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The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, … - In: Review of derivatives research 6 (2003) 3, pp. 179-202
Persistent link: https://www.econbiz.de/10005931028
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Forecasting volatility with support vector machine-based GARCH model
Chen, Shiyi; Härdle, Wolfgang K.; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-434
Persistent link: https://www.econbiz.de/10008430510
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CALIBRATION RISK FOR EXOTIC OPTIONS
Detlefsen, K.; Härdle, Wolfgang K. - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 47-63
Persistent link: https://www.econbiz.de/10007748437
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Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang K. - In: The journal of risk model validation 3 (2009/10) 1, pp. 73-92
Persistent link: https://www.econbiz.de/10009911474
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CONFIDENCE BANDS IN QUANTILE REGRESSION–Corrigendum
Härdle, Wolfgang K.; Song, Song - In: Econometric theory 28 (2012) 2, pp. 483-485
Persistent link: https://www.econbiz.de/10009847388
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A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE
Jeong, Kiho; Härdle, Wolfgang K.; Song, Song - In: Econometric theory 28 (2012) 4, pp. 861-888
Persistent link: https://www.econbiz.de/10009996869