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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10003727640
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The dynamics of hourly electricity prices
Härdle, Wolfgang; Trück, Stefan - 2010
The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in...
Persistent link: https://www.econbiz.de/10003952964
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - In: Applied quantitative finance, (pp. 275-293). 2009
Persistent link: https://www.econbiz.de/10003746412
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Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …
Persistent link: https://www.econbiz.de/10012657696
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...
Persistent link: https://www.econbiz.de/10012614016
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, U. - In: Applied quantitative finance, (pp. 279-294). 2017
Persistent link: https://www.econbiz.de/10011794967
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …
Persistent link: https://www.econbiz.de/10003828611
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Distillation of news flow into analysis of stock reactions
Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 547-563
Persistent link: https://www.econbiz.de/10011692403
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613