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Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of applied econometrics 30 (2015) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10011332871

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Persistent link: https://www.econbiz.de/10000992362

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - In: Applied quantitative finance : theory and computational …, (pp. 145-170). 2002

Persistent link: https://www.econbiz.de/10001749985

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10001653655

Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient

Hall, Peter (contributor); Härdle, Wolfgang (contributor); … - 1999

Persistent link: https://www.econbiz.de/10001413436

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang (contributor) - 2001

Persistent link: https://www.econbiz.de/10001595495

A microeconomic explanation of the EPK paradox

Härdle, Wolfgang; Krätschmer, Volker; Moro, Rouslan - 2009

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....

Persistent link: https://www.econbiz.de/10003814462

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Persistent link: https://www.econbiz.de/10003871796

Implied market price of weather risk

Härdle, Wolfgang; López Cabrera, Brenda - 2009

derivatives. We infer the implied market price from Berlin cumulative monthly temperature futures that are traded at the Chicago … Mercantile Exchange (CME), which is an important parameter of the associated equivalent martingale measures used to price and … hedge weather future/options in the market. We propose to study the market price of risk, not only as a piecewise constant …

Persistent link: https://www.econbiz.de/10003796146

Localized realized volatility modelling

Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - 2009

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Persistent link: https://www.econbiz.de/10003796151

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