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Härdle, Wolfgang; Okhrin, Ostap; Wang, Weining - 2012

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/10009412716

Statistical tools for finance and insurance

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005

-instructional book makes a good use of extensive examples and full explanations. Thedesign of the text links theory and computational … the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial … Theory.- Diffusion Approximation in Risk Theory …

Persistent link: https://www.econbiz.de/10002123307

Hidden Markov structures for dynamic copulae

Härdle, Wolfgang; Okhrin, Ostap; Wang, Weining - In: Econometric theory 31 (2015) 5, pp. 981-1015

Persistent link: https://www.econbiz.de/10011545496

Do maternal health problems influence child's worrying status? : evidence from British cohort study

Dai, Xianhua; Härdle, Wolfgang; Yu, Keming - 2014

The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...

Persistent link: https://www.econbiz.de/10010253468

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

TERES: tail event risk expectile based shortfall

Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...

Persistent link: https://www.econbiz.de/10011349502

Tail event driven ASset allocation : evidence from equity and mutual funds’ markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

Persistent link: https://www.econbiz.de/10011349525

Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Tail event driven networks of SIFIs

Chen, Yi-Hsuan; Härdle, Wolfgang; Okhrin, Yarema - In: Journal of econometrics 208 (2019) 1, pp. 282-298

Persistent link: https://www.econbiz.de/10012144998

Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - In: The journal of asset management 19 (2018) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10011847640

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