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Statistics E-Learning Platforms Evaluation : Case Study

Ahmad, Taleb - 2017

students views? In this paper, we consider evaluate e-learning systems in statistics. We make an evaluation study, we analyze a … students sample of the methods: Factor analysis, Logit model. The common aim of this evaluation is to provide data to justify … the results or evidence to support that the e-learning platforms are helping the students to learn more effectively. The …

Persistent link: https://www.econbiz.de/10012966274

Statistics e-learning platforms evaluation : case study

Ahmad, Taleb (contributor); Härdle, Wolfgang (contributor) - 2008

Persistent link: https://www.econbiz.de/10003770800

Independent Component Analysis Via Copula Techniques

Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

Persistent link: https://www.econbiz.de/10005860753

Adaptive pointwise estimation in time-inhomogeneous time-series models

Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Persistent link: https://www.econbiz.de/10005860756

Common Functional Implied Volatility Analysis

Benko, Michal; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that...

Persistent link: https://www.econbiz.de/10005862325

De copulis non estdisputandum Copulae: An Overview

Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...

Persistent link: https://www.econbiz.de/10005865416

Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10005860514

Numerics of Implied Binomial Trees

Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete...

Persistent link: https://www.econbiz.de/10005860517

Optimal Smoothing for aComputationally andStatistically Efficient SingleIndex Estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions inorder that estimators of the finite dimensional parameters can achieve root-n consistency. The requirementof under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10008939775

High-dimensional statistical learning techniques for time-varying limit order book networks

Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

Persistent link: https://www.econbiz.de/10012619640