Details about Wolfgang Karl Härdle

E-mail:
Homepage:	http://lvb.wiwi.hu-berlin.de
Workplace:	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

2022

1. DAI Digital Art Index: a robust price index for heterogeneous digital assets
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

2021

2. A financial risk meter for China
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
3. A time-varying network for cryptocurrencies
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
4. FRM Financial Risk Meter for Emerging Markets
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
5. Financial Risk Meter based on expectiles
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
6. Hedging Cryptocurrency Options
   MPRA Paper, University Library of Munich, Germany
   Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2021)
   MPRA Paper, University Library of Munich, Germany (2021)
7. Hedging cryptos with Bitcoin futures
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
8. High-dimensional statistical learning techniques for time-varying limit order book networks
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
9. K-expectiles clustering
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (4)
   See also Journal Article K-expectiles clustering, Journal of Multivariate Analysis, Elsevier (2022) (2022)
10. Networks of news and cross-sectional returns
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
11. Penalized weigted competing risks models based on quantile regression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
12. Robustifying Markowitz
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
13. Rodeo or ascot: Which hat to wear at the crypto race?
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
14. Surrogate Models for Optimization of Dynamical Systems
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
15. Understanding Smart Contracts: Hype or hope?
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
16. Understanding jumps in high frequency digital asset markets
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
17. Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression
    Working Papers CIE, Paderborn University, CIE Center for International Economics

2020

18. A Machine Learning Based Regulatory Risk Index for Cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (3)
19. A data-driven P-spline smoother and the P-Spline-GARCH models
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
20. Blockchain mechanism and distributional characteristics of cryptos
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
21. CRIX an Index for cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
    See also Journal Article CRIX an Index for cryptocurrencies, Journal of Empirical Finance, Elsevier (2018) View citations (97) (2018)
22. Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
23. Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (3)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
    See also Journal Article Estimation and determinants of Chinese banks’ total factor efficiency: a new vision based on unbalanced development of Chinese banks and their overall risk, Computational Statistics, Springer (2020) View citations (3) (2020)
24. Factorisable Multitask Quantile Regression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2016)
    See also Journal Article FACTORISABLE MULTITASK QUANTILE REGRESSION, Econometric Theory, Cambridge University Press (2021) (2021)
25. Forex exchange rate forecasting using deep recurrent neural networks
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (8)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
    See also Journal Article Forex exchange rate forecasting using deep recurrent neural networks, Digital Finance, Springer (2020) View citations (8) (2020)
26. Kernel Estimation: the Equivalent Spline Smoothing Method
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994)
27. Service Data Analytics and Business Intelligence
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
28. Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
29. Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (6)
30. Tail-risk protection: Machine Learning meets modern Econometrics
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    See also Chapter Tail-Risk Protection: Machine Learning Meets Modern Econometrics, Springer Books, Springer (2022) (2022)
31. The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (3)
32. The common and speci fic components of inflation expectation across European countries
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
    See also Journal Article The common and specific components of inflation expectations across European countries, Empirical Economics, Springer (2022) (2022)

2019

33. Antisocial Online Behavior Detection Using Deep Learning
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
34. Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
35. Constrained Kelly portfolios under alpha-stable laws
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
36. Cooling Measures and Housing Wealth: Evidence from Singapore
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
37. Dynamic Network Perspective of Cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
38. Estimating low sampling frequency risk measure by high-frequency data
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
39. FRM Financial Risk Meter
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (4)
40. Forecasting in Blockchain-based Local Energy Markets
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (7)
    See also Journal Article Forecasting in Blockchain-Based Local Energy Markets, Energies, MDPI (2019) View citations (5) (2019)
41. Group Average Treatment Effects for Observational Studies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (5)
42. Influencers and Communities in Social Networks
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
43. Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
44. LASSO-Driven Inference in Time and Space
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (23)
45. Localizing Multivariate CAViaR
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
46. Media-expressed tone, Option Characteristics, and Stock Return Predictability
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
    See also Journal Article Media-expressed tone, option characteristics, and stock return predictability, Journal of Economic Dynamics and Control, Elsevier (2022) View citations (4) (2022)
47. Phenotypic convergence of cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
48. Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
    See also Journal Article Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies, The European Journal of Finance, Taylor & Francis Journals (2021) View citations (16) (2021)
49. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (27)
50. SONIC: SOcial Network with Influencers and Communities
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
51. VCRIX - a volatility index for crypto-currencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (3)
    See also Journal Article VCRIX — A volatility index for crypto-currencies, International Review of Financial Analysis, Elsevier (2021) View citations (1) (2021)

2018

52. Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    See also Journal Article Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid, Computational Statistics, Springer (2020) View citations (3) (2020)
53. How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
54. How to Measure a Performance of a Collaborative Research Centre
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2018) View citations (1)
    See also Journal Article How to measure the performance of a Collaborative Research Center, Scientometrics, Springer (2018) View citations (1) (2018)
55. Improving Crime Count Forecasts Using Twitter and Taxi Data
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (22)
56. Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (8)
57. Penalized Adaptive Forecasting with Large Information Sets and Structural Changes
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
58. Pricing Cryptocurrency options: the case of CRIX and Bitcoin
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (13)
59. Regularization Approach for Network Modeling of German Energy Market
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
60. Textual Sentiment and Sector specific reaction
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
61. Textual Sentiment, Option Characteristics, and Stock Return Predictability
    Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science View citations (19)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (20)
62. Time-varying Limit Order Book Networks
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (22)
63. Towards the interpretation of time-varying regularization parameters in streaming penalized regression models
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
64. Understanding Cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (7)
    See also Journal Article Understanding Cryptocurrencies, Journal of Financial Econometrics, Oxford University Press (2020) View citations (58) (2020)
65. Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (18)

2017

66. Adaptive weights clustering of research papers
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Adaptive weights clustering of research papers, Digital Finance, Springer (2020) (2020)
67. Data Science & Digital Society
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
68. Dynamic semi-parametric factor model for functional expectiles
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Dynamic semi-parametric factor model for functional expectiles, Computational Statistics, Springer (2019) (2019)
69. Dynamic valuation of weather derivatives under default risk
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
70. FRM: A financial risk meter based on penalizing tail events occurrence
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
71. GitHub API based QuantNet Mining infrastructure in R
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
72. Industry Interdependency Dynamics in a Network Context
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
73. Investing with cryptocurrencies - A liquidity constrained investment approach
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*, Journal of Financial Econometrics, Oxford University Press (2020) View citations (16) (2020)
74. Is scientific performance a function of funds?
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
75. Penalized adaptive method in forecasting with large information set and structure change
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
76. Pricing Green Financial Products
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
77. Smooth principal component analysis for high dimensional data
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
78. Tail event driven networks of SIFIs
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
79. The impact of news on US household inflation expectations
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2016

80. A first econometric analysis of the CRIX family
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
81. A mortality model for multi-populations: A semi-parametric approach
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
82. Academic ranking scales in economics: Prediction and imputation
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
83. Beta-boosted ensemble for big credit scoring data
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
84. CRIX or evaluating blockchain based currencies
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2015)
85. Credit rating score analysis
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
86. Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
87. Dynamic credit default swaps curves in a network topology
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Dynamic credit default swap curves in a network topology, Quantitative Finance, Taylor & Francis Journals (2019) View citations (4) (2019)
88. Dynamic topic modelling for cryptocurrency community forums
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
89. Factorisable sparse tail event curves with expectiles
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
90. Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics, Quantitative Finance, Taylor & Francis Journals (2019) (2019)
91. Functional principal component analysis for derivatives of multivariate curves
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
92. Leveraged ETF options implied volatility paradox: A statistical study
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
93. Multivariate factorisable sparse asymmetric least squares regression
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
94. Network quantile autoregression
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
95. Principal component analysis in an asymmetric norm
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
96. Q3-D3-LSA
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
97. Simultaneous inference for the partially linear model with a multivariate unknown function when the covariates are measured with errors
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
98. Time varying quantile Lasso
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2015

99. Change point and trend analyses of annual expectile curves of tropical storms
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
100. Copula-based factor model for credit risk analysis
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Copula-based factor model for credit risk analysis, Review of Quantitative Finance and Accounting, Springer (2017) View citations (1) (2017)
101. Distillation of news flow into analysis of stock reactions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
102. Estimation of NAIRU with inflation expectation data
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
103. Factorisable sparse tail event curves
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
104. Inflation co-movement across countries in multi-maturity term structure: An arbitrage-free approach
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
105. Risk related brain regions detected with 3D image FPCA
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
106. Stochastic population analysis: A functional data approach
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
107. TERES: Tail event risk expectile based shortfall
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
108. Tail event driven ASset allocation: Evidence from equity and mutual funds' markets
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets, Journal of Asset Management, Palgrave Macmillan (2018) View citations (3) (2018)
109. lCARE: Localizing conditional autoregressive expectiles
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)

2014

110. A simultaneous confidence corridor for varying coefficient regression with sparse functional data
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
111. Adaptive order flow forecasting with multiplicative error models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
112. An application of principal component analysis on multivariate time-stationary spatio-temporal data
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article An Application of Principal Component Analysis on Multivariate Time-stationary Spatio-temporal Data, Spatial Economic Analysis, Taylor & Francis Journals (2015) (2015)
113. An extended single index model with missing response at random
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article An Extended Single-index Model with Missing Response at Random, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2016) View citations (3) (2016)
114. Confidence corridors for multivariate generalized quantile regression
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Confidence Corridors for Multivariate Generalized Quantile Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (2) (2017)
115. Credit risk calibration based on CDS spreads
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
116. Do maternal health problems influence child's worrying status? Evidence from British cohort study
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study, Journal of Applied Statistics, Taylor & Francis Journals (2016) (2016)
117. Expectile treatment effects: An efficient alternative to compute the distribution of treatment effects
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
118. Ladislaus von Bortkiewicz: Statistician, economist, and a European intellectual
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Ladislaus von Bortkiewicz—Statistician, Economist and a European Intellectual, International Statistical Review, International Statistical Institute (2015) View citations (1) (2015)
119. Localising forward intensities for multiperiod corporate default
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
120. Portfolio decisions and brain reactions via the CEAD method
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
121. Pricing kernel modeling
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
122. Simultaneous confidence corridors and variable selection for generalized additive models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
123. TEDAS - Tail Event Driven ASset Allocation
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
124. TENET: Tail-Event driven NETwork risk
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
125. The influence of oil price shocks on China's macro-economy: A perspective of international trade
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
126. The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2013

127. Analysis of deviance in generalized partial linear models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
128. CDO surfaces dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
129. Composite quantile regression for the single-index model
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
130. Default risk calculation based on predictor selection for the Southeast Asian industry
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
131. Functional data analysis of generalized quantile regressions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
132. State Price Densities implied from weather derivatives
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article State price densities implied from weather derivatives, Insurance: Mathematics and Economics, Elsevier (2015) View citations (2) (2015)
133. Tie the straps: Uniform bootstrap con fidence bands for bounded influence curve estimators
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2012

134. Common factors in credit defaults swaps markets
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Common factors in credit defaults swap markets, Computational Statistics, Springer (2015) View citations (7) (2015)
135. Computational Statistics (Journal)
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
136. Copula dynamics in CDOs
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Copula dynamics in CDOs, Quantitative Finance, Taylor & Francis Journals (2014) View citations (9) (2014)
137. Dynamic activity analysis model based win-win development forecasting under the environmental regulation in China
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
138. Forecast based pricing of weather derivatives
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
139. HMM in dynamic HAC models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
140. Implied basket correlation dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
141. Local adaptive multiplicative error models for high-frequency forecasts
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
142. Quantile regression in risk calibration
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (4)
143. Support vector machines with evolutionary feature selection for default prediction
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
144. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (12)
145. Variable selection in Cox regression models with varying coefficients
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
146. Yield curve modeling and forecasting using semiparametric factor dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2011

147. Bayesian Networks and sex-related homicides
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
148. Difference based ridge and Liu type estimators in semiparametric regression models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
149. Forecasting corporate distress in the Asian and Pacific region
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
150. How computational statistics became the backbone of modern data science
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
151. Increasing weather risk: Fact of fiction?
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
152. Oracally efficient two-step estimation of generalized additive model
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Oracally Efficient Two-Step Estimation of Generalized Additive Model, Journal of the American Statistical Association, Taylor & Francis Journals (2013) View citations (9) (2013)
153. Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
154. Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
155. Spatial risk premium on weather derivatives and hedging weather exposure in electricity
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
156. TVICA - time varying independent component analysis and its application to financial data
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2010

157. A confidence corridor for expectile functions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
158. A confidence corridor for sparse longitudinal data curves
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
159. Adaptive interest rate modelling
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Adaptive Interest Rate Modelling, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) (2017)
160. High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
161. Learning machines supporting bankruptcy prediction
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
162. Local quantile regression
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
163. Localising temperature risk
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
     See also Journal Article Localizing Temperature Risk, Journal of the American Statistical Association, Taylor & Francis Journals (2016) View citations (2) (2016)
164. Mean volatility regressions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
165. Modeling asset prices
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
166. Nonparametric estimation of risk-neutral densities
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
167. Partial linear quantile regression and bootstrap confidence bands
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
168. Prognose mit nichtparametrischen Verfahren
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004)
169. The dynamics of hourly electricity prices
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
170. Time varying hierarchical archimedean copulae
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
171. Uniform confidence bands for pricing kernels
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Uniform Confidence Bands for Pricing Kernels, Journal of Financial Econometrics, Oxford University Press (2015) View citations (2) (2015)
172. Volatility investing with variance swaps
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)

2009

173. A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
174. A microeconomic explanation of the EPK paradox
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
175. CDO and HAC
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
176. CDO pricing with copulae
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
177. De copulis non est disputandum - Copulae: An overview
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
178. Generalized single-index models: The EFM approach
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
179. Implied market price of weather risk
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article The Implied Market Price of Weather Risk, Applied Mathematical Finance, Taylor & Francis Journals (2012) View citations (29) (2012)
180. Localized realized volatility modelling
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Localized Realized Volatility Modeling, Journal of the American Statistical Association, American Statistical Association (2010) View citations (44) (2010)
181. Modelling and forecasting liquidity supply using semiparametric factor dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
182. Optimal smoothing for a computationally and statistically efficient single index estimator
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
183. Pricing of Asian temperature risk
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
184. Quantifizierbarkeit von Risiken auf Finanzmärkten
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
185. Shape invariant modelling pricing kernels and risk aversion
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
186. Stochastic population forecast for Germany and its consequence for the German pension system
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2008

187. A consistent nonparametric test for causality in quantile
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
188. Adaptive pointwise estimation in time-inhomogeneous time-series models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     Also in Discussion Paper, Tilburg University, Center for Economic Research (2007) View citations (4)
189. Dynamic semiparametric factor models in risk neutral density estimation
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Dynamic semiparametric factor models in risk neutral density estimation, AStA Advances in Statistical Analysis, Springer (2009) View citations (10) (2009)
190. Independent component analysis via copula techniques
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
191. Measuring and modeling risk using high-frequency data
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
192. Modeling dependencies in finance using copulae
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
193. Numerics of implied binomial trees
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
194. Recurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returns
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
195. Recursive portfolio selection with decision trees
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
196. Statistics e-learning platforms evaluation: Case study
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
197. Support vector regression based GARCH model with application to forecasting volatility of financial returns
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
198. Testing monotonicity of pricing Kernels
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (3)
199. The bayesian additive classification tree applied to credit risk modelling
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
200. The default risk of firms examined with smooth support vector machines
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2007) View citations (2)
201. The stochastic fluctuation of the quantile regression curve
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
202. Using R, LaTeX and Wiki for an Arabic e-learning platform
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
203. Value-at-risk and expected shortfall when there is long range dependence
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

204. A generalized ARFIMA process with Markov-switching fractional differencing parameter
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
205. Calibrating CAT bonds for Mexican earthquakes
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     See also Journal Article Calibrating CAT Bonds for Mexican Earthquakes, Journal of Risk & Insurance, The American Risk and Insurance Association (2010) View citations (22) (2010)
206. Computational statistics and data visualization
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
207. Empirical pricing kernels and investor preferences
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
208. Estimating probabilities of default with support vector machines
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
209. 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 Berlin, Collaborative Research Center 649: Economic Risk
210. Long memory persistence in the factor of Implied volatility dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
211. On the utility of e-learning in statistics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
212. QuantNet: A database-driven online repository of scientific information
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
213. Statistics of risk aversion
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
214. Time series modelling with semiparametric factor dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
215. Using Wiki to build an e-learning system in statistics in Arabic language
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
216. Yxilon: A client-server based statistical environment
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2006

217. Calibration design of implied volatility surfaces
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
218. Calibration risk for exotic options
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
219. Color harmonization in car manufacturing process
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
220. Common functional principal components
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
221. Convenience yields for CO2 emission allowance futures contracts
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
222. E-learning statistics: A selective review
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
223. Estimation of default probabilities with Support Vector Machines
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
224. Exploratory graphics of a financial dataset
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
225. Forecasting the term structure of variance swaps
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
226. GHICA: Risk analysis with GH distributions and independent components
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
227. Graphical data representation in bankruptcy analysis
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
228. Inhomogeneous dependency modelling with time varying copulae
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
229. On the appropriateness of inappropriate VaR models
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
230. On the difficulty to design Arabic e-learning system in statistics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
231. Robust econometrics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
232. Smoothed L-estimation of Regression Function
     Other publications TiSEM, Tilburg University, School of Economics and Management
233. Time dependent relative risk aversion
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (3)
     See also Chapter Time Dependent Relative Risk Aversion, Contributions to Economics, Springer (2009) (2009)
234. VAR modeling for dynamic semiparametric factors of volatility strings
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2005

235. A dynamic semiparametric factor model for implied volatility string dynamics
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
236. Common functional implied volatility analysis
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
237. DSFM fitting of implied volatility surfaces
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
238. Dynamics of state price densities
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
239. Estimation and testing for varying coefficients in additive models with marginal integration
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
240. FFT based option pricing
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (6)
241. Integrable e-lements for statistics education
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
242. Nonparametric productivity analysis
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
243. Nonparametric risk management with generalized hyperbolic distributions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
     See also Journal Article Nonparametric Risk Management With Generalized Hyperbolic Distributions, Journal of the American Statistical Association, American Statistical Association (2008) View citations (22) (2008)
244. Portfolio value at risk based on independent components analysis
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
245. Predicting bankruptcy with support vector machines
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
246. Robust Estimation of Dimension Reduction Space
     Discussion Paper, Tilburg University, Center for Economic Research
     Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2005)
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2005)
247. Stable distributions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (17)
248. Value-at-risk calculations with time varying copulae
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (4)
249. Working with the XQC
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)

2004

250. Rating Companies with Support Vector Machines
     Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
251. Simulation of risk processes
     Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (13)
252. Skewness and Kurtosis Trades
     Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (6)
253. Yxilon: Designing The Next Generation, Vertically Integrable Statistical Software Environment
     Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)

2003

254. An introduction to simulation of risk processes
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)
255. 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
256. 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
257. Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
258. Implied volatility string dynamics
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (30)
259. 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
260. Semiparametric Regression Analysis under Imputation for Missing Response Data
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
261. Transactions That Did Not Happen and Their Influence on Prices
     Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (1)
262. Wann sind falsche VaR-Modelle dennoch adäquat?
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

2002

263. 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
264. 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
265. 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 View citations (4)
266. Exploring credit data
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
267. How precise are price distributions predicted by implied binomial trees?
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
268. M robustified additive nonparametric regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
269. 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
270. 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 View citations (7)

2001

271. Bootstrap Inference in Semiparametric Generalized Additive Models
     Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (8)
272. 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
273. 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
274. 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
275. Semiparametric Diffusion Estimation and Application to a Stock Market Index
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
276. The analysis of implied volatilities
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)

2000

277. A bootstrap test for single index models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
278. 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
279. 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 View citations (3)
280. 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 View citations (1)
281. Derivative estimation and testing in generalized additive models
     DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
282. Flexible time series analysis
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
283. 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 View citations (3)
284. Partially linear models
     MPRA Paper, University Library of Munich, Germany View citations (182)
285. Time Inhomogeneous Multiple Volatility Modelling
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)

1999

286. Backtesting beyond VaR
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
287. Connected teaching of statistics
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
288. 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 View citations (1)
289. 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 View citations (1)
290. 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 View citations (1)

1998

291. 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
292. 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
293. Internet based econometric computing
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
294. 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 View citations (2)

1997

295. 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)
296. 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 View citations (2)
297. 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 View citations (1)
298. Bootstrap approximations in a partially linear regression model
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
299. Component analysis for additive models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
300. Efficient estimation in single-index regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
301. Financial calculations on the net
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
302. 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 View citations (3)
303. 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
304. Multivariate and semiparametric kernel regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
305. 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
306. 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
307. Semiparametric analysis of German East-West migration intentions: Facts and theory
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (25)
308. Teaching wavelets in XploRe
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
309. Wachsende Dispersion und Engel-Kurven
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1996

310. 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 View citations (1)
311. 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
312. Computerassisted Semiparametric Generalized Linear Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
313. 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 (13)
314. Discussion
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (60)
315. 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 (11)
316. 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 View citations (23)
317. 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 (2)
318. Nonparametric Vector Autoregression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (24)
319. Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

1995

320. 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 (4)
321. 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 (15)
322. 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)
323. 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 (7)
324. 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 (3)
325. 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 (8)
326. Nonparametric Regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (12)
327. 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 (9)
328. 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

329. Additive Nonparametric Regression on Principal Components
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
330. Applied Nonparametric Methods
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (285)
331. 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
332. Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates
     Working Papers, University of Iowa, Department of Economics View citations (16)
333. Fast and Simple Scatterplot Smoothing
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
334. On efficient estimation of an averaged derivative
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
335. Optimal Median Smoothing
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
336. 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 View citations (1)

1992

337. A bootstrap test for positive definiteness of income effect matrices
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
338. Bandwith choice for average derivative estimation
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (8)
339. How Sensitive are Average Derivatives?
     Working Papers, Tilburg - Center for Economic Research View citations (1)
340. Kernel regression smoothing of time series
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
341. Nonparametric approaches to generalized linear models
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
342. Regression smoothing parameters that are not far from their optimum
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
343. Smoothing by weighted averaging of rounded points
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

1991

344. Better Bootstrap Confidence Intervals for Regression Curve Estimation
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
345. Biased crossvalidation for a kernel regression estimator and its derivatives
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
346. Bootstrap methods in nonparametric regression
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990) View citations (3)
347. Bootstrap simultaneous error for nonparametric regression
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
348. COment on "Choosing a kernel regression estimator", by C.K. Ghu and J.S. Marron
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
349. Cross section Engel Curves over Time
     Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (15)
350. On an efficient smoothing parameter selector proposed by Hall and Johnstone
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
351. On teh inconsistency of bootstrap distribution estimators
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     See also Journal Article On the inconsistency of bootstrap distribution estimators, Computational Statistics & Data Analysis, Elsevier (1993) View citations (10) (1993)
352. On the choice of Kernel regression estimators: a discussion
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
353. Optimal smoothing in single index models
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)

1990

354. Bandwith choice for density derivatives
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
355. Bootstrap confidence bands
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
356. Comparing nonparametric versus parametric regression fits
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (39)
357. How many terms should be added into an additive model ?
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
358. On bootstrapping kernel spectralestimates
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
359. Remarks on sliced inverse regression
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
360. Robust locally adaptive nonparametric regression
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
361. Semiparametric comparison of regression curves
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (26)

1989

362. BOOTSTRAP SIMULTANEOUS ERROR BARS FOR NONPARAMETRIC REGRESSION
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
363. SIMPLE FORMULAE FOR STEPS AND LIMITS IN THE BACKFITTING ALGORITHM
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Undated

364. Applied nonparametric smoothing techniques
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations (1)
365. Iterated bootstrap with applications to frontier models
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations (2)
366. Nichtparametrische Glaettungsmethoden in der alltaeglichen statistischen Praxis
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations (1)

Journal Articles

2022

1. Bayesian spatio‐temporal modeling for the inpatient hospital costs of alcohol‐related disorders
   Journal of the Royal Statistical Society Series A, 2022, 185, (S2), S644-S667
2. Financial Risk Meter FRM based on Expectiles
   Journal of Multivariate Analysis, 2022, 189, (C) View citations (5)
3. Financial Risk Meter for emerging markets
   Research in International Business and Finance, 2022, 60, (C) View citations (5)
4. K-expectiles clustering
   Journal of Multivariate Analysis, 2022, 189, (C)
   See also Working Paper K-expectiles clustering, IRTG 1792 Discussion Papers (2021) View citations (4) (2021)
5. Media-expressed tone, option characteristics, and stock return predictability
   Journal of Economic Dynamics and Control, 2022, 134, (C) View citations (4)
   See also Working Paper Media-expressed tone, Option Characteristics, and Stock Return Predictability, IRTG 1792 Discussion Papers (2019) (2019)
6. SONIC: SOcial Network analysis with Influencers and Communities
   Journal of Econometrics, 2022, 228, (2), 177-220
7. The common and specific components of inflation expectations across European countries
   Empirical Economics, 2022, 62, (2), 553-580
   See also Working Paper The common and speci fic components of inflation expectation across European countries, IRTG 1792 Discussion Papers (2020) (2020)

2021

8. FACTORISABLE MULTITASK QUANTILE REGRESSION
   Econometric Theory, 2021, 37, (4), 794-816
   See also Working Paper Factorisable Multitask Quantile Regression, IRTG 1792 Discussion Papers (2020) View citations (1) (2020)
9. Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies
   Quantitative Finance, 2021, 21, (11), 1825-1853 View citations (19)
10. Pricing wind power futures
    Journal of the Royal Statistical Society Series C, 2021, 70, (4), 1083-1102 View citations (2)
11. Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
    The European Journal of Finance, 2021, 27, (1-2), 8-30 View citations (16)
    See also Working Paper Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies, IRTG 1792 Discussion Papers (2019) (2019)
12. TERES: Tail Event Risk Expectile Shortfall
    Quantitative Finance, 2021, 21, (3), 449-460 View citations (1)
13. VCRIX — A volatility index for crypto-currencies
    International Review of Financial Analysis, 2021, 78, (C) View citations (1)
    See also Working Paper VCRIX - a volatility index for crypto-currencies, IRTG 1792 Discussion Papers (2019) View citations (3) (2019)

2020

14. A NOTE ON THE IMPACT OF NEWS ON US HOUSEHOLD INFLATION EXPECTATIONS
    Macroeconomic Dynamics, 2020, 24, (4), 995-1015 View citations (3)
15. Adaptive weights clustering of research papers
    Digital Finance, 2020, 2, (3), 169-187
    See also Working Paper Adaptive weights clustering of research papers, SFB 649 Discussion Papers (2017) (2017)
16. Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
    Computational Statistics, 2020, 35, (3), 947-981 View citations (3)
    See also Working Paper Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid, IRTG 1792 Discussion Papers (2018) View citations (1) (2018)
17. Estimation and determinants of Chinese banks’ total factor efficiency: a new vision based on unbalanced development of Chinese banks and their overall risk
    Computational Statistics, 2020, 35, (2), 427-468 View citations (3)
    See also Working Paper Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk, IRTG 1792 Discussion Papers (2020) View citations (3) (2020)
18. Forex exchange rate forecasting using deep recurrent neural networks
    Digital Finance, 2020, 2, (1), 69-96 View citations (8)
    See also Working Paper Forex exchange rate forecasting using deep recurrent neural networks, IRTG 1792 Discussion Papers (2020) View citations (8) (2020)
19. Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*
    Journal of Financial Econometrics, 2020, 18, (2), 280-306 View citations (16)
    See also Working Paper Investing with cryptocurrencies - A liquidity constrained investment approach, SFB 649 Discussion Papers (2017) (2017)
20. Pricing Cryptocurrency Options*
    Journal of Financial Econometrics, 2020, 18, (2), 250-279 View citations (28)
21. Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws
    Computational Economics, 2020, 55, (3), 801-826 View citations (1)
22. Service data analytics and business intelligence 2017
    Computational Statistics, 2020, 35, (2), 423-426
23. Understanding Cryptocurrencies
    Journal of Financial Econometrics, 2020, 18, (2), 181-208 View citations (58)
    See also Working Paper Understanding Cryptocurrencies, IRTG 1792 Discussion Papers (2018) View citations (7) (2018)

2019

24. Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models
    Journal of Business & Economic Statistics, 2019, 37, (2), 322-333
25. Dynamic credit default swap curves in a network topology
    Quantitative Finance, 2019, 19, (10), 1705-1726 View citations (4)
    See also Working Paper Dynamic credit default swaps curves in a network topology, SFB 649 Discussion Papers (2016) (2016)
26. Dynamic semi-parametric factor model for functional expectiles
    Computational Statistics, 2019, 34, (2), 489-502
    See also Working Paper Dynamic semi-parametric factor model for functional expectiles, SFB 649 Discussion Papers (2017) (2017)
27. Forecasting in Blockchain-Based Local Energy Markets
    Energies, 2019, 12, (14), 1-27 View citations (5)
    See also Working Paper Forecasting in Blockchain-based Local Energy Markets, IRTG 1792 Discussion Papers (2019) View citations (7) (2019)
28. Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
    Quantitative Finance, 2019, 19, (9), 1473-1489
    See also Working Paper Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics, SFB 649 Discussion Papers (2016) (2016)
29. Model-driven statistical arbitrage on LETF option markets
    Quantitative Finance, 2019, 19, (11), 1817-1837 View citations (3)
30. Modelling industry interdependency dynamics in a network context
    Studies in Economics and Finance, 2019, 37, (1), 50-70 View citations (2)
31. Regularization approach for network modeling of German power derivative market
    Energy Economics, 2019, 83, (C), 180-196 View citations (4)

2018

32. CRIX an Index for cryptocurrencies
    Journal of Empirical Finance, 2018, 49, (C), 107-122 View citations (97)
    See also Working Paper CRIX an Index for cryptocurrencies, IRTG 1792 Discussion Papers (2020) (2020)
33. Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics
    Journal of Banking & Finance, 2018, 93, (C), 21-32 View citations (24)
34. How to measure the performance of a Collaborative Research Center
    Scientometrics, 2018, 117, (2), 1023-1040 View citations (1)
    See also Working Paper How to Measure a Performance of a Collaborative Research Centre, IRTG 1792 Discussion Papers (2018) View citations (1) (2018)
35. Multivariate factorizable expectile regression with application to fMRI data
    Computational Statistics & Data Analysis, 2018, 121, (C), 1-19 View citations (3)
36. Risk related brain regions detection and individual risk classification with 3D image FPCA
    Statistics & Risk Modeling, 2018, 35, (3-4), 89-110 View citations (1)
37. Single-Index-Based CoVaR With Very High-Dimensional Covariates
    Journal of Business & Economic Statistics, 2018, 36, (2), 212-226 View citations (14)
38. Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets
    Journal of Asset Management, 2018, 19, (1), 49-63 View citations (3)
    See also Working Paper Tail event driven ASset allocation: Evidence from equity and mutual funds' markets, SFB 649 Discussion Papers (2015) (2015)

2017

39. A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk
    IJFS, 2017, 5, (4), 1-18
40. Adaptive Interest Rate Modelling
    Journal of Forecasting, 2017, 36, (3), 241-256
    See also Working Paper Adaptive interest rate modelling, SFB 649 Discussion Papers (2010) (2010)
41. Company rating with support vector machines
    Statistics & Risk Modeling, 2017, 34, (1-2), 55-67 View citations (1)
42. Confidence Corridors for Multivariate Generalized Quantile Regression
    Journal of Business & Economic Statistics, 2017, 35, (1), 70-85 View citations (2)
    See also Working Paper Confidence corridors for multivariate generalized quantile regression, SFB 649 Discussion Papers (2014) (2014)
43. Copula-based factor model for credit risk analysis
    Review of Quantitative Finance and Accounting, 2017, 49, (4), 949-971 View citations (1)
    See also Working Paper Copula-based factor model for credit risk analysis, SFB 649 Discussion Papers (2015) (2015)
44. Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle
    Review of Finance, 2017, 21, (1), 269-298 View citations (7)
45. SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-21 View citations (1)

2016

46. A semiparametric factor model for CDO surfaces dynamics
    Journal of Multivariate Analysis, 2016, 146, (C), 151-163 View citations (3)
47. An Extended Single-index Model with Missing Response at Random
    Scandinavian Journal of Statistics, 2016, 43, (4), 1140-1152 View citations (3)
    See also Working Paper An extended single index model with missing response at random, SFB 649 Discussion Papers (2014) (2014)
48. Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study
    Journal of Applied Statistics, 2016, 43, (16), 2941-2955
    See also Working Paper Do maternal health problems influence child's worrying status? Evidence from British cohort study, SFB 649 Discussion Papers (2014) (2014)
49. Localizing Temperature Risk
    Journal of the American Statistical Association, 2016, 111, (516), 1491-1508 View citations (2)
    See also Working Paper Localising temperature risk, SFB 649 Discussion Papers (2010) View citations (1) (2010)
50. Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2016, 25, (4), 607-626 View citations (9)

2015

51. An Application of Principal Component Analysis on Multivariate Time-stationary Spatio-temporal Data
    Spatial Economic Analysis, 2015, 10, (2), 160-180
    See also Working Paper An application of principal component analysis on multivariate time-stationary spatio-temporal data, SFB 649 Discussion Papers (2014) (2014)
52. Common factors in credit defaults swap markets
    Computational Statistics, 2015, 30, (3), 845-863 View citations (7)
    See also Working Paper Common factors in credit defaults swaps markets, SFB 649 Discussion Papers (2012) (2012)
53. Erratum to: Dynamic activity analysis model-based win-win development forecasting under environment regulations in China
    Computational Statistics, 2015, 30, (4), 1279-1279
54. HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
    Econometric Theory, 2015, 31, (5), 981-1015 View citations (10)
55. Ladislaus von Bortkiewicz—Statistician, Economist and a European Intellectual
    International Statistical Review, 2015, 83, (1), 17-35 View citations (1)
    See also Working Paper Ladislaus von Bortkiewicz: Statistician, economist, and a European intellectual, SFB 649 Discussion Papers (2014) (2014)
56. State price densities implied from weather derivatives
    Insurance: Mathematics and Economics, 2015, 64, (C), 106-125 View citations (2)
    See also Working Paper State Price Densities implied from weather derivatives, SFB 649 Discussion Papers (2013) (2013)
57. Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models
    Journal of Multivariate Analysis, 2015, 134, (C), 129-145 View citations (3)
58. Uniform Confidence Bands for Pricing Kernels
    Journal of Financial Econometrics, 2015, 13, (2), 376-413 View citations (2)
    See also Working Paper Uniform confidence bands for pricing kernels, SFB 649 Discussion Papers (2010) (2010)

2014

59. A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data
    Journal of the American Statistical Association, 2014, 109, (506), 661-673 View citations (19)
60. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 173-174
61. Copula dynamics in CDOs
    Quantitative Finance, 2014, 14, (9), 1573-1585 View citations (9)
    See also Working Paper Copula dynamics in CDOs, SFB 649 Discussion Papers (2012) (2012)
62. Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series
    Econometrics Journal, 2014, 17, (2), S101-S131 View citations (4)
63. Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study
    Psychometrika, 2014, 79, (3), 489-514 View citations (14)

2013

64. Bayesian networks for sex-related homicides: structure learning and prediction
    Journal of Applied Statistics, 2013, 40, (6), 1155-1171 View citations (1)
65. Dynamic structured copula models
    Statistics & Risk Modeling, 2013, 30, (4), 361-388 View citations (1)
66. Oracally Efficient Two-Step Estimation of Generalized Additive Model
    Journal of the American Statistical Association, 2013, 108, (502), 619-631 View citations (9)
    See also Working Paper Oracally efficient two-step estimation of generalized additive model, SFB 649 Discussion Papers (2011) (2011)
67. Shape Invariant Modeling of Pricing Kernels and Risk Aversion
    Journal of Financial Econometrics, 2013, 11, (2), 370-399 View citations (18)
68. Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    Journal of Empirical Finance, 2013, 24, (C), 42-62 View citations (13)

2012

69. Bootstrap confidence bands and partial linear quantile regression
    Journal of Multivariate Analysis, 2012, 107, (C), 244-262 View citations (11)
70. Simultaneous confidence bands for expectile functions
    AStA Advances in Statistical Analysis, 2012, 96, (4), 517-541 View citations (17)
71. The Implied Market Price of Weather Risk
    Applied Mathematical Finance, 2012, 19, (1), 59-95 View citations (29)
    See also Working Paper Implied market price of weather risk, SFB 649 Discussion Papers (2009) (2009)
72. Variance swap dynamics
    Quantitative Finance, 2012, 13, (5), 675-685

2010

73. CONFIDENCE BANDS IN QUANTILE REGRESSION
    Econometric Theory, 2010, 26, (4), 1180-1200 View citations (25)
74. Calibrating CAT Bonds for Mexican Earthquakes
    Journal of Risk & Insurance, 2010, 77, (3), 625-650 View citations (22)
    See also Working Paper Calibrating CAT bonds for Mexican earthquakes, SFB 649 Discussion Papers (2007) (2007)
75. Forecasting volatility with support vector machine-based GARCH model
    Journal of Forecasting, 2010, 29, (4), 406-433 View citations (22)
76. Localized Realized Volatility Modeling
    Journal of the American Statistical Association, 2010, 105, (492), 1376-1393 View citations (44)
    See also Working Paper Localized realized volatility modelling, SFB 649 Discussion Papers (2009) (2009)

2009

77. Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
    Econometrics Journal, 2009, 12, (2), 248-271 View citations (28)
78. Dynamic semiparametric factor models in risk neutral density estimation
    AStA Advances in Statistical Analysis, 2009, 93, (4), 387-402 View citations (10)
    See also Working Paper Dynamic semiparametric factor models in risk neutral density estimation, SFB 649 Discussion Papers (2008) (2008)
79. Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies
    Journal of Forecasting, 2009, 28, (6), 512-534 View citations (39)

2008

80. 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
81. Nonparametric Risk Management With Generalized Hyperbolic Distributions
    Journal of the American Statistical Association, 2008, 103, (483), 910-923 View citations (22)
    See also Working Paper Nonparametric risk management with generalized hyperbolic distributions, SFB 649 Discussion Papers (2005) View citations (1) (2005)
82. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 View citations (9)

2007

83. On extracting information implied in options
    Computational Statistics, 2007, 22, (4), 543-553 View citations (19)

2006

84. Nonparametric state price density estimation using constrained least squares and the bootstrap
    Journal of Econometrics, 2006, 133, (2), 579-599 View citations (34)
85. Semi-parametric estimation of partially linear single-index models
    Journal of Multivariate Analysis, 2006, 97, (5), 1162-1184 View citations (85)

2004

86. Semiparametric Regression Analysis With Missing Response at Random
    Journal of the American Statistical Association, 2004, 99, 334-345 View citations (65)
87. Support Vector Machines: eine neue Methode zum Rating von Unternehmen
    DIW Wochenbericht, 2004, 71, (49), 759-765 View citations (1)

2003

88. Bootstrap Methods for Time Series
    International Statistical Review, 2003, 71, (2), 435-459 View citations (56)
89. Efficient estimation in conditional single-index regression
    Journal of Multivariate Analysis, 2003, 86, (2), 213-226 View citations (33)
90. The Dynamics of Implied Volatilities: A Common Principal Components Approach
    Review of Derivatives Research, 2003, 6, (3), 179-202 View citations (56)

2001

91. Structural Tests in Additive Regression
    Journal of the American Statistical Association, 2001, 96, 1333-1347 View citations (9)
92. Web Quantlets for Time Series Analysis
    Annals of the Institute of Statistical Mathematics, 2001, 53, (1), 179-188 View citations (7)

2000

93. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 View citations (20)
94. Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
    Statistical Inference for Stochastic Processes, 2000, 3, (3), 263-276 View citations (8)

1999

95. 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 (22)
96. Testing a Regression Model When We Have Smooth Alternatives in Mind
    Scandinavian Journal of Statistics, 1999, 26, (2), 221-238 View citations (2)

1997

97. A Review of Nonparametric Time Series Analysis
    International Statistical Review, 1997, 65, (1), 49-72 View citations (39)

1995

98. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1995, 42, (1), 265-278
99. Estimation of Non-sharp Support Boundaries
    Journal of Multivariate Analysis, 1995, 55, (2), 205-218 View citations (28)
100. 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 (44)
101. Testing increasing dispersion
     Computational Statistics & Data Analysis, 1995, 19, (6), 641-653

1994

102. Testing a Parametric Model Against a Semiparametric Alternative
     Econometric Theory, 1994, 10, (5), 821-848 View citations (16)

1993

103. Nonparametric and semiparametric approaches to discrete response analysis
     Journal of Econometrics, 1993, 58, (1-2), 1-2 View citations (4)
104. On the backfitting algorithm for additive regression models
     Statistica Neerlandica, 1993, 47, (1), 43-57 View citations (7)
105. On the inconsistency of bootstrap distribution estimators
     Computational Statistics & Data Analysis, 1993, 16, (1), 11-18 View citations (10)
     See also Working Paper On teh inconsistency of bootstrap distribution estimators, LIDAM Discussion Papers CORE (1991) (1991)

1991

106. Empirical Evidence on the Law of Demand
     Econometrica, 1991, 59, (6), 1525-49 View citations (56)

1990

107. Book reviews
     Journal of Economics, 1990, 51, (3), 307-327

1989

108. Asymptotic maximal deviation of M-smoothers
     Journal of Multivariate Analysis, 1989, 29, (2), 163-179 View citations (25)
109. Book reviews
     Metrika: International Journal for Theoretical and Applied Statistics, 1989, 36, (1), 310-316
110. Symmetrized nearest neighbor regression estimates
     Statistics & Probability Letters, 1989, 7, (4), 315-318 View citations (4)

1987

111. Resistant Smoothing Using the Fast Fourier Transform
     Journal of the Royal Statistical Society Series C, 1987, 36, (1), 104-111 View citations (2)

1986

112. Approximations to the mean integrated squared error with applications to optimal bandwidth selection for nonparametric regression function estimators
     Journal of Multivariate Analysis, 1986, 18, (1), 150-168 View citations (1)
113. Random approximations to some measures of accuracy in nonparametric curve estimation
     Journal of Multivariate Analysis, 1986, 20, (1), 91-113 View citations (27)
114. SOME THEORY ON M‐SMOOTHING OF TIME SERIES
     Journal of Time Series Analysis, 1986, 7, (3), 191-204 View citations (1)
115. Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
     Stochastic Processes and their Applications, 1986, 23, (1), 77-89 View citations (30)

1984

116. Robust regression function estimation
     Journal of Multivariate Analysis, 1984, 14, (2), 169-180 View citations (11)

Undated

117. A semiparametric factor model for implied volatility surface dynamics
     Journal of Financial Econometrics, 5, (2), 189-218 View citations (43)

Books

1992

1. Applied Nonparametric Regression
   Cambridge Books, Cambridge University Press View citations (26)

Edited books

2011

1. Statistical Tools for Finance and Insurance (2nd edition)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (21)

2005

2. Statistical Tools for Finance and Insurance
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (98)

Chapters

2022

1. Tail-Risk Protection: Machine Learning Meets Modern Econometrics
   Springer
   See also Working Paper Tail-risk protection: Machine Learning meets modern Econometrics, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020) View citations (1) (2020)

2009

2. Time Dependent Relative Risk Aversion
   Springer
   See also Working Paper Time dependent relative risk aversion, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006) View citations (3) (2006)

Software Items

Undated

1. XploRe
   DOS and Windows codes

Editor

1. Digital Finance
   Springer