Narrow search
Showing 1 - 10 of 294
Cover Image
FRM: a financial risk meter based on penalizing tail events occurrence
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017
In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...
Persistent link: https://www.econbiz.de/10011598919
Cover Image
An AI approach to measuring financial risk
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - In: The Singapore economic review 68 (2023) 5, pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
Cover Image
Handbook of computational finance
Duan, Jin-Chuan (ed.); Härdle, Wolfgang (ed.);  … - 2012
Persistent link: https://www.econbiz.de/10009380841
Cover Image
A bootstrap test for single index models
Härdle, Wolfgang; Proença, Isabel - 1994
Persistent link: https://www.econbiz.de/10000891356
Cover Image
Testing a regression model when we have smooth alternatives in mind
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000858566
Cover Image
Applied nonparametric methods
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000831909
Cover Image
How sensitive are average derivatives?
Härdle, Wolfgang; Cybakov, Aleksandr B. - 1992
Persistent link: https://www.econbiz.de/10000834352
Cover Image
Testomg increasing dispersion
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000839552
Cover Image
Symmetrized nearest neighbor regression estimates
Carroll, Raymond J. - 1987
Persistent link: https://www.econbiz.de/10000750200
Cover Image
Bandwidth choice for density derivatives
Härdle, Wolfgang - 1988
Persistent link: https://www.econbiz.de/10000750202