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Details about Wolfgang Karl Härdle

E-mail:
Homepage:http://ise.wiwi.hu-berlin.de
Workplace:Institut für Statistik und Ökonometrie (ISÖ) (Institute for Statistics and Econometrics), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität, (more information at EDIRC)
Sonderforschungsbereich 649: Ökonomisches Risiko (Collaborative Research Center 649: Economic Risk), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität, (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, (more information at EDIRC)
Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität, (more information at EDIRC)
Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität, (more information at EDIRC)

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Working Papers

2008

  1. A Consistent Nonparametric Test for Causality in Quantile
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Adaptive pointwise estimation in time-inhomogeneous time-series models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in
    Discussion Paper, Tilburg University, Center for Economic Research (2007) Downloads View citations
  3. Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Independent Component Analysis Via Copula Techniques
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  5. Measuring and Modeling Risk Using High-Frequency Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. Modeling Dependencies in Finance using Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Numerics of Implied Binomial Trees
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  8. 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 Downloads
  9. Recursive Portfolio Selection with Decision Trees
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  10. Statistics E-learning Platforms Evaluation: Case Study
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  11. Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  12. Testing Monotonicity of Pricing Kernels
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  13. The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  14. The Default Risk of Firms Examined with Smooth Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2007) Downloads
  15. The Stochastic Fluctuation of the Quantile Regression Curve
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  16. Using R, LaTeX and Wiki for an Arabic e-learning platform
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  17. Value-at-Risk and Expected Shortfall when there is long range dependence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations

2007

  1. A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  2. Calibrating CAT bonds for Mexican earthquakes
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
    Also in
    101st Seminar, July 5-6, 2007, Berlin Germany, European Association of Agricultural Economists (2007) Downloads
  3. Computational Statistics and Data Visualization
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Empirical Pricing Kernels and Investor Preferences
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  5. Estimating Probabilities of Default With Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
    Also in
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre (2007) Downloads View citations
  6. 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 Downloads
  7. Long Memory Persistence in the Factor of Implied Volatility Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  8. On the Utility of E-Learning in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
    See Also Journal Article in International Statistical Review (2007)
  9. QuantNet – A Database-Driven Online Repository of Scientific Information
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  10. Statistics of Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  11. Time Series Modelling with Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  12. Using Wiki to Build an E-learning System in Statistics in Arabic Language
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  13. Yxilon – A Client/Server Based Statistical Environment
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations

2006

  1. Calibration Design of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Calibration Risk for Exotic Options
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Color Harmonization in Car Manufacturing Process
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  4. Common Functional Principal Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  6. Estimation of Default Probabilities with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  7. Exploratory Graphics of a Financial Dataset
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  8. Forecasting the Term Structure of Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  9. GHICA - Risk Analysis with GH Distributions and Independent Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  10. Graphical Data Representation in Bankruptcy Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  11. Inhomogeneous Dependency Modelling with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  12. On the Appropriateness of Inappropriate VaR Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See Also Journal Article in AStA Advances in Statistical Analysis (2006)
  13. On the Difficulty to Design Arabic E-learning System in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  14. Robust Econometrics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  15. Smoothed L-estimation of regression function
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See Also Journal Article in Computational Statistics & Data Analysis (2008)
  16. Time Dependent Relative Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  17. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  18. e-Learning Statistics - A Selective Review
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations

2005

  1. A Bootstrap Test for Single Index Models
    Econometrics, EconWPA Downloads
    Also in
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) (1993)
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  2. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  3. Common Functional Implied Volatility Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  4. DSFM fitting of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  5. Dynamics of State Price Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  6. Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See Also Journal Article in Journal of the American Statistical Association (2006)
  7. FFT Based Option Pricing
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  8. Integrable e-lements for Statistics Education
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  9. Nonparametric Productivity Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  10. Nonparametric Risk Management with Generalized Hyperbolic Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  11. Portfolio Value at Risk Based on Independent Components Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  12. Predicting Bankruptcy with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  13. Robust estimation of dimension reduction space
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2005) Downloads

    See Also Journal Article in Computational Statistics & Data Analysis (2006)
  14. Stable Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  15. Value-at-Risk Calculations with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations
  16. Working with the XQC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations

2004

  1. Rating Companies with Support Vector Machines
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads

2003

  1. Semiparametric Regression Analysis under Imputation for Missing Response Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  2. Semiparametric regression analysis with missing response at random
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations
    See Also Journal Article in Journal of the American Statistical Association (2004)
  3. Transactions That Did Not Happen and Their Influence on Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373

    See Also Journal Article in Journal of Economic Behavior & Organization (2005)

2001

  1. Bootstrap Inference in Semiparametric Generalized Additive Models
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads
  2. Semiparametric Diffusion Estimation and Application to a Stock Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2000

  1. Time Inhomogeneous Multiple Volatility Modelling
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

    See Also Journal Article in Journal of Financial Econometrics (2003)

1998

  1. 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)

1996

  1. Testing parametric versus semiparametric modelling in generalized linear models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations

1994

  1. Applied Nonparametric Methods
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University Downloads View citations
    Also in
    Working Papers, Catholique de Louvain - Institut de statistique (1992)
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) (1992)
    Working Papers, Tilburg - Center for Economic Research (1992)

    See Also Chapter (1986)
  2. Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates
    Working Papers, University of Iowa, Department of Economics View citations
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

1992

  1. How Sensitive are Average Derivatives?
    Working Papers, Tilburg - Center for Economic Research
    See Also Journal Article in Journal of Econometrics (1993)
  2. Nonparametric Approaches to Generalized Linear Models
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
  3. Testing Increasing Dispersion
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
    Also in
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads
    Working Papers, Humboldt University, Sonderforschungsbereich 373

    See Also Journal Article in Computational Statistics & Data Analysis (1995)
  4. Testing a Parametric Model Against a Semiparametric Alternative
    Working Papers, University of Iowa, Department of Economics

1991

  1. Better Bootstrap Confidence Intervals for Regression Curve Estimation
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
  2. On teh inconsistency of bootstrap distribution estimators
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
    See Also Journal Article in Computational Statistics & Data Analysis (1993)
  3. Optimal smoothing in single index models
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations

1990

  1. A bootstrap test for positive definiteness of income effect matrices
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
    Also in
    Discussion Paper Serie A, University of Bonn, Germany (1989)
  2. Bootstarp Methods in Nonparametric Regression
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
  3. Bootstrap confidence bands
    Discussion Paper Serie A, University of Bonn, Germany
    Also in
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) (1990)
  4. Comparing nonparametric versus parametric regression fits
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
  5. HERNEL REGRESSION SMOOTHING OF TIME SERIES
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
  6. On bootstrapping kernel spectralestimates
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
    Also in
    Discussion Paper Serie A, University of Bonn, Germany (1987) View citations
  7. Optimal Median Smoothing
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  8. REMARKS ON SLICED INVERSE REGRESSION
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
  9. ROBUST LOCALLY ADAPTIVE NONPARAMETRIC REGRESSION
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
  10. Smooting by weighted averaging of rounded points
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)

1989

  1. BOOTSTRAP SIMULTANEOUS ERROR BARS FOR NONPARAMETRIC REGRESSION
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
    Also in
    Discussion Paper Serie A, University of Bonn, Germany (1989)
  2. Bandwidth choice for average derivative estimation
    Discussion Paper Serie A, University of Bonn, Germany View citations
  3. Biased Crossvalidation for a Kernel regression estimator and its derivatives
    Discussion Paper Serie A, University of Bonn, Germany
  4. 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)
  5. Kernel estimation: The equivalent spline smoothing method
    Discussion Paper Serie A, University of Bonn, Germany View citations
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  6. Resampling for inference from curves
    Discussion Paper Serie A, University of Bonn, Germany
  7. The interplay between statistics and computing in data ana- lysis
    Discussion Paper Serie A, University of Bonn, Germany

1988

  1. 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
  2. Comparing nonparametric versus regression fits
    Discussion Paper Serie A, University of Bonn, Germany
  3. Cross section Engel curves over time
    Discussion Paper Serie A, University of Bonn, Germany View citations
  4. Efficient nonparametric smoothing in high dimensions using interactive graphicaL techniques
    Discussion Paper Serie A, University of Bonn, Germany
  5. On the use of nonparametric regression for model checking
    Discussion Paper Serie A, University of Bonn, Germany View citations
  6. Second order effects in semiparametric weighted least squares regression
    Discussion Paper Serie A, University of Bonn, Germany View citations

1987

  1. Investigations smooth multiple regression by the method of average derivatives
    Discussion Paper Serie A, University of Bonn, Germany
  2. Semiparametric comparision of regression curve
    Discussion Paper Serie A, University of Bonn, Germany View citations
  3. Sequential Kernelsmoothing for estimation of zeros and location of extrema of regression functions
    Discussion Paper Serie A, University of Bonn, Germany
  4. Symmetrized nearest neighbour regression estimates
    Discussion Paper Serie A, University of Bonn, Germany
    See Also Journal Article in Statistics & Probability Letters (1989)
  5. XploRe,a computing environment for exploatory regression
    Discussion Paper Serie A, University of Bonn, Germany View citations

1986

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

Undated

  1. A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  2. Adaptive Estimation for a Time Inhomogeneous Stochastic-Volatility Model
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  3. Additive Nonparametric Regression on Principal Components
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  4. An Empirical Likelihood Goodness-of-Fit Test for Time Series
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Journal Of The Royal Statistical Society Series B (2003)
  5. Applied nonparametric smoothing techniques
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads
  6. Asymptotic Normality of Parametric Part in Partial Linear Heteroscedastic Regression Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  7. Asymptotic Properties of the Nonparametric Part in Partial Linear Heteroscedastic Regression Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  8. Backtesting Beyond VaR
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  9. Better Bootstrap Confidence Intervals for Curve Estimation
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  10. Bootstrap Approximations in a Partially Linear Regression Model
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  11. Bootstrap Methods For Time Series
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  12. Common Factors Governing VDAX Movements and the Maximum Loss
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  13. Component Analysis for Additive Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  14. Connected Teaching of Statistics
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  15. DPLS in XploRe - A PLS Approach to Dynamic Path Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  16. Discrete Time Option Pricing with Flexible Volatility Estimation
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Finance and Stochastics (2000)
  17. Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  18. Efficient Estimation in Single-Index Regression
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  19. Estimation in an additive model when the components are linked parametrically
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  20. Fast and Simple Scatterplot Smoothing
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    Also in
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations

    See Also Journal Article in Computational Statistics & Data Analysis (1995)
  21. Financial calculations on the net
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  22. Flexible Stochastic Volatility Structures for High Frequency Financial Data
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  23. Flexible Time Series Analysis
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  24. Germany's Labor Market Problems: An Empirical Assessment August 26-29, 1998 Berlin
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  25. How Precise Are Price Distributions Predicted by Implied Binomial Trees?
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  26. Internet Based Econometric Computing
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Journal of Econometrics (2000)
  27. Iterated bootstrap with applications to frontier models
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads
  28. Large Sample Theory in a Semiparametric Partially Linear Errors-in-Variables Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  29. Large Sample Theory of the Estimation of the Error Distribution for a Semiparametric Model
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  30. MD*ReX: Linking XploRe to Standard Spread-sheet Applications
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  31. MM*Stat - Eine interaktive Einführung in die Welt der Statistik - Exponat auf der CeBit 2001
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  32. Multivariate and Semiparametric Kernel Regression
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  33. Nichtparametrische Glaettungsmethoden in der alltaeglichen statistischen Praxis
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads
  34. Nonparametric Autoregression with Multiplicative Volatility and Additive Mean
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  35. Nonparametric Estimation of Additive Models with Homogeneous Components
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  36. On Saving, Updating and Dynamic Programming -An Experimental Analysis-
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  37. On adaptive estimation in partial linear models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  38. On adaptive smoothing in partial linear models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  39. Search of Significant Variables in Nonparametric Additive Regression
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  40. Semi-Parametric Estimation of generalized Partially Linear Single-Index Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  41. Semiparametric Analysis of German East-West Migration Intentions: Facts and Theory
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Journal of Applied Econometrics (1998)
  42. Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Statistical Inference for Stochastic Processes (2000)
  43. Semiparametric Diffusion Estimation and Application to a Stock Market Index
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  44. Semiparametric additive indices for binary response and generalized additive models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  45. Teaching Wavelets in XploRe
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
  46. Testing a Parametric Model against a Semiparametric Model
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  47. The Analysis of Implied Volatilities
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  48. The Dynamics of Implied Volatilities: A Common Principle Components Approach
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Review of Derivatives Research (2003)
  49. The Three Dimensions of Multimedia Teaching of Statistics
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  50. Wachsende Dispersion und Engel-Kurven
    Working Papers, Humboldt University, Sonderforschungsbereich 373
  51. Web quantlets for time series analysis
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Annals of the Institute of Statistical Mathematics (2001)

Journal Articles

2008

  1. 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 Downloads
  2. Smoothed L-estimation of regression function
    Computational Statistics & Data Analysis, 2008, 52, (12), 5154-5162 Downloads
    See Also Working Paper (2006)

2007

  1. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 Downloads
  2. On the Utility of E-Learning in Statistics
    International Statistical Review, 2007, 75, (3), 355-364 Downloads
    See Also Working Paper (2007)

2006

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

2005

  1. Transactions that did not happen and their influence on prices
    Journal of Economic Behavior & Organization, 2005, 56, (4), 567-591 Downloads
    See Also Working Paper (2003)

2004

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

2003

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

2001

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

2000

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

1999

  1. 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 Downloads View citations
  2. Testing a Regression Model When We Have Smooth Alternatives in Mind
    Scandinavian Journal of Statistics, 1999, 26, (2), 221-238 Downloads
    See Also Working Paper (1998)

1998

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

1997

  1. Local polynomial estimators of the volatility function in nonparametric autoregression
    Journal of Econometrics, 1997, 81, (1), 223-242 Downloads View citations

1995

  1. Book reviews
    Metrika, 1995, 42, (1), 265-278 Downloads
    Also in
    Metrika, 1989, 36, (1), 310-316 (1989) Downloads
    Journal of Economics, 1990, 51, (3), 307-327 (1990) Downloads
  2. Estimation of Non-sharp Support Boundaries
    Journal of Multivariate Analysis, 1995, 55, (2), 205-218 Downloads
  3. Fast and simple scatterplot smoothing
    Computational Statistics & Data Analysis, 1995, 20, (1), 1-17 Downloads View citations
    See Also Working Paper
  4. Nonclassical demand: A model-free examination of price-quantity relations in the Marseille fish market
    Journal of Econometrics, 1995, 67, (1), 227-257 Downloads View citations
  5. Testing increasing dispersion
    Computational Statistics & Data Analysis, 1995, 19, (6), 641-653 Downloads
    See Also Working Paper (1992)

1993

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

1991

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

1989

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

1986

  1. 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 Downloads
  2. Random approximations to some measures of accuracy in nonparametric curve estimation
    Journal of Multivariate Analysis, 1986, 20, (1), 91-113 Downloads View citations

1984

  1. Robust regression function estimation
    Journal of Multivariate Analysis, 1984, 14, (2), 169-180 Downloads

Chapters

1986

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

Software Items

Undated

  1. XploRe
    DOS and Windows codes Downloads
 
 
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