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Confidence corridors for multivariate generalized quantile regression
Chao, Shih-kang; Proksch, Katharina; Dette, Holger; … - 2014
coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …
Persistent link: https://www.econbiz.de/10010354164
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Confidence Corridors for Multivariate Generalized Quantile Regression
Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …
Persistent link: https://www.econbiz.de/10010772306
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …
Persistent link: https://www.econbiz.de/10012619640
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …
Persistent link: https://www.econbiz.de/10012614016
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Simultaneous inference for the partially linear model with a multivariate unknown function when the covariates are measured with errors
Kim, Kun Ho; Chao, Shih-Kang; Härdle, Wolfgang - 2016
In this paper, we analyze the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we construct a uniform con dence surface of the multivariate function for...
Persistent link: https://www.econbiz.de/10011518796
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Portfolio Value at Risk Based on Independent Components Analysis
Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...
Persistent link: https://www.econbiz.de/10005861845
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Portfolio value at risk based on independent components analysis
Chen, Ying (contributor); Härdle, Wolfgang (contributor);  … - 2005
Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...
Persistent link: https://www.econbiz.de/10003324161
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Portfolio Value at Risk Based on Independent Components Analysis
Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A...
Persistent link: https://www.econbiz.de/10005207944
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Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize the tted model to predict the joint evolution of the liquidity demand...
Persistent link: https://www.econbiz.de/10011518802
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Estimation of NAIRU with inflation expectation data
Cui, Wei; Härdle, Wolfgang; Wang, Weining - 2015
Estimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment, inflation, and inflation expectation. However, existing literature falls short in endogenizing inflation expectation together with NAIRU in a model consistent way. We develop and...
Persistent link: https://www.econbiz.de/10010479311