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Forecasting the term structure of variance swaps
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006
for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and … model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis … of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model …
Persistent link: https://www.econbiz.de/10003375772
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Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang; Majer, Piotr - In: The European journal of finance 22 (2016) 10/12, pp. 1109-1129
Persistent link: https://www.econbiz.de/10011715314
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Dynamic credit default swaps curves in a network topology
Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016
Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of the default probabilities. Extending the Dynamic Nelson...
Persistent link: https://www.econbiz.de/10011579056
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Dynamic credit default swap curves in a network topology
Xu, Xiu; Chen, Yi-Hsuan; Härdle, Wolfgang - In: Quantitative finance 19 (2019) 10, pp. 1705-1726
Persistent link: https://www.econbiz.de/10012194818
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Penalized adaptive method in forecasting with large information set and structure change
Li, Xinjue; Zbonakova, Lenka; Härdle, Wolfgang - 2017
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...
Persistent link: https://www.econbiz.de/10011714497
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Implied market price of weather risk
Härdle, Wolfgang; López Cabrera, Brenda - 2009
variation to model the temperature in Berlin and with that to get explicite nature of non-arbitrage prices for temperature …
Persistent link: https://www.econbiz.de/10003796146
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Spatial risk premium on weather derivatives and hedging weather exposure in electricity
Härdle, Wolfgang; Osipenko, Maria - 2011
Due to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary. The spatial derivative price distribution involves a...
Persistent link: https://www.econbiz.de/10008906018
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Spatial risk premium on weather derivatives and hedging weather exposure in electricity
Härdle, Wolfgang; Osipenko, Maria - In: The energy journal 33 (2012) 2, pp. 149-170
Persistent link: https://www.econbiz.de/10009568826
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Pricing of Asian temperature risk
Benth, Fred Espen; Härdle, Wolfgang; Cabrera, Brenda López - 2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10003893132
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Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach
Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015
capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage … the term structure of government bond yields, the arbitrage-free model we proposed is the extension of the arbitrage …
Persistent link: https://www.econbiz.de/10011389060