

Persistent link: https://www.econbiz.de/10011489251