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The bayesian additive classification tree applied to credit risk modelling
Zhang, Junni L. (contributor); Härdle, Wolfgang (contributor) - 2008
We propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric additive...
Persistent link: https://www.econbiz.de/10003635971
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Stochastic population analysis : a functional data approach
Fang, Lei; Härdle, Wolfgang - 2015
Based on the Lee-Carter (LC) model, the benchmark in population forecasting, a variety of extensions and modifications are proposed in this paper. We investigate one of the extensions, the Hyndman-Ullah (HU) method and apply it to Asian demographic data sets: China, Japan and Taiwan. It combines...
Persistent link: https://www.econbiz.de/10010477583
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A mortality model for multi-populations : a semi-parametric approach
Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016
Mortality is different across countries, states and regions. Several empirical research works however reveal that … mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality … the empirical findings, we make the study of estimating and forecasting mortality rates based on a semi …
Persistent link: https://www.econbiz.de/10011489251
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Do maternal health problems influence child's worrying status? : evidence from British cohort study
Dai, Xianhua; Härdle, Wolfgang; Yu, Keming - 2014
The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...
Persistent link: https://www.econbiz.de/10010253468
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Stochastic population forecast for Germany and its consequence for the German pension system
Härdle, Wolfgang; Mysickova, Alena - 2009
for Germany is derived through a stochastic population renewal process using forecasts of mortality, fertility and … indices of mortality and fertility rates. These models are then used in the simulation of future vital rates to obtain age …
Persistent link: https://www.econbiz.de/10003814452
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Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - In: Quantitative finance 19 (2019) 9, pp. 1473-1489
Persistent link: https://www.econbiz.de/10012194799
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Forecast based pricing of weather derivatives
Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012
Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
Persistent link: https://www.econbiz.de/10009511156
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State Price Densities implied from weather derivatives
Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-wen - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10009741915
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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Wann sind falsche VaR-Modelle dennoch adäquat?
Härdle, Wolfgang (contributor); Hlávka, Z. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919168