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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied … to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …
Persistent link: https://www.econbiz.de/10003828611
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Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636
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Adaptive interest rate modelling
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
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk …
Persistent link: https://www.econbiz.de/10003952791
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …
Persistent link: https://www.econbiz.de/10003953027
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lCARE: localizing conditional autoregressive expectiles
Xu, Xiu; Mihoci, Andrija; Härdle, Wolfgang - 2015
We account for time-varying parameters in the conditional expectile based value at risk (EVaR) model. EVaR appears more sensitive to the magnitude of portfolio losses compared to the quantile-based Value at Risk (QVaR), nevertheless, by fitting the models over relatively long ad-hoc fixed time...
Persistent link: https://www.econbiz.de/10011392816
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10009665551
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10009627286