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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
Persistent link: https://www.econbiz.de/10001715636
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Adaptive interest rate modelling
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
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Park, Byeong U.; Xue, Lan; Härdle, Wolfgang - 2005
Persistent link: https://www.econbiz.de/10003323041
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Park, Byeong U.; Xue, Lan; Härdle, Wolfgang - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 1212-1227
Persistent link: https://www.econbiz.de/10003375980
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Estimation and determinants of Chinese banks' total factor efficiency : a new vsion based on unbalanced development of Chinese banks and their overall risk
Shiyi, Chen; Härdle, Wolfgang; Wang, Li - 2014
. This paper is the first to incorporate banks' overall risk, endogenously into bank's production process as undesirable by … average TFE and under-estimate TFE volatility as a whole. Higher overall risk taking of banks tends to decrease bank TFE … through 'diverting effect'. However, significant heterogeneities of bank integrated TFE (TFIE) and TFE of each production …
Persistent link: https://www.econbiz.de/10010436522
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Applied nonparametric methods
Härdle, Wolfgang; Linton, Oliver - 1994
Persistent link: https://www.econbiz.de/10000147122
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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636
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Testing parametric versus semiparametric modelling in generalized linear models
Härdle, Wolfgang; Mammen, Enno; Müller, Marlene - 1996
Persistent link: https://www.econbiz.de/10000933986