Details about Wolfgang Karl Härdle

E-mail:
Homepage:	http://lvb.wiwi.hu-berlin.de
Workplace:	Institut für Statistik und Ökonometrie (ISÖ) (Institute for Statistics and Econometrics), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC) Sonderforschungsbereich 649: Ökonomisches Risiko (Collaborative Research Center 649: Economic Risk), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC) Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse (National Research Center on Quantification and Simulation of Economic Processes), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC) Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC) Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC)

Access statistics for papers by Wolfgang Karl Härdle.

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Working Papers

2013

1. Composite Quantile Regression for the Single-Index Model
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
2. Functional Data Analysis of Generalized Quantile Regressions
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649

2012

3. Common factors in credit defaults swaps markets
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
4. Computational Statistics (Journal)
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
5. Dynamic Activity Analysis Model Based Win-Win Development Forecasting Under the Environmental Regulation in China
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
6. Forecast based Pricing of Weather Derivatives
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
7. HMM in dynamic HAC models
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
8. Implied Basket Correlation Dynamics
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
9. Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
10. Quantile Regression in Risk Calibration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
11. Support Vector Machines with Evolutionary Feature Selection for Default Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
12. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
13. Variable selection in Cox regression models with varying coefficients
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
14. Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649

2011

15. A Confidence Corridor for Expectile Functions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (34)
16. A Confidence Corridor for Sparse Longitudinal Data Curves
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (30)
17. Bayesian Networks and Sex-related Homicides
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
18. Difference based Ridge and Liu type Estimators in Semiparametric Regression Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (34)
    See also Journal Article in Journal of Multivariate Analysis (2012)
19. Forecasting Corporate Distress in the Asian and Pacific Region
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
20. How Computational Statistics Became the Backbone of Modern Data Science
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
21. Increasing Weather Risk: Fact or Fiction?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
22. Local Quantile Regression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
23. Localising temperature risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (34)
24. Mean Volatility Regressions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (34)
25. Oracally Efficient Two-Step Estimation of Generalized Additive Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (28)
26. Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
27. Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
28. Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (33)
29. TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649

2010

30. Adaptive Interest Rate Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
31. High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
32. Learning Machines Supporting Bankruptcy Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
33. Modeling Asset Prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
34. Nonparametric Estimation of Risk-Neutral Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (15)
35. Partial Linear Quantile Regression and Bootstrap Confidence Bands
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
36. Prognose mit nichtparametrischen Verfahren
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004)
37. The dynamics of hourly electricity prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
38. Time varying Hierarchical Archimedean Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (7)
39. Uniform confidence bands for pricing kernels
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
40. Volatility Investing with Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (10)

2009

41. A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (4)
42. A Microeconomic Explanation of the EPK Paradox
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
43. CDO Pricing with Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
44. CDO and HAC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
45. De copulis non est disputandum - Copulae: An Overview
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
46. Generalized single-index models: The EFM approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
47. Implied Market Price of Weather Risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
48. Localized Realized Volatility Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    See also Journal Article in Journal of the American Statistical Association (2010)
49. Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
    CFS Working Paper Series, Center for Financial Studies View citations (3)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2009) View citations (2)
50. Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009)
51. Pricing of Asian temperature risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
52. Quantifizierbarkeit von Risiken auf Finanzmärkten
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
53. Shape invariant modelling pricing kernels and risk aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
54. Stochastic Population Forecast for Germany and its Consequence for the German Pension System
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)

2008

55. A Consistent Nonparametric Test for Causality in Quantile
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
    See also Journal Article in Econometric Theory (2012)
56. Adaptive pointwise estimation in time-inhomogeneous time-series models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2007) View citations (1)
57. Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    See also Journal Article in AStA Advances in Statistical Analysis (2009)
58. Independent Component Analysis Via Copula Techniques
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
59. Measuring and Modeling Risk Using High-Frequency Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
60. Modeling Dependencies in Finance using Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
61. Numerics of Implied Binomial Trees
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
62. Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
63. Recursive Portfolio Selection with Decision Trees
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
64. Statistics E-learning Platforms Evaluation: Case Study
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
65. Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
66. Testing Monotonicity of Pricing Kernels
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
67. The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    See also Journal Article in Computational Statistics & Data Analysis (2010)
68. The Default Risk of Firms Examined with Smooth Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2007) View citations (1)
69. The Stochastic Fluctuation of the Quantile Regression Curve
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
70. Using R, LaTeX and Wiki for an Arabic e-learning platform
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
71. Value-at-Risk and Expected Shortfall when there is long range dependence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)

2007

72. A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (4)
73. Calibrating CAT bonds for Mexican earthquakes
    101st Seminar, July 5-6, 2007, Berlin Germany, European Association of Agricultural Economists View citations (2)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2007) View citations (1)
    See also Journal Article in Journal of Risk & Insurance (2010)
74. Computational Statistics and Data Visualization
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
75. Empirical Pricing Kernels and Investor Preferences
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (4)
76. Estimating Probabilities of Default With Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
    Also in Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre (2007) View citations (1)
77. From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
78. Long Memory Persistence in the Factor of Implied Volatility Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
79. On the Utility of E-Learning in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
    See also Journal Article in International Statistical Review (2007)
80. QuantNet – A Database-Driven Online Repository of Scientific Information
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
81. Statistics of Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
82. Time Series Modelling with Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (16)
    See also Journal Article in Journal of the American Statistical Association (2009)
83. Using Wiki to Build an E-learning System in Statistics in Arabic Language
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
84. Yxilon – A Client/Server Based Statistical Environment
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)

2006

85. Calibration Design of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
86. Calibration Risk for Exotic Options
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
87. Color Harmonization in Car Manufacturing Process
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
88. Common Functional Principal Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
89. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (17)
90. Estimation of Default Probabilities with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
91. Exploratory Graphics of a Financial Dataset
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
92. Forecasting the Term Structure of Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
93. GHICA - Risk Analysis with GH Distributions and Independent Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
    See also Journal Article in Journal of Empirical Finance (2010)
94. Graphical Data Representation in Bankruptcy Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
95. Inhomogeneous Dependency Modelling with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
96. On the Appropriateness of Inappropriate VaR Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    See also Journal Article in AStA Advances in Statistical Analysis (2006)
97. On the Difficulty to Design Arabic E-learning System in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
98. Robust Econometrics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
99. Smoothed L-estimation of Regression Function
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
100. Time Dependent Relative Risk Aversion
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
101. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
102. e-Learning Statistics - A Selective Review
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649

2005

103. A Bootstrap Test for Single Index Models
     Econometrics, EconWPA View citations (2)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (1)
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1993)
104. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
105. Common Functional Implied Volatility Analysis
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
106. DSFM fitting of Implied Volatility Surfaces
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
107. Dynamics of State Price Densities
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (2)
     See also Journal Article in Journal of Econometrics (2009)
108. Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
     See also Journal Article in Journal of the American Statistical Association (2006)
109. FFT Based Option Pricing
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
110. Integrable e-lements for Statistics Education
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
111. Nonparametric Productivity Analysis
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
112. Nonparametric Risk Management with Generalized Hyperbolic Distributions
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (4)
     See also Journal Article in Journal of the American Statistical Association (2008)
113. Portfolio Value at Risk Based on Independent Components Analysis
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
114. Predicting Bankruptcy with Support Vector Machines
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
115. Robust Estimation of Dimension Reduction Space
     Discussion Paper, Tilburg University, Center for Economic Research
     Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2005)
     See also Journal Article in Computational Statistics & Data Analysis (2006)
116. Stable Distributions
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (13)
117. Value-at-Risk Calculations with Time Varying Copulae
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
118. Working with the XQC
     SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)

2004

119. Rating Companies with Support Vector Machines
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
120. Simulation of risk processes
     Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) View citations (7)
121. Skewness and Kurtosis Trades
     Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) View citations (1)
122. Yxilon: Designing The Next Generation, Vertically Integrable Statistical Software Environment
     Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE)

2003

123. An introduction to simulation of risk processes
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
124. Computational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
125. E-learning, e-teaching of statistics: A new challenge
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
126. Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
127. Implied volatility string dynamics
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (28)
128. Robust adaptive estimation of dimension reduction space
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
129. Semiparametric Regression Analysis under Imputation for Missing Response Data
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
130. Semiparametric regression analysis with missing response at random
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
     See also Journal Article in Journal of the American Statistical Association (2004)
131. Transactions That Did Not Happen and Their Influence on Prices
     Royal Economic Society Annual Conference 2003, Royal Economic Society
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
     See also Journal Article in Journal of Economic Behavior & Organization (2005)
132. Wann sind falsche VaR-Modelle dennoch adäquat?
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

2002

133. Does male age have an influence on the risk of spontaneous abortion? An approach combining semiparametric and parametric regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
134. E-learning / e-teaching of statistics: Students' and teachers' views
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
135. Empirical likelihood-based dimension reduction inference for linear error-in-responses models with validation study
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
136. Exploring credit data
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
137. How precise are price distributions predicted by implied binomial trees?
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
138. M robustified additive nonparametric regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
139. MD*ReX: Linking XploRe to standard spread-sheet applications
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
140. Semi-parametric estimation of generalized partially linear single-index models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

2001

141. Bootstrap Inference in Semiparametric Generalized Additive Models
     Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (4)
142. Bootstrap methods for time series
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (10)
143. Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
144. MM*STAT: Eine interaktive Einführung in die Welt der Statistik
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
145. On adaptive smoothing in partial linear models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
146. Semiparametric Diffusion Estimation and Application to a Stock Market Model
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
147. Semiparametric diffusion estimation and application to a stock market index
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
     See also Journal Article in Quantitative Finance (2008)
148. The analysis of implied volatilities
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
149. The dynamics of implied volatilities: A common principal components approach
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article in Review of Derivatives Research (2003)
150. Time inhomogeneous multiple volatility modelling
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
     Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
     See also Journal Article in Journal of Financial Econometrics (2003)

2000

151. Adaptive estimation for a time inhomogeneous stochastic-volatility model
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
152. An empirical likelihood goodness-of-fit test for time series
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article in Journal of the Royal Statistical Society Series B (2003)
153. Common factors governing VDAX movements and the maximum loss
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
154. Flexible time series analysis
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
155. Nonparametric estimation of additive models with homogeneous components
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
156. On adaptive estimation in partial linear models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1997)
157. Partially linear models
     MPRA Paper, University Library of Munich, Germany View citations (53)
158. Web quantlets for time series analysis
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
     See also Journal Article in Annals of the Institute of Statistical Mathematics (2001)

1999

159. Backtesting beyond VaR
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
160. Connected teaching of statistics
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
161. DPLS in XploRe: A PLS approach to dynamic path models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
162. Estimation in an additive model when the components are linked parametrically
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
163. Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article in Statistical Inference for Stochastic Processes (2000)
164. The three dimensions of multimedia teaching of statistics
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1998

165. Flexible stochastic volatility structures for high frequency financial data
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
166. Germany's Labor Market Problems: An Empirical Assessment August 26-29, 1998 Berlin
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
167. Internet based econometric computing
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     See also Journal Article in Journal of Econometrics (2000)
168. Nonparametric autoregression with multiplicative volatility and additive mean
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996) View citations (10)
169. Semiparametric additive indices for binary response and generalized additive models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
170. Testing a Regression Model when we Have Smooth Alternatives in Mind
     Working Papers, Catholique de Louvain - Institut de statistique
     Also in Discussion Paper Serie A, University of Bonn, Germany (1992)
     See also Journal Article in Scandinavian Journal of Statistics (1999)

1997

171. A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
172. Asymptotic normality of parametric part in partial linear heteroscedastic regression models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
173. Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
174. Bootstrap approximations in a partially linear regression model
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
175. Component analysis for additive models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
176. Discrete time option pricing with flexible volatility estimation
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1997) View citations (3)
     See also Journal Article in Finance and Stochastics (2000)
177. Efficient estimation in single-index regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
178. Financial calculations on the net
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
179. Large sample theory in a semiparametric partially linear errors-in-variables models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
180. Large sample theory of the estimation of the error distribution for a semiparametric model
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
181. Multivariate and semiparametric kernel regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
182. On Saving, Updating and Dynamic Programming -An Experimental Analysis-
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
183. Semiparametric analysis of German East-West migration intentions: Facts and theory
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (10)
     See also Journal Article in Journal of Applied Econometrics (1998)
184. Teaching wavelets in XploRe
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
185. Wachsende Dispersion und Engel-Kurven
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1996

186. A New Generation of a Statistical Computing Environment on the Net
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
187. A Review of Nonparametric Time Series Analysis
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (18)
188. Asymptotic properties of Maximum Likelihood Estimators for a Class of Linear Stochastic Differential Equation with Time Delay
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
189. Computerassisted Semiparametric Generalized Linear Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
190. Direct estimation of low dimensional components in additive models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
191. Discussion
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (67)
192. Foreign Exchange Rates Have Surprising Volatility
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (6)
193. Nonparametric Time Series Model Selection
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
194. Nonparametric Vector Autoregression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (17)
195. Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
     Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996)

1995

196. A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
197. An Analysis of Transformations for Additive Nonparanetric Regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)
198. Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates dpsfb950075.ps.tar = Enno MAMMEN J.S. MARRON: Mass Recentered Kernel Smoothers
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
199. Estimation and Variable Selection in Additive Nonparametric Regression Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
200. Estimation of Additive Regression Models with Links
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
201. Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
     See also Journal Article in Journal of Econometrics (1997)
202. Nonparametric Estimation of Additive Seperable Regression Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
203. Nonparametric Regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (4)
204. Nonparametric Time Series Analysis, a selectiv review with examples
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
205. Semiparametric Single Index Versus Fixed Link Function Modelling
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1994

206. Additive Nonparametric Regression on Principal Components
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
207. Applied Nonparametric Methods
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (107)
     Also in Working Papers, Catholique de Louvain - Institut de statistique (1992) View citations (13)
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992)
     Working Papers, Tilburg - Center for Economic Research (1992) View citations (20)
     Discussion Paper, Tilburg University, Center for Economic Research (1992) View citations (46)
     See also Chapter (1986)
208. Better Bootstrap Confidence Intervals for Curve Estimation
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
209. Direct Semiparametric Estimation of Single - Index Models with Discrete Covariates
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
     Also in Working Papers, University of Iowa, Department of Economics (1994) View citations (8)
210. Fast and Simple Scatterplot Smoothing
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in Working Papers, Humboldt University, Statistic und Oekonometrie View citations (1)
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1991)
     See also Journal Article in Computational Statistics & Data Analysis (1995)
211. Kernel Estimation: the Equivalent Spline-Smoothing Method
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990)
     Discussion Paper Serie A, University of Bonn, Germany (1989)
212. Optimal Median Smoothing
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990)
213. Search of Significant Variables in Nonparametric Additive Regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
214. Testing a Parametric Model against a Semiparametric Model
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
215. Testing increasing dispersion
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in Working Papers, Humboldt University, Statistic und Oekonometrie
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992)
     See also Journal Article in Computational Statistics & Data Analysis (1995)

1992

216. How Sensitive are Average Derivatives?
     Working Papers, Tilburg - Center for Economic Research
     Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1991)
     Discussion Paper, Tilburg University, Center for Economic Research (1992)
     See also Journal Article in Journal of Econometrics (1993)
217. Nonparametric approaches to generalized linear models
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
218. Testing a Parametric Model Against a Semiparametric Alternative
     Discussion Paper, Tilburg University, Center for Economic Research
     Also in Working Papers, University of Iowa, Department of Economics (1992) View citations (1)
     See also Journal Article in Econometric Theory (1994)

1991

219. Bandwidth choice for average derivative estimation
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     Also in Discussion Paper Serie A, University of Bonn, Germany (1989) View citations (9)
220. Better Bootstrap Confidence Intervals for Regression Curve Estimation
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
221. Cross section Engel Curves over Time
     Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (4)
     Also in Discussion Paper Serie A, University of Bonn, Germany (1988) View citations (9)
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990) View citations (10)
222. Iterated bootstrap with applications to frontier models
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
     Also in Working Papers, Humboldt University, Statistic und Oekonometrie View citations (2)
223. On an efficient smoothing parameter selector proposed by Hall and Johnstone
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
224. On teh inconsistency of bootstrap distribution estimators
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
     See also Journal Article in Computational Statistics & Data Analysis (1993)
225. On the choice of Kernel regression estimators: a discussion
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
226. Optimal smoothing in single index models
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)

1990

227. A bootstrap test for positive definiteness of income effect matrices
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
     Also in Discussion Paper Serie A, University of Bonn, Germany (1989)
     See also Journal Article in Econometric Theory (1992)
228. Bootstarp Methods in Nonparametric Regression
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
229. Bootstrap confidence bands
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     Also in Discussion Paper Serie A, University of Bonn, Germany (1990)
230. Comparing nonparametric versus parametric regression fits
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
231. How many terms should be added into an additive model ?
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
232. Kernel regression smoothing of time series
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
233. On bootstrapping kernel spectralestimates
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     Also in Discussion Paper Serie A, University of Bonn, Germany (1987) View citations (9)
234. Regression smoothing parameters that are not far from their optimum
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
235. Remarks on sliced inverse regression
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
236. Robust locally adaptive nonparametric regression
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
237. Smoothing by weighted averaging of rounded points
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)

1989

238. BOOTSTRAP SIMULTANEOUS ERROR BARS FOR NONPARAMETRIC REGRESSION
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
     Also in Discussion Paper Serie A, University of Bonn, Germany (1989) View citations (3)
239. Biased Crossvalidation for a Kernel regression estimator and its derivatives
     Discussion Paper Serie A, University of Bonn, Germany
240. Empirical Evidence on the Law of Demand
     Discussion Paper Serie A, University of Bonn, Germany
     Also in Discussion Paper Serie A, University of Bonn, Germany (1988)
     See also Journal Article in Econometrica (1991)
241. Resampling for inference from curves
     Discussion Paper Serie A, University of Bonn, Germany View citations (1)
242. SIMPLE FORMULAE FOR STEPS AND LIMITS IN THE BACKFITTING ALGORITHM
     CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
243. The interplay between statistics and computing in data ana- lysis
     Discussion Paper Serie A, University of Bonn, Germany

1988

244. Bandwidth choice for density derivatives
     Discussion Paper Serie A, University of Bonn, Germany
     Also in Discussion Paper Serie A, University of Bonn, Germany (1988) View citations (1)
245. Comparing nonparametric versus regression fits
     Discussion Paper Serie A, University of Bonn, Germany
246. Efficient nonparametric smoothing in high dimensions using interactive graphicaL techniques
     Discussion Paper Serie A, University of Bonn, Germany
247. On the use of nonparametric regression for model checking
     Discussion Paper Serie A, University of Bonn, Germany View citations (2)
248. Second order effects in semiparametric weighted least squares regression
     Discussion Paper Serie A, University of Bonn, Germany View citations (2)

1987

249. Investigations smooth multiple regression by the method of average derivatives
     Discussion Paper Serie A, University of Bonn, Germany View citations (25)
250. Semiparametric comparision of regression curve
     Discussion Paper Serie A, University of Bonn, Germany View citations (6)
251. Sequential Kernelsmoothing for estimation of zeros and location of extrema of regression functions
     Discussion Paper Serie A, University of Bonn, Germany
252. Symmetrized nearest neighbour regression estimates
     Discussion Paper Serie A, University of Bonn, Germany
     See also Journal Article in Statistics & Probability Letters (1989)
253. XploRe,a computing environment for exploatory regression
     Discussion Paper Serie A, University of Bonn, Germany

1986

254. Bootstrapping in nonparametric regression: Local adaptive smoothing and confidence bands
     Discussion Paper Serie A, University of Bonn, Germany View citations (3)
255. How far are automatically chosen regression smoothing parametres from their optimum?
     Discussion Paper Serie A, University of Bonn, Germany View citations (7)
256. Resistant smoothing using the fast Fourier Transform
     Discussion Paper Serie A, University of Bonn, Germany View citations (1)
257. Robust nonparametric regression with simultaneous scale curve estimation
     Discussion Paper Serie A, University of Bonn, Germany View citations (1)
258. Strong uniform consistency rates for estimators of conditional functionals
     Discussion Paper Serie A, University of Bonn, Germany View citations (2)

Undated

259. Applied nonparametric smoothing techniques
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations (1)
260. Nichtparametrische Glaettungsmethoden in der alltaeglichen statistischen Praxis
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations (1)

Journal Articles

2013

1. Shape Invariant Modeling of Pricing Kernels and Risk Aversion
   Journal of Financial Econometrics, 2013, 11, (2), 370-399
2. Using wiki to build an e-learning system in statistics in the Arabic language
   Computational Statistics, 2013, 28, (2), 481-491

2012

3. A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE
   Econometric Theory, 2012, 28, (04), 861-887
   See also Working Paper (2008)
4. Bootstrap confidence bands and partial linear quantile regression
   Journal of Multivariate Analysis, 2012, 107, (C), 244-262
5. CONFIDENCE BANDS IN QUANTILE REGRESSION–Corrigendum
   Econometric Theory, 2012, 28, (02), 483-484
6. Difference based ridge and Liu type estimators in semiparametric regression models
   Journal of Multivariate Analysis, 2012, 105, (1), 164-175
   See also Working Paper (2011)
7. Simultaneous confidence bands for expectile functions
   AStA Advances in Statistical Analysis, 2012, 96, (4), 517-541

2010

8. CONFIDENCE BANDS IN QUANTILE REGRESSION
   Econometric Theory, 2010, 26, (04), 1180-1200 View citations (3)
9. Calibrating CAT Bonds for Mexican Earthquakes
   Journal of Risk & Insurance, 2010, 77, (3), 625-650
   See also Working Paper (2007)
10. De copulis non est disputandum
    AStA Advances in Statistical Analysis, 2010, 94, (1), 1-31 View citations (1)
11. Forecasting volatility with support vector machine-based GARCH model
    Journal of Forecasting, 2010, 29, (4), 406-433 View citations (1)
12. GHICA -- Risk analysis with GH distributions and independent components
    Journal of Empirical Finance, 2010, 17, (2), 255-269
    See also Working Paper (2006)
13. Localized Realized Volatility Modeling
    Journal of the American Statistical Association, 2010, 105, (492), 1376-1393 View citations (4)
    See also Working Paper (2009)
14. The Bayesian Additive Classification Tree applied to credit risk modelling
    Computational Statistics & Data Analysis, 2010, 54, (5), 1197-1205
    See also Working Paper (2008)

2009

15. Dynamic semiparametric factor models in risk neutral density estimation
    AStA Advances in Statistical Analysis, 2009, 93, (4), 387-402
    See also Working Paper (2008)
16. Dynamics of state price densities
    Journal of Econometrics, 2009, 150, (1), 1-15 View citations (3)
    See also Working Paper (2005)
17. Inhomogeneous Dependence Modeling with Time-Varying Copulae
    Journal of Business & Economic Statistics, 2009, 27, (2), 224-234 View citations (6)
    See also Working Paper (2006)
18. Time Series Modelling With Semiparametric Factor Dynamics
    Journal of the American Statistical Association, 2009, 104, (485), 284-298 View citations (11)
    See also Working Paper (2007)
19. Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies
    Journal of Forecasting, 2009, 28, (6), 512-534 View citations (1)

2008

20. Calibration of Parametric CAT bonds. A case study of Mexican earthquakes
    Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, 2008, 128, (4), 615-630
21. Nonparametric Risk Management With Generalized Hyperbolic Distributions
    Journal of the American Statistical Association, 2008, 103, (483), 910-923 View citations (5)
    See also Working Paper (2005)
22. Semiparametric diffusion estimation and application to a stock market index
    Quantitative Finance, 2008, 8, (1), 81-92 View citations (1)
    See also Working Paper (2001)
23. Smoothed L-estimation of regression function
    Computational Statistics & Data Analysis, 2008, 52, (12), 5154-5162
    See also Working Paper (2006)
24. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 View citations (2)

2007

25. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 View citations (3)
26. On the Utility of E-Learning in Statistics
    International Statistical Review, 2007, 75, (3), 355-364
    See also Working Paper (2007)

2006

27. Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration
    Journal of the American Statistical Association, 2006, 101, 1212-1227 View citations (2)
    See also Working Paper (2005)
28. Nonparametric state price density estimation using constrained least squares and the bootstrap
    Journal of Econometrics, 2006, 133, (2), 579-599 View citations (9)
29. On the appropriateness of inappropriate VaR models
    AStA Advances in Statistical Analysis, 2006, 90, (2), 273-297
    See also Working Paper (2006)
30. Robust estimation of dimension reduction space
    Computational Statistics & Data Analysis, 2006, 51, (2), 545-555 View citations (4)
    See also Working Paper (2005)
31. Semi-parametric estimation of partially linear single-index models
    Journal of Multivariate Analysis, 2006, 97, (5), 1162-1184 View citations (11)

2005

32. Transactions that did not happen and their influence on prices
    Journal of Economic Behavior & Organization, 2005, 56, (4), 567-591 View citations (2)
    See also Working Paper (2003)

2004

33. Semiparametric Regression Analysis With Missing Response at Random
    Journal of the American Statistical Association, 2004, 99, 334-345 View citations (12)
    See also Working Paper (2003)
34. Support Vector Machines: eine neue Methode zum Rating von Unternehmen
    DIW Wochenbericht, 2004, 71, (49), 759-765 View citations (1)

2003

35. An empirical likelihood goodness-of-fit test for time series
    Journal of the Royal Statistical Society Series B, 2003, 65, (3), 663-678 View citations (16)
    See also Working Paper (2000)
36. Efficient estimation in conditional single-index regression
    Journal of Multivariate Analysis, 2003, 86, (2), 213-226 View citations (9)
37. The Dynamics of Implied Volatilities: A Common Principal Components Approach
    Review of Derivatives Research, 2003, 6, (3), 179-202 View citations (18)
    See also Working Paper (2001)
38. Time Inhomogeneous Multiple Volatility Modeling
    Journal of Financial Econometrics, 2003, 1, (1), 55-95 View citations (9)
    See also Working Paper (2001)

2001

39. Structural Tests in Additive Regression
    Journal of the American Statistical Association, 2001, 96, 1333-1347 View citations (2)
40. Web Quantlets for Time Series Analysis
    Annals of the Institute of Statistical Mathematics, 2001, 53, (1), 179-188 View citations (6)
    See also Working Paper (2000)

2000

41. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 View citations (10)
    See also Working Paper (1997)
42. Internet-based econometric computing
    Journal of Econometrics, 2000, 95, (2), 333-345 View citations (1)
    See also Working Paper (1998)
43. Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
    Statistical Inference for Stochastic Processes, 2000, 3, (3), 263-276 View citations (1)
    See also Working Paper (1999)

1999

44. Integration and backfitting methods in additive models-finite sample properties and comparison
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 1999, 8, (2), 419-458 View citations (2)
45. Testing a Regression Model When We Have Smooth Alternatives in Mind
    Scandinavian Journal of Statistics, 1999, 26, (2), 221-238 View citations (2)
    See also Working Paper (1998)

1998

46. Semiparametric analysis of German East-West migration intentions: facts and theory
    Journal of Applied Econometrics, 1998, 13, (5), 525-541 View citations (39)
    See also Working Paper (1997)

1997

47. Local polynomial estimators of the volatility function in nonparametric autoregression
    Journal of Econometrics, 1997, 81, (1), 223-242 View citations (47)
    See also Working Paper (1995)

1995

48. Book reviews
    Metrika, 1995, 42, (1), 265-278
    Also in Journal of Economics, 1990, 51, (3), 307-327 (1990)
    Metrika, 1989, 36, (1), 310-316 (1989)
49. Estimation of Non-sharp Support Boundaries
    Journal of Multivariate Analysis, 1995, 55, (2), 205-218 View citations (12)
50. Fast and simple scatterplot smoothing
    Computational Statistics & Data Analysis, 1995, 20, (1), 1-17 View citations (3)
    See also Working Paper (1994)
51. Nonclassical demand: A model-free examination of price-quantity relations in the Marseille fish market
    Journal of Econometrics, 1995, 67, (1), 227-257 View citations (20)
52. Testing increasing dispersion
    Computational Statistics & Data Analysis, 1995, 19, (6), 641-653
    See also Working Paper (1994)

1994

53. Testing a Parametric Model Against a Semiparametric Alternative
    Econometric Theory, 1994, 10, (05), 821-848 View citations (10)
    See also Working Paper (1992)

1993

54. How sensitive are average derivatives?
    Journal of Econometrics, 1993, 58, (1-2), 31-48 View citations (17)
    See also Working Paper (1992)
55. Nonparametric and semiparametric approaches to discrete response analysis
    Journal of Econometrics, 1993, 58, (1-2), 1-2 View citations (2)
56. On the inconsistency of bootstrap distribution estimators
    Computational Statistics & Data Analysis, 1993, 16, (1), 11-18 View citations (6)
    See also Working Paper (1991)

1992

57. A Bootstrap Test for Positive Definiteness of Income Effect Matrices
    Econometric Theory, 1992, 8, (02), 276-292 View citations (5)
    See also Working Paper (1990)

1991

58. Empirical Evidence on the Law of Demand
    Econometrica, 1991, 59, (6), 1525-49 View citations (23)
    See also Working Paper (1989)

1989

59. Asymptotic maximal deviation of M-smoothers
    Journal of Multivariate Analysis, 1989, 29, (2), 163-179 View citations (6)
60. Symmetrized nearest neighbor regression estimates
    Statistics & Probability Letters, 1989, 7, (4), 315-318 View citations (1)
    See also Working Paper (1987)

1986

61. Approximations to the mean integrated squared error with applications to optimal bandwidth selection for nonparametric regression function estimators
    Journal of Multivariate Analysis, 1986, 18, (1), 150-168 View citations (1)
62. Random approximations to some measures of accuracy in nonparametric curve estimation
    Journal of Multivariate Analysis, 1986, 20, (1), 91-113 View citations (12)
63. Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
    Stochastic Processes and their Applications, 1986, 23, (1), 77-89 View citations (15)

1984

64. Robust regression function estimation
    Journal of Multivariate Analysis, 1984, 14, (2), 169-180 View citations (4)

Books

1992

1. Applied Nonparametric Regression
   Cambridge Books, Cambridge University Press View citations (11)

Edited books

2011

1. Statistical Tools for Finance and Insurance (2nd edition)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology

2005

2. Statistical Tools for Finance and Insurance
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (34)

Chapters

1986

1. Applied nonparametric methods
   Chapter 38 in Handbook of Econometrics, 1986, vol. 4, pp 2295-2339 View citations (10)
   See also Working Paper (1994)

Software Items

Undated

1. XploRe
   DOS and Windows codes