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

2007

18. A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
19. Calibrating CAT bonds for Mexican earthquakes
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
    Also in
    101st Seminar, July 5-6, 2007, Berlin Germany, European Association of Agricultural Economists (2007)
20. Computational Statistics and Data Visualization
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
21. Empirical Pricing Kernels and Investor Preferences
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
22. Estimating Probabilities of Default With Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
    Also in
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre (2007) View citations
23. 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
24. Long Memory Persistence in the Factor of Implied Volatility Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
25. On the Utility of E-Learning in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
    See Also Journal Article in International Statistical Review (2007)
26. QuantNet – A Database-Driven Online Repository of Scientific Information
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
27. Statistics of Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
28. Time Series Modelling with Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
29. Using Wiki to Build an E-learning System in Statistics in Arabic Language
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
30. Yxilon – A Client/Server Based Statistical Environment
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations

2006

31. Calibration Design of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
32. Calibration Risk for Exotic Options
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
33. Color Harmonization in Car Manufacturing Process
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
34. Common Functional Principal Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
35. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
36. Estimation of Default Probabilities with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
37. Exploratory Graphics of a Financial Dataset
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
38. Forecasting the Term Structure of Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
39. GHICA - Risk Analysis with GH Distributions and Independent Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
40. Graphical Data Representation in Bankruptcy Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
41. Inhomogeneous Dependency Modelling with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
42. On the Appropriateness of Inappropriate VaR Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    See Also Journal Article in AStA Advances in Statistical Analysis (2006)
43. On the Difficulty to Design Arabic E-learning System in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
44. Robust Econometrics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
45. Smoothed L-estimation of regression function
    Discussion Paper, Tilburg University, Center for Economic Research
    See Also Journal Article in Computational Statistics & Data Analysis (2008)
46. Time Dependent Relative Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
47. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
48. e-Learning Statistics - A Selective Review
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations

2005

49. A Bootstrap Test for Single Index Models
    Econometrics, EconWPA
    Also in
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) (1993)
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
50. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
51. Common Functional Implied Volatility Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
52. DSFM fitting of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
53. Dynamics of State Price Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
54. Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
    See Also Journal Article in Journal of the American Statistical Association (2006)
55. FFT Based Option Pricing
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
56. Integrable e-lements for Statistics Education
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
57. Nonparametric Productivity Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
58. Nonparametric Risk Management with Generalized Hyperbolic Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
59. Portfolio Value at Risk Based on Independent Components Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
60. Predicting Bankruptcy with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
61. Robust estimation of dimension reduction space
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2005)
    See Also Journal Article in Computational Statistics & Data Analysis (2006)
62. Stable Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
63. Value-at-Risk Calculations with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
64. Working with the XQC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations

2004

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

2003

66. Semiparametric Regression Analysis under Imputation for Missing Response Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
67. Semiparametric regression analysis with missing response at random
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations
    See Also Journal Article in Journal of the American Statistical Association (2004)
68. Transactions That Did Not Happen and Their Influence on Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See Also Journal Article in Journal of Economic Behavior & Organization (2005)

2001

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

2000

71. Time Inhomogeneous Multiple Volatility Modelling
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See Also Journal Article in Journal of Financial Econometrics (2003)

1998

72. 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

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

1994

74. Applied Nonparametric Methods
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University 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)
75. 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

76. How Sensitive are Average Derivatives?
    Working Papers, Tilburg - Center for Economic Research
    See Also Journal Article in Journal of Econometrics (1993)
77. Nonparametric Approaches to Generalized Linear Models
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
78. Testing Increasing Dispersion
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
    Also in
    Working Papers, Humboldt University, Statistic und Oekonometrie
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See Also Journal Article in Computational Statistics & Data Analysis (1995)
79. Testing a Parametric Model Against a Semiparametric Alternative
    Working Papers, University of Iowa, Department of Economics

1991

80. Better Bootstrap Confidence Intervals for Regression Curve Estimation
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
81. 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)
82. Optimal smoothing in single index models
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations

1990

83. 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)
84. Bootstarp Methods in Nonparametric Regression
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
85. 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)
86. Comparing nonparametric versus parametric regression fits
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE) View citations
87. HERNEL REGRESSION SMOOTHING OF TIME SERIES
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
88. 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
89. Optimal Median Smoothing
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
    Also in
    Working Papers, Humboldt University, Sonderforschungsbereich 373
90. REMARKS ON SLICED INVERSE REGRESSION
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
91. ROBUST LOCALLY ADAPTIVE NONPARAMETRIC REGRESSION
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)
92. Smooting by weighted averaging of rounded points
    Papers, Universite catholique de Louvain - Center for Operations Research and Economics (CORE)

1989

93. 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)
94. Bandwidth choice for average derivative estimation
    Discussion Paper Serie A, University of Bonn, Germany View citations
95. Biased Crossvalidation for a Kernel regression estimator and its derivatives
    Discussion Paper Serie A, University of Bonn, Germany
96. 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)
97. 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
98. Resampling for inference from curves
    Discussion Paper Serie A, University of Bonn, Germany
99. The interplay between statistics and computing in data ana- lysis
    Discussion Paper Serie A, University of Bonn, Germany

1988

100. 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
101. Comparing nonparametric versus regression fits
     Discussion Paper Serie A, University of Bonn, Germany
102. Cross section Engel curves over time
     Discussion Paper Serie A, University of Bonn, Germany View citations
103. Efficient nonparametric smoothing in high dimensions using interactive graphicaL techniques
     Discussion Paper Serie A, University of Bonn, Germany
104. On the use of nonparametric regression for model checking
     Discussion Paper Serie A, University of Bonn, Germany View citations
105. Second order effects in semiparametric weighted least squares regression
     Discussion Paper Serie A, University of Bonn, Germany View citations

1987

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

1986

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

Undated

116. A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
117. Adaptive Estimation for a Time Inhomogeneous Stochastic-Volatility Model
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
118. Additive Nonparametric Regression on Principal Components
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
119. 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)
120. Applied nonparametric smoothing techniques
     Working Papers, Humboldt University, Statistic und Oekonometrie
121. Asymptotic Normality of Parametric Part in Partial Linear Heteroscedastic Regression Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373
122. Asymptotic Properties of the Nonparametric Part in Partial Linear Heteroscedastic Regression Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373
123. Backtesting Beyond VaR
     Working Papers, Humboldt University, Sonderforschungsbereich 373
124. Better Bootstrap Confidence Intervals for Curve Estimation
     Working Papers, Humboldt University, Sonderforschungsbereich 373
125. Bootstrap Approximations in a Partially Linear Regression Model
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
126. Bootstrap Methods For Time Series
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
127. Common Factors Governing VDAX Movements and the Maximum Loss
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
128. Component Analysis for Additive Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
129. Connected Teaching of Statistics
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
130. DPLS in XploRe - A PLS Approach to Dynamic Path Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373
131. 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)
132. Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
133. Efficient Estimation in Single-Index Regression
     Working Papers, Humboldt University, Sonderforschungsbereich 373
134. Estimation in an additive model when the components are linked parametrically
     Working Papers, Humboldt University, Sonderforschungsbereich 373
135. Fast and Simple Scatterplot Smoothing
     Working Papers, Humboldt University, Sonderforschungsbereich 373
     Also in
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations
     See Also Journal Article in Computational Statistics & Data Analysis (1995)
136. Financial calculations on the net
     Working Papers, Humboldt University, Sonderforschungsbereich 373
137. Flexible Stochastic Volatility Structures for High Frequency Financial Data
     Working Papers, Humboldt University, Sonderforschungsbereich 373
138. Flexible Time Series Analysis
     Working Papers, Humboldt University, Sonderforschungsbereich 373
139. Germany's Labor Market Problems: An Empirical Assessment August 26-29, 1998 Berlin
     Working Papers, Humboldt University, Sonderforschungsbereich 373
140. How Precise Are Price Distributions Predicted by Implied Binomial Trees?
     Working Papers, Humboldt University, Sonderforschungsbereich 373
141. Internet Based Econometric Computing
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
     See Also Journal Article in Journal of Econometrics (2000)
142. Iterated bootstrap with applications to frontier models
     Working Papers, Humboldt University, Statistic und Oekonometrie
143. Large Sample Theory in a Semiparametric Partially Linear Errors-in-Variables Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
144. Large Sample Theory of the Estimation of the Error Distribution for a Semiparametric Model
     Working Papers, Humboldt University, Sonderforschungsbereich 373
145. MD*ReX: Linking XploRe to Standard Spread-sheet Applications
     Working Papers, Humboldt University, Sonderforschungsbereich 373
146. MM*Stat - Eine interaktive Einführung in die Welt der Statistik - Exponat auf der CeBit 2001
     Working Papers, Humboldt University, Sonderforschungsbereich 373
147. Multivariate and Semiparametric Kernel Regression
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
148. Nichtparametrische Glaettungsmethoden in der alltaeglichen statistischen Praxis
     Working Papers, Humboldt University, Statistic und Oekonometrie
149. Nonparametric Autoregression with Multiplicative Volatility and Additive Mean
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
150. Nonparametric Estimation of Additive Models with Homogeneous Components
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
151. On Saving, Updating and Dynamic Programming -An Experimental Analysis-
     Working Papers, Humboldt University, Sonderforschungsbereich 373
152. On adaptive estimation in partial linear models
     Working Papers, Humboldt University, Sonderforschungsbereich 373
     Also in
     Working Papers, Humboldt University, Sonderforschungsbereich 373
153. On adaptive smoothing in partial linear models
     Working Papers, Humboldt University, Sonderforschungsbereich 373
154. Search of Significant Variables in Nonparametric Additive Regression
     Working Papers, Humboldt University, Sonderforschungsbereich 373
155. Semi-Parametric Estimation of generalized Partially Linear Single-Index Models
     Working Papers, Humboldt University, Sonderforschungsbereich 373
156. 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)
157. 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)
158. Semiparametric Diffusion Estimation and Application to a Stock Market Index
     Working Papers, Humboldt University, Sonderforschungsbereich 373
159. Semiparametric additive indices for binary response and generalized additive models
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
160. Teaching Wavelets in XploRe
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
161. Testing a Parametric Model against a Semiparametric Model
     Working Papers, Humboldt University, Sonderforschungsbereich 373
162. The Analysis of Implied Volatilities
     Working Papers, Humboldt University, Sonderforschungsbereich 373
163. 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)
164. The Three Dimensions of Multimedia Teaching of Statistics
     Working Papers, Humboldt University, Sonderforschungsbereich 373
165. Wachsende Dispersion und Engel-Kurven
     Working Papers, Humboldt University, Sonderforschungsbereich 373
166. 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
2. Smoothed L-estimation of regression function
   Computational Statistics & Data Analysis, 2008, 52, (12), 5154-5162
   See Also Working Paper (2006)

2007

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

2006

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

2005

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

2004

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

2003

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

2001

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

2000

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

1999

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

1998

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

1997

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

1995

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

1993

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

1991

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

1989

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

1986

37. 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
38. Random approximations to some measures of accuracy in nonparametric curve estimation
    Journal of Multivariate Analysis, 1986, 20, (1), 91-113 View citations

1984

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

Chapters

1986

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

Software Items

Undated

1. XploRe
   DOS and Windows codes