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Guo, Mengmeng; Härdle, Wolfgang - In: Journal of forecasting 36 (2017) 3, pp. 241-256

Persistent link: https://www.econbiz.de/10011729251

Guo, Mengmeng; Härdle, Wolfgang - 2010

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...

Persistent link: https://www.econbiz.de/10003973636

Understanding cryptocurrencies : editorial

Härdle, Wolfgang; Harvey, Campbell R.; Reule, Raphael C. G. - In: Journal of financial econometrics 18 (2020) 2, pp. 181-208

Persistent link: https://www.econbiz.de/10012232695

Rise of the machines? : intraday high-frequency trading patterns of cryptocurrencies

Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, Wolfgang - In: The European journal of finance 27 (2021) 1/2, pp. 8-30

Persistent link: https://www.econbiz.de/10012424926

Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

Persistent link: https://www.econbiz.de/10000168636

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang - 1997

Persistent link: https://www.econbiz.de/10000971105

Local polynomial estimators of the volatility function in nonparametric autoregression

Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242

Persistent link: https://www.econbiz.de/10001336796

A new method for volatility estimation with applications in foreign exchange rate series

Bossaerts, Peter L. - In: Finanzmarktanalyse und -prognose mit innovativen …, (pp. 71-83). 1996

Persistent link: https://www.econbiz.de/10001318071

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

Leveraged ETF options implied volatility paradox : a statistical study

Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016

). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … indicate that in a statistical sense there remains a possibility that the implied volatility smiles are still not the same … utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …

Persistent link: https://www.econbiz.de/10011437891

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