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Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional … the joint evolution of the liquidity demand and supply curves. In the VFAR framework, we derive a closed-form maximum … in liquidity curves, with R2 values as high as 98.5 percent for insample estimation and 98.2 percent in out …
Persistent link: https://www.econbiz.de/10011518802
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting … analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading …. -- Limit order book ; liquidity risk ; semiparametric model ; factor structure ; prediction …
Persistent link: https://www.econbiz.de/10003881566
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009
current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting … analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading …. -- Limit Order Book ; Liquidity Risk ; Semiparametric Model ; Factor Structure ; Prediction …
Persistent link: https://www.econbiz.de/10003887437
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
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Tail event driven networks of SIFIs
Chen, Cathy Yi-Hsuan; Härdle, Wolfgang; Okhrin, Yarema - 2017
The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail Event driven Network Quantile Regression (TENQR) model which addresses these three aspects. More precisely, our framework captures the risk...
Persistent link: https://www.econbiz.de/10011598923
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Default risk calculation based on predictor selection for the Southeast Asian industry
Härdle, Wolfgang; Prastyo, Dedy Dwi - 2013
Probability of default prediction is one of the important tasks of rating agencies as well as of banks and other financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to default prediction provides a better insight into...
Persistent link: https://www.econbiz.de/10009779289
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Localising forward intensities for multiperiod corporate default
Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010403045
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Graphical data representation in bankruptcy analysis
Härdle, Wolfgang (contributor);  … - 2006
Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numerical representation is much less transparent. In classical rating models a convenient representation of ratings in a closed form is possible reducing...
Persistent link: https://www.econbiz.de/10003324316
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Estimating probabilities of default with support vector machines
Härdle, Wolfgang (contributor); Moro, Rouslan (contributor) - 2007
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...
Persistent link: https://www.econbiz.de/10003633940
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Estimating probabilities of default with support vector machines
Härdle, Wolfgang (contributor);  … - 2007
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...
Persistent link: https://www.econbiz.de/10003608864