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Details about Wolfgang Karl Härdle

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

2014

  1. A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. An Application of Principal Component Analysis on Multivariate Time-Stationary Spatio-Temporal Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. An Extended Single Index Model with Missing Response at Random
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Confidence Corridors for Multivariate Generalized Quantile Regression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Credit Risk Calibration based on CDS Spreads
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. Ladislaus von Bortkiewicz - statistician, economist, and a European intellectual
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Principal Component Analysis in an Asymmetric Norm
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  8. Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  9. TEDAS - Tail Event Driven ASset Allocation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2013

  1. CDO Surfaces Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Composite Quantile Regression for the Single-Index Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  3. Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Functional Data Analysis of Generalized Quantile Regressions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  5. Reference Dependent Preferences and the EPK Puzzle
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. State Price Densities implied from weather derivatives
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  7. Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2012

  1. Common factors in credit defaults swaps markets
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Computational Statistics (Journal)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)
  3. 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 Downloads
  4. Forecast based Pricing of Weather Derivatives
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  5. HMM in dynamic HAC models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. Implied Basket Correlation Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  8. Quantile Regression in Risk Calibration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  9. Support Vector Machines with Evolutionary Feature Selection for Default Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  10. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
  11. Variable selection in Cox regression models with varying coefficients
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  12. Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2011

  1. A Confidence Corridor for Expectile Functions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (34)
  2. A Confidence Corridor for Sparse Longitudinal Data Curves
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (30)
  3. Bayesian Networks and Sex-related Homicides
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (22)
  4. Difference based Ridge and Liu type Estimators in Semiparametric Regression Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (34)
    See also Journal Article in Journal of Multivariate Analysis (2012)
  5. Forecasting Corporate Distress in the Asian and Pacific Region
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. How Computational Statistics Became the Backbone of Modern Data Science
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Increasing Weather Risk: Fact or Fiction?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  8. Local Quantile Regression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (36)
  9. Localising temperature risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (36)
  10. Mean Volatility Regressions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (34)
  11. Oracally Efficient Two-Step Estimation of Generalized Additive Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (28)
  12. Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  13. 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 Downloads
  14. Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (33)
  15. TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2014)

2010

  1. Adaptive Interest Rate Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (14)
  2. High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Learning Machines Supporting Bankruptcy Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Modeling Asset Prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Nonparametric Estimation of Risk-Neutral Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (16)
  6. Partial Linear Quantile Regression and Bootstrap Confidence Bands
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  7. Prognose mit nichtparametrischen Verfahren
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004) Downloads
  8. The dynamics of hourly electricity prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  9. Time varying Hierarchical Archimedean Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)
  10. Uniform confidence bands for pricing kernels
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (18)
  11. Volatility Investing with Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)

2009

  1. A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  2. A Microeconomic Explanation of the EPK Paradox
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  3. CDO Pricing with Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. CDO and HAC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  5. De copulis non est disputandum - Copulae: An Overview
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  6. Generalized single-index models: The EFM approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Implied Market Price of Weather Risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)
  8. Localized Realized Volatility Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Journal of the American Statistical Association (2010)
  9. Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2009) Downloads View citations (4)
  10. Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) Downloads
  11. Pricing of Asian temperature risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  12. Quantifizierbarkeit von Risiken auf Finanzmärkten
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  13. Shape invariant modelling pricing kernels and risk aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  14. Stochastic Population Forecast for Germany and its Consequence for the German Pension System
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)

2008

  1. A Consistent Nonparametric Test for Causality in Quantile
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Econometric Theory (2012)
  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)
  3. Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    See also Journal Article in AStA Advances in Statistical Analysis (2009)
  4. Independent Component Analysis Via Copula Techniques
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  5. Measuring and Modeling Risk Using High-Frequency Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  6. Modeling Dependencies in Finance using Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  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
  10. Statistics E-learning Platforms Evaluation: Case Study
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  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 View citations (4)
  13. The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2010)
  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 View citations (1)
  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
  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 (6)

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 (4)
  2. Calibrating CAT bonds for Mexican earthquakes
    101st Seminar, July 5-6, 2007, Berlin Germany, European Association of Agricultural Economists Downloads View citations (2)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2007) Downloads View citations (1)

    See also Journal Article in Journal of Risk & Insurance (2010)
  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 (4)
  5. Estimating Probabilities of Default With Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    Also in Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre (2007) Downloads View citations (1)
  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 (2)
  8. On the Utility of E-Learning in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    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 (1)
  10. Statistics of Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  11. Time Series Modelling with Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (23)
    See also Journal Article in Journal of the American Statistical Association (2009)
  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 (1)

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 View citations (1)
  3. Color Harmonization in Car Manufacturing Process
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  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 (21)
  6. Estimation of Default Probabilities with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  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 (1)
  9. GHICA - Risk Analysis with GH Distributions and Independent Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2010)
  10. Graphical Data Representation in Bankruptcy Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  11. Inhomogeneous Dependency Modelling with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
  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 (2)
  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 View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) 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 (2)
  17. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  18. e-Learning Statistics - A Selective Review
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2005

  1. A Bootstrap Test for Single Index Models
    Econometrics, EconWPA Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (1)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1993) Downloads
  2. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  3. Common Functional Implied Volatility Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  4. DSFM fitting of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  5. Dynamics of State Price Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2009)
  6. Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) 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 (7)
  8. Integrable e-lements for Statistics Education
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  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 (4)
    See also Journal Article in Journal of the American Statistical Association (2008)
  11. Portfolio Value at Risk Based on Independent Components Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  12. Predicting Bankruptcy with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  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 (16)
  15. Value-at-Risk Calculations with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  16. Working with the XQC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)

2004

  1. Rating Companies with Support Vector Machines
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  2. Simulation of risk processes
    Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (8)
  3. Skewness and Kurtosis Trades
    Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (2)
  4. Yxilon: Designing The Next Generation, Vertically Integrable Statistical Software Environment
    Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) Downloads

2003

  1. An introduction to simulation of risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (3)
  2. 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 Downloads
  3. 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 Downloads
  4. Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. Implied volatility string dynamics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (26)
  6. 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 Downloads
  7. 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 LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads
  8. Semiparametric regression analysis with missing response at random
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (2)
    See also Journal Article in Journal of the American Statistical Association (2004)
  9. Transactions That Did Not Happen and Their Influence on Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads View citations (2)

    See also Journal Article in Journal of Economic Behavior & Organization (2005)
  10. 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 Downloads

2002

  1. 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 Downloads
  2. 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 Downloads
  3. 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 Downloads View citations (1)
  4. Exploring credit data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. 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 Downloads View citations (1)
  6. M robustified additive nonparametric regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads
  7. 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 Downloads
  8. 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 Downloads

2001

  1. Bootstrap Inference in Semiparametric Generalized Additive Models
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (6)
  2. Bootstrap methods for time series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (34)
  3. 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 Downloads
  4. 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 Downloads
  5. 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 Downloads
  6. Semiparametric Diffusion Estimation and Application to a Stock Market Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  7. 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 Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2008)
  8. The analysis of implied volatilities
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  9. 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 Downloads
    See also Journal Article in Review of Derivatives Research (2003)
  10. Time inhomogeneous multiple volatility modelling
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (3)

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

2000

  1. 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 Downloads
  2. 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 Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series B (2003)
  3. 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 Downloads View citations (1)
  4. Flexible time series analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  5. 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 Downloads View citations (2)
  6. 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 Downloads View citations (2)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1997) Downloads
  7. Partially linear models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (84)
  8. Web quantlets for time series analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Annals of the Institute of Statistical Mathematics (2001)

1999

  1. Backtesting beyond VaR
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. Connected teaching of statistics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  3. 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 Downloads
  4. 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 Downloads View citations (1)
  5. 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 Downloads
    See also Journal Article in Statistical Inference for Stochastic Processes (2000)
  6. 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 Downloads

1998

  1. 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 Downloads
  2. 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
  3. Internet based econometric computing
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Journal of Econometrics (2000)
  4. 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 Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996) View citations (17)
  5. 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 Downloads View citations (1)
  6. 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

  1. 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 (2)
  2. 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 Downloads View citations (1)
  3. 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 Downloads
  4. 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 Downloads View citations (1)
  5. Component analysis for additive models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  6. Discrete time option pricing with flexible volatility estimation
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1997) Downloads View citations (3)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Finance and Stochastics (2000)
  7. Efficient estimation in single-index regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  8. Financial calculations on the net
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  9. 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 Downloads
  10. 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 Downloads
  11. Multivariate and semiparametric kernel regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  12. 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
  13. 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 Downloads View citations (27)
    See also Journal Article in Journal of Applied Econometrics (1998)
  14. Teaching wavelets in XploRe
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  15. Wachsende Dispersion und Engel-Kurven
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1996

  1. 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
  2. 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 (22)
  3. 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
  4. Computerassisted Semiparametric Generalized Linear Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  5. 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 (11)
  6. Discussion
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (64)
  7. 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 (7)
  8. 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)
  9. Nonparametric Vector Autoregression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (24)
  10. Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads 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

  1. 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)
  2. 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 (7)
  3. 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
  4. 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 View citations (1)
  5. 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 (4)
  6. 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)
  7. 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)
  8. Nonparametric Regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (7)
  9. 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)
  10. 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 View citations (2)

1994

  1. Additive Nonparametric Regression on Principal Components
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  2. Applied Nonparametric Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (226)
    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) Downloads
    Working Papers, Tilburg - Center for Economic Research (1992) View citations (19)
    Discussion Paper, Tilburg University, Center for Economic Research (1992) Downloads View citations (48)

    See also Chapter (1986)
  3. 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
  4. 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 (11)
  5. 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 Downloads 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)
  6. 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)
  7. 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)
  8. 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
  9. 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
  10. 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 Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (1995)

1992

  1. 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) Downloads

    See also Journal Article in Journal of Econometrics (1993)
  2. Nonparametric approaches to generalized linear models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. Testing a Parametric Model Against a Semiparametric Alternative
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Working Papers, University of Iowa, Department of Economics (1992) View citations (1)

    See also Journal Article in Econometric Theory (1994)

1991

  1. 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)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  2. Better Bootstrap Confidence Intervals for Regression Curve Estimation
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
  3. Cross section Engel Curves over Time
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (6)
    Also in Discussion Paper Serie A, University of Bonn, Germany (1988) View citations (8)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990) View citations (9)
  4. 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 CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (2)
  5. 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)
  6. On teh inconsistency of bootstrap distribution estimators
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (1993)
  7. On the choice of Kernel regression estimators: a discussion
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  8. Optimal smoothing in single index models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (13)

1990

  1. 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)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Econometric Theory (1992)
  2. Bootstarp Methods in Nonparametric Regression
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. 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)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  4. Comparing nonparametric versus parametric regression fits
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
  5. How many terms should be added into an additive model ?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  6. Kernel regression smoothing of time series
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  7. 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 (8)
  8. 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)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  9. Remarks on sliced inverse regression
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  10. Robust locally adaptive nonparametric regression
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  11. Smoothing by weighted averaging of rounded points
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1989

  1. BOOTSTRAP SIMULTANEOUS ERROR BARS FOR NONPARAMETRIC REGRESSION
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    Also in Discussion Paper Serie A, University of Bonn, Germany (1989) View citations (3)
  2. Biased Crossvalidation for a Kernel regression estimator and its derivatives
    Discussion Paper Serie A, University of Bonn, Germany
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  3. Empirical Evidence on the Law of Demand
    Discussion Paper Serie A, University of Bonn, Germany View citations (3)
    Also in Discussion Paper Serie A, University of Bonn, Germany (1988)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

    See also Journal Article in Econometrica (1991)
  4. Resampling for inference from curves
    Discussion Paper Serie A, University of Bonn, Germany View citations (1)
  5. SIMPLE FORMULAE FOR STEPS AND LIMITS IN THE BACKFITTING ALGORITHM
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  6. 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 CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Discussion Paper Serie A, University of Bonn, Germany (1988) View citations (1)
  2. Comparing nonparametric versus regression fits
    Discussion Paper Serie A, University of Bonn, Germany
  3. Efficient nonparametric smoothing in high dimensions using interactive graphicaL techniques
    Discussion Paper Serie A, University of Bonn, Germany
  4. On the use of nonparametric regression for model checking
    Discussion Paper Serie A, University of Bonn, Germany View citations (5)
  5. Second order effects in semiparametric weighted least squares regression
    Discussion Paper Serie A, University of Bonn, Germany View citations (2)

1987

  1. Investigations smooth multiple regression by the method of average derivatives
    Discussion Paper Serie A, University of Bonn, Germany View citations (36)
  2. Semiparametric comparision of regression curve
    Discussion Paper Serie A, University of Bonn, Germany View citations (8)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  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

1986

  1. Bootstrapping in nonparametric regression: Local adaptive smoothing and confidence bands
    Discussion Paper Serie A, University of Bonn, Germany View citations (3)
  2. How far are automatically chosen regression smoothing parametres from their optimum?
    Discussion Paper Serie A, University of Bonn, Germany View citations (9)
  3. Resistant smoothing using the fast Fourier Transform
    Discussion Paper Serie A, University of Bonn, Germany View citations (1)
  4. Robust nonparametric regression with simultaneous scale curve estimation
    Discussion Paper Serie A, University of Bonn, Germany View citations (1)
  5. Strong uniform consistency rates for estimators of conditional functionals
    Discussion Paper Serie A, University of Bonn, Germany View citations (3)

Undated

  1. Applied nonparametric smoothing techniques
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (1)
  2. Bootstrap simultaneous error for nonparametric regression
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. COment on "Choosing a kernel regression estimator", by C.K. Ghu and J.S. Marron
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  4. Nichtparametrische Glaettungsmethoden in der alltaeglichen statistischen Praxis
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (1)
  5. On efficient estimation of an averaged derivative
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Journal Articles

2014

  1. TVICA—Time varying independent component analysis and its application to financial data
    Computational Statistics & Data Analysis, 2014, 74, (C), 95-109 Downloads
    See also Working Paper (2011)

2013

  1. Dynamic structured copula models
    Statistics & Risk Modeling, 2013, 30, (4), 361-388 Downloads
  2. Shape Invariant Modeling of Pricing Kernels and Risk Aversion
    Journal of Financial Econometrics, 2013, 11, (2), 370-399 Downloads
  3. Using wiki to build an e-learning system in statistics in the Arabic language
    Computational Statistics, 2013, 28, (2), 481-491 Downloads
  4. Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    Journal of Empirical Finance, 2013, 24, (C), 42-62 Downloads

2012

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

2010

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

2009

  1. Dynamic semiparametric factor models in risk neutral density estimation
    AStA Advances in Statistical Analysis, 2009, 93, (4), 387-402 Downloads View citations (1)
    See also Working Paper (2008)
  2. Dynamics of state price densities
    Journal of Econometrics, 2009, 150, (1), 1-15 Downloads View citations (5)
    See also Working Paper (2005)
  3. Inhomogeneous Dependence Modeling with Time-Varying Copulae
    Journal of Business & Economic Statistics, 2009, 27, (2), 224-234 Downloads View citations (12)
    See also Working Paper (2006)
  4. Time Series Modelling With Semiparametric Factor Dynamics
    Journal of the American Statistical Association, 2009, 104, (485), 284-298 Downloads View citations (15)
    See also Working Paper (2007)
  5. 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 Downloads View citations (6)

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
  2. Nonparametric Risk Management With Generalized Hyperbolic Distributions
    Journal of the American Statistical Association, 2008, 103, (483), 910-923 Downloads View citations (7)
    See also Working Paper (2005)
  3. Semiparametric diffusion estimation and application to a stock market index
    Quantitative Finance, 2008, 8, (1), 81-92 Downloads View citations (1)
    See also Working Paper (2001)
  4. Smoothed L-estimation of regression function
    Computational Statistics & Data Analysis, 2008, 52, (12), 5154-5162 Downloads View citations (1)
    See also Working Paper (2006)
  5. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 Downloads View citations (3)

2007

  1. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 Downloads View citations (4)
  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 View citations (4)
    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 (14)
  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 (5)
    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 View citations (24)

2005

  1. Transactions that did not happen and their influence on prices
    Journal of Economic Behavior & Organization, 2005, 56, (4), 567-591 Downloads View citations (3)
    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 (22)
    See also Working Paper (2003)
  2. Support Vector Machines: eine neue Methode zum Rating von Unternehmen
    DIW Wochenbericht, 2004, 71, (49), 759-765 Downloads View citations (1)

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 (22)
    See also Working Paper (2000)
  2. Efficient estimation in conditional single-index regression
    Journal of Multivariate Analysis, 2003, 86, (2), 213-226 Downloads View citations (15)
  3. The Dynamics of Implied Volatilities: A Common Principal Components Approach
    Review of Derivatives Research, 2003, 6, (3), 179-202 Downloads View citations (20)
    See also Working Paper (2001)
  4. Time Inhomogeneous Multiple Volatility Modeling
    Journal of Financial Econometrics, 2003, 1, (1), 55-95 View citations (11)
    See also Working Paper (2001)

2001

  1. Structural Tests in Additive Regression
    Journal of the American Statistical Association, 2001, 96, 1333-1347 Downloads View citations (4)
  2. Web Quantlets for Time Series Analysis
    Annals of the Institute of Statistical Mathematics, 2001, 53, (1), 179-188 Downloads View citations (6)
    See also Working Paper (2000)

2000

  1. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 Downloads View citations (10)
    See also Working Paper (1997)
  2. Internet-based econometric computing
    Journal of Econometrics, 2000, 95, (2), 333-345 Downloads View citations (1)
    See also Working Paper (1998)
  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 View citations (4)
    See also Working Paper (1999)

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 (6)
  2. Testing a Regression Model When We Have Smooth Alternatives in Mind
    Scandinavian Journal of Statistics, 1999, 26, (2), 221-238 Downloads View citations (2)
    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 (48)
    See also Working Paper (1997)

1997

  1. Local polynomial estimators of the volatility function in nonparametric autoregression
    Journal of Econometrics, 1997, 81, (1), 223-242 Downloads View citations (54)
    See also Working Paper (1995)

1995

  1. Book reviews
    Metrika, 1995, 42, (1), 265-278 Downloads
    Also in Journal of Economics, 1990, 51, (3), 307-327 (1990) Downloads
    Metrika, 1989, 36, (1), 310-316 (1989) Downloads
  2. Estimation of Non-sharp Support Boundaries
    Journal of Multivariate Analysis, 1995, 55, (2), 205-218 Downloads View citations (16)
  3. Fast and simple scatterplot smoothing
    Computational Statistics & Data Analysis, 1995, 20, (1), 1-17 Downloads View citations (3)
    See also Working Paper (1994)
  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 (23)
  5. Testing increasing dispersion
    Computational Statistics & Data Analysis, 1995, 19, (6), 641-653 Downloads
    See also Working Paper (1994)

1994

  1. Testing a Parametric Model Against a Semiparametric Alternative
    Econometric Theory, 1994, 10, (05), 821-848 Downloads View citations (11)
    See also Working Paper (1992)

1993

  1. How sensitive are average derivatives?
    Journal of Econometrics, 1993, 58, (1-2), 31-48 Downloads View citations (19)
    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 (2)
  3. On the inconsistency of bootstrap distribution estimators
    Computational Statistics & Data Analysis, 1993, 16, (1), 11-18 Downloads View citations (9)
    See also Working Paper (1991)

1992

  1. A Bootstrap Test for Positive Definiteness of Income Effect Matrices
    Econometric Theory, 1992, 8, (02), 276-292 Downloads View citations (6)
    See also Working Paper (1990)

1991

  1. Empirical Evidence on the Law of Demand
    Econometrica, 1991, 59, (6), 1525-49 Downloads View citations (34)
    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 (9)
  2. Symmetrized nearest neighbor regression estimates
    Statistics & Probability Letters, 1989, 7, (4), 315-318 Downloads View citations (1)
    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 View citations (1)
  2. Random approximations to some measures of accuracy in nonparametric curve estimation
    Journal of Multivariate Analysis, 1986, 20, (1), 91-113 Downloads View citations (14)
  3. 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 Downloads View citations (19)

1984

  1. Robust regression function estimation
    Journal of Multivariate Analysis, 1984, 14, (2), 169-180 Downloads View citations (5)

Books

1992

  1. Applied Nonparametric Regression
    Cambridge Books, Cambridge University Press View citations (14)

Edited books

2011

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

2005

  1. Statistical Tools for Finance and Insurance
    HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (42)

Chapters

1986

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

Software Items

Undated

  1. XploRe
    DOS and Windows codes Downloads
 
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