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FRM: a financial risk meter based on penalizing tail events occurrence
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017
In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...
Persistent link: https://www.econbiz.de/10011598919
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An AI approach to measuring financial risk
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - In: The Singapore economic review 68 (2023) 5, pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Wang, Weining; Yu, Lining - In: Journal of econometrics 192 (2016) 2, pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
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Tail event driven financial risk modelling
Yu, Lining - 2017
Persistent link: https://www.econbiz.de/10011702496
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Reduced form models for modelling the European CO2 market and systemic risk
Benschop, Thijs - 2017
Persistent link: https://www.econbiz.de/10011875557
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Handbook of data visualization : with 50 tables
Chen, Chun-houh (ed.); Härdle, Wolfgang (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10009613078
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A bootstrap test for single index models
Härdle, Wolfgang; Proença, Isabel - 1994
Persistent link: https://www.econbiz.de/10000891356
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Testing a regression model when we have smooth alternatives in mind
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000858566
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Applied nonparametric methods
Härdle, Wolfgang - 1992
Persistent link: https://www.econbiz.de/10000831909
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How sensitive are average derivatives?
Härdle, Wolfgang; Cybakov, Aleksandr B. - 1992
Persistent link: https://www.econbiz.de/10000834352