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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

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - 2017

management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when … one puts them into the same portfolio. We propose use a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which … is a combination of the Markowitz framework under the liquidity constraints. The results show that cryptocurrencies add …

Persistent link: https://www.econbiz.de/10011672439

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - In: Journal of financial econometrics 18 (2020) 2, pp. 280-306

Persistent link: https://www.econbiz.de/10012232957

Tail event driven ASset allocation : evidence from equity and mutual funds’ markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

Persistent link: https://www.econbiz.de/10011349525

Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - In: The journal of asset management 19 (2018) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10011847640

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

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

Estimating probabilities of default with support vector machines

Härdle, Wolfgang (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003608864

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

Predicting bankruptcy with support vector machines

Härdle, Wolfgang (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003036386

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