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Adaptive pointwise estimation in time-inhomogeneous time-series models
Čížek, Pavel; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2008
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10010274136
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10010274148
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Generalized single-index models: The EFM approach
Cui, Xia; Härdle, Wolfgang Karl; Zhu, Lixing - 2009
Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...
Persistent link: https://www.econbiz.de/10010270710
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Optimal smoothing for a computationally and statistically efficient single index estimator
Xia, Yingcun; Härdle, Wolfgang Karl; Linton, Oliver - 2009
In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...
Persistent link: https://www.econbiz.de/10010274155
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - 2010
second procedure applies kernel type smoothing in the implied volatility domain. In the conceptually different third approach …
Persistent link: https://www.econbiz.de/10010270813
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10010270704
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Quantile regression in risk calibration
Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - 2012
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10010281552
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The dynamics of hourly electricity prices
Härdle, Wolfgang Karl; Trück, Stefan - 2010
The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in...
Persistent link: https://www.econbiz.de/10010270725
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Partial linear quantile regression and bootstrap confidence bands
Härdle, Wolfgang Karl; Ritov, Ya'acov; Song, Song - 2010
In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error...
Persistent link: https://www.econbiz.de/10010270724
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...
Persistent link: https://www.econbiz.de/10010270732