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Quantifizierbarkeit von Risiken auf Finanzmärkten

Härdle, Wolfgang Karl; Kirchner, Christian Friedrich … - 2009

Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe Kapitalrendite mit geringem Risiko verbinden ließe, wenn man nur die...

Persistent link: https://www.econbiz.de/10010270820

A dynamic semiparametric factor model for implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, Enno - 2005

A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure...

Persistent link: https://www.econbiz.de/10010274108

Graphical data representation in bankruptcy analysis

Härdle, Wolfgang Karl; Moro, Rouslan A.; Schäfer, Dorothea - 2006

representation of ratings in a closed form is possible reducing the need for graphical tools. In contrast to that non-linear non-parametric … visualisation of PDs. The mapping of scores into PDs is done as a non-parametric regression with monotonisation. The SVM learns a … non-parametric score function that is, in its turn, non-parametrically transformed into PDs. Since PDs cannot be …

Persistent link: https://www.econbiz.de/10010274115

Estimation of default probabilities with Support Vector Machines

Chen, Shiyi; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2006

classifying ability of SVM appears to be superior over a wide range of the SVM parameters. Based on the nonparametric Nadaraya …

Persistent link: https://www.econbiz.de/10010274122

GHICA: Risk analysis with GH distributions and independent components

Chen, Ying; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2006

Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory. There are however limitations of some widely-used risk management methods that either calculate risk measures under the Gaussian distributional assumption or involve numerical...

Persistent link: https://www.econbiz.de/10010274123

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10010274125

Time series modelling with semiparametric factor dynamics

Borak, Szymon; Härdle, Wolfgang Karl; Mammen, Enno; … - 2007

High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

Persistent link: https://www.econbiz.de/10010274126

From animal baits to investors' preference: estimating and demixing of the weight function in semiparametric models for biased samples

Ritov, Ya'acov; Härdle, Wolfgang Karl - 2007

We consider two semiparametric models for the weight function in a bias sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...

Persistent link: https://www.econbiz.de/10010274127

Statistics of risk aversion

Giacomini, Enzo; Härdle, Wolfgang Karl - 2007

Persistent link: https://www.econbiz.de/10010274128

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10010274129