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Härdle, Wolfgang - 2017

dimensional, then the simplest way is to compute efficiency by calculating and comparing the ratio of output and input for each …

Persistent link: https://www.econbiz.de/10012966215

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

-product for the estimation of banks' total factor efficiency (TFE) as well as TFE of each production factor. A unique data sample … of 171 Chinese commercial banks, which is the largest data sample concerning with Chinese banking efficiency issues until … efficiency, and finds that a model with risk-weighted assets as undesirable outputs can better capture the impact of shadow …

Persistent link: https://www.econbiz.de/10010436522

Nonparametric productivity analysis

Härdle, Wolfgang (contributor); Jeong, Seok-Oh (contributor) - 2005

Persistent link: https://www.econbiz.de/10003036527

Nonparametric productivity analysis

Härdle, Wolfgang; Jeong, Seok-Oh - In: Statistical tools for finance and insurance, (pp. 271-286). 2005

Persistent link: https://www.econbiz.de/10002732876

Independent Component Analysis Via Copula Techniques

Chen, Ray-Bing - 2017

Independent component analysis (ICA) is a modern factor analysis tool de- veloped in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

Persistent link: https://www.econbiz.de/10012966256

De Copulis Non Est Disputandum - Copulae : An Overview

Härdle, Wolfgang - 2017

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

Persistent link: https://www.econbiz.de/10012966281

HMM in Dynamic HAC Models

Härdle, Wolfgang - 2017

Understanding the dynamics of high dimensional non-normal dependency structure is a challenging task. This research aims at attacking this problem by building up a hidden Markov model (HMM) for Hierarchical Archimedean Copulae (HAC), where the HAC represent a wide class of models for high...

Persistent link: https://www.econbiz.de/10012966319

Generalized single-index models : the EFM approach

Cui, Xia; Härdle, Wolfgang; Zhu, Lixing - 2009

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...

Persistent link: https://www.econbiz.de/10003893146

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

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

Persistent link: https://www.econbiz.de/10003953034