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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005860514
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Adaptive pointwise estimation in time-inhomogeneous time-series models
Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
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/10005860756
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A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter
Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10005861035
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Quantile regression in risk calibration
Chao, Shih-Kang; Härdle, Wolfgang; Wang, Weining - 2012
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10009425497
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A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10003633683
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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 recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10003727640
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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
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Common Functional Principal Components
Benko, Michal; Härdle, Wolfgang; Kneip, Alois - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
the two sample inference for FPCA and develop two sample theory. We propose bootstrap tests for testing the equality of …
Persistent link: https://www.econbiz.de/10005677915
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Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016
discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which …
Persistent link: https://www.econbiz.de/10011437891
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Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators
Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013
We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and … verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are …. Our bootstrap method can be used in many situations like constructing con dence intervals and bands. We demonstrate the …
Persistent link: https://www.econbiz.de/10010195959