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Details about Wolfgang Karl Härdle

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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.

Last updated 2021-06-08. Update your information in the RePEc Author Service.

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Working Papers

2021

  1. 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" Downloads
  2. Financial Risk Meter based on expectiles
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  3. K-expectiles clustering
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (1)
  4. 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" Downloads
  5. 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" Downloads
  6. Understanding Smart Contracts: Hype or hope?
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads

2020

  1. 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" Downloads View citations (1)
  2. 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" Downloads
  3. 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" Downloads View citations (2)
  4. CRIX an Index for cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
    See also Journal Article in Journal of Empirical Finance (2018)
  5. 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" Downloads
  6. 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" Downloads View citations (3)
    See also Journal Article in Computational Statistics (2020)
  7. Factorisable Multitask Quantile Regression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2016) Downloads View citations (5)
  8. 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" Downloads View citations (1)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019) Downloads

    See also Journal Article in Digital Finance (2020)
  9. 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" Downloads
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1994)
  10. Service Data Analytics and Business Intelligence
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  11. 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" Downloads
  12. 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" Downloads View citations (1)
  13. 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" Downloads
  14. 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" Downloads View citations (4)
  15. 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" Downloads

2019

  1. 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" Downloads
  2. 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" Downloads
  3. 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" Downloads
  4. 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" Downloads
  5. Dynamic Network Perspective of Cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (2)
  6. 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" Downloads View citations (2)
  7. FRM Financial Risk Meter
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (3)
  8. 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" Downloads View citations (1)
    See also Journal Article in Energies (2019)
  9. 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" Downloads
  10. Influencers and Communities in Social Networks
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  11. 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" Downloads
  12. LASSO-Driven Inference in Time and Space
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) Downloads View citations (1)
    Working Papers, Department of Economics, City University London (2018) Downloads View citations (3)
  13. Localizing Multivariate CAViaR
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (1)
  14. 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" Downloads
  15. Phenotypic convergence of cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  16. 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" Downloads
    See also Journal Article in The European Journal of Finance (2021)
  17. 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" Downloads View citations (3)
  18. 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" Downloads
  19. 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" Downloads View citations (1)

2018

  1. 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" Downloads
    See also Journal Article in Computational Statistics (2020)
  2. 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" Downloads
  3. 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" Downloads
    See also Journal Article in Scientometrics (2018)
  4. 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" Downloads
  5. 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" Downloads
  6. 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" Downloads View citations (1)
  7. 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" Downloads View citations (3)
  8. 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" Downloads
  9. Textual Sentiment and Sector specific reaction
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  10. Textual Sentiment, Option Characteristics, and Stock Return Predictability
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
    Also in Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science (2018) Downloads View citations (1)
  11. Time-varying Limit Order Book Networks
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (2)
  12. 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" Downloads
  13. Understanding Cryptocurrencies
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2020)
  14. 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" Downloads View citations (19)

2017

  1. Adaptive weights clustering of research papers
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Digital Finance (2020)
  2. Data Science & Digital Society
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  3. Dynamic Valuation of Weather Derivatives under Default Risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. FRM: a Financial Risk Meter based on penalizing tail events occurrence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  5. GitHub API based QuantNet Mining infrastructure in R
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  6. Industry Interdependency Dynamics in a Network Context
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  7. Investing with cryptocurrencies - A liquidity constrained investment approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)
    See also Journal Article in Journal of Financial Econometrics (2020)
  8. Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  9. Pricing Green Financial Products
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  10. Spatial Functional Principal Component Analysis with Applications to Brain Image Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  11. Tail event driven networks of SIFIs
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  12. The impact of news on US household inflation expectations
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2016

  1. A Mortality Model for Multi-populations A Semi-Parametric Approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. A first econometric analysis of the CRIX family
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  3. Academic Ranking Scales in Economics: Prediction and Imputation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Beta-boosted ensemble for big credit scoring data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. CRIX or evaluating blockchain based currencies
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Credit Rating Score Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  8. Dynamic Topic Modelling for Cryptocurrency Community Forums
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  9. Dynamic credit default swaps curves in a network topology
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2019)
  10. Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Quantitative Finance (2019)
  11. Functional Principal Component Analysis for Derivatives of Multivariate Curves
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  12. Leveraged ETF options implied volatility paradox: a statistical study
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  13. Multivariate Factorisable Sparse Asymmetric Least Squares Regression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  14. Network Quantile Autoregression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  15. Q3-D3-LSA
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  16. 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, Collaborative Research Center 649 Downloads
  17. Time Varying Quantile Lasso
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2015

  1. Change point and trend analyses of annual expectile curves of tropical storms
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  2. Distillation of News Flow into Analysis of Stock Reactions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  3. Estimation of NAIRU with Inflation Expectation Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  4. Factorisable Sparse Tail Event Curves
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  5. Pricing Kernel Modeling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  6. Risk Related Brain Regions Detected with 3D Image FPCA
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Stochastic Population Analysis: A Functional Data Approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  8. TERES - Tail Event Risk Expectile based Shortfall
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)

2014

  1. A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
  2. Adaptive Order Flow Forecasting with Multiplicative Error Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  3. Credit Risk Calibration based on CDS Spreads
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Expectile Treatment Effects: An efficient alternative to compute the distribution of treatment effects
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Localising Forward Intensities for Multiperiod Corporate Default
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. Portfolio Decisions and Brain Reactions via the CEAD method
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  7. Principal Component Analysis in an Asymmetric Norm
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  8. Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  9. TEDAS - Tail Event Driven ASset Allocation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  10. TENET: Tail-Event driven NETwork risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  11. The Influence of Oil Price Shocks on China’s Macroeconomy: A Perspective of International Trade
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  12. The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)

2013

  1. CDO Surfaces Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  2. Composite Quantile Regression for the Single-Index Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  3. Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  4. Functional Data Analysis of Generalized Quantile Regressions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)

2012

  1. Computational Statistics (Journal)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (14)
  2. Dynamic Activity Analysis Model Based Win-Win Development Forecasting Under the Environmental Regulation in China
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Forecast based Pricing of Weather Derivatives
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (9)
  4. HMM in dynamic HAC models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Implied Basket Correlation Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  6. Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)
  7. Quantile Regression in Risk Calibration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (14)
  8. Support Vector Machines with Evolutionary Feature Selection for Default Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  9. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (12)
  10. Variable selection in Cox regression models with varying coefficients
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  11. Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (22)

2011

  1. A Confidence Corridor for Expectile Functions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (34)
  2. A Confidence Corridor for Sparse Longitudinal Data Curves
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (30)
  3. Bayesian Networks and Sex-related Homicides
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (22)
  4. Difference based Ridge and Liu type Estimators in Semiparametric Regression Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (39)
  5. Forecasting Corporate Distress in the Asian and Pacific Region
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. How Computational Statistics Became the Backbone of Modern Data Science
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Increasing Weather Risk: Fact or Fiction?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  8. Local Quantile Regression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (43)
  9. Localising temperature risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (40)
    See also Journal Article in Journal of the American Statistical Association (2016)
  10. Mean Volatility Regressions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (34)
  11. Oracally Efficient Two-Step Estimation of Generalized Additive Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (28)
    See also Journal Article in Journal of the American Statistical Association (2013)
  12. Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  13. Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  14. Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (34)
  15. TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

2010

  1. High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (12)
  2. Learning Machines Supporting Bankruptcy Prediction
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Modeling Asset Prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  4. Nonparametric Estimation of Risk-Neutral Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)
  5. Partial Linear Quantile Regression and Bootstrap Confidence Bands
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (17)
  6. The dynamics of hourly electricity prices
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)
  7. Time varying Hierarchical Archimedean Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (8)
  8. Volatility Investing with Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)

2009

  1. A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  2. A Microeconomic Explanation of the EPK Paradox
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  3. CDO Pricing with Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  4. CDO and HAC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  5. De copulis non est disputandum - Copulae: An Overview
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (8)
  6. Generalized single-index models: The EFM approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Implied Market Price of Weather Risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (23)
    See also Journal Article in Applied Mathematical Finance (2012)
  8. Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  9. Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  10. Pricing of Asian temperature risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (9)
  11. Quantifizierbarkeit von Risiken auf Finanzmärkten
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  12. Stochastic Population Forecast for Germany and its Consequence for the German Pension System
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)

2008

  1. A Consistent Nonparametric Test for Causality in Quantile
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  2. Adaptive pointwise estimation in time-inhomogeneous time-series models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2007) Downloads View citations (4)
  3. Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
    See also Journal Article in AStA Advances in Statistical Analysis (2009)
  4. Independent Component Analysis Via Copula Techniques
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  5. Measuring and Modeling Risk Using High-Frequency Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  6. Modeling Dependencies in Finance using Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  7. Numerics of Implied Binomial Trees
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  8. Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  9. Recursive Portfolio Selection with Decision Trees
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  10. Statistics E-learning Platforms Evaluation: Case Study
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  11. Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  12. Testing Monotonicity of Pricing Kernels
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  13. The Bayesian Additive Classification Tree Applied to Credit Risk Modelling
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  14. The Stochastic Fluctuation of the Quantile Regression Curve
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  15. Using R, LaTeX and Wiki for an Arabic e-learning platform
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  16. Value-at-Risk and Expected Shortfall when there is long range dependence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (11)

2007

  1. A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
  2. Computational Statistics and Data Visualization
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Empirical Pricing Kernels and Investor Preferences
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  4. Estimating Probabilities of Default With Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  5. From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  6. Long Memory Persistence in the Factor of Implied Volatility Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  7. On the Utility of E-Learning in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  8. QuantNet – A Database-Driven Online Repository of Scientific Information
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  9. Statistics of Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  10. The Default Risk of Firms Examined with Smooth Support Vector Machines
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  11. Time Series Modelling with Semiparametric Factor Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (42)
  12. Using Wiki to Build an E-learning System in Statistics in Arabic Language
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  13. Yxilon – A Client/Server Based Statistical Environment
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)

2006

  1. Calibration Design of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Calibration Risk for Exotic Options
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  3. Color Harmonization in Car Manufacturing Process
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  4. Common Functional Principal Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  5. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (42)
  6. Estimation of Default Probabilities with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  7. Exploratory Graphics of a Financial Dataset
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  8. Forecasting the Term Structure of Variance Swaps
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  9. GHICA - Risk Analysis with GH Distributions and Independent Components
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  10. Graphical Data Representation in Bankruptcy Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  11. Inhomogeneous Dependency Modelling with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  12. On the Appropriateness of Inappropriate VaR Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  13. On the Difficulty to Design Arabic E-learning System in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)
  14. Robust Econometrics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  15. Smoothed L-estimation of Regression Function
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
  16. Time Dependent Relative Risk Aversion
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
    See also Chapter (2009)
  17. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  18. e-Learning Statistics - A Selective Review
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2005

  1. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (8)
  2. Common Functional Implied Volatility Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (5)
  3. DSFM fitting of Implied Volatility Surfaces
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  4. Dynamics of State Price Densities
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  5. FFT Based Option Pricing
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (8)
  6. Integrable e-lements for Statistics Education
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  7. Nonparametric Productivity Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  8. Portfolio Value at Risk Based on Independent Components Analysis
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  9. Predicting Bankruptcy with Support Vector Machines
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
  10. Robust Estimation of Dimension Reduction Space
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2005) Downloads
  11. Stable Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (37)
  12. Value-at-Risk Calculations with Time Varying Copulae
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)
  13. Working with the XQC
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)

2004

  1. Prognose mit nichtparametrischen Verfahren
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads
  2. Rating Companies with Support Vector Machines
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
  3. Simulation of risk processes
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (11)
  4. Skewness and Kurtosis Trades
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (5)
  5. Yxilon: Designing The Next Generation, Vertically Integrable Statistical Software Environment
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads

2003

  1. An introduction to simulation of risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (3)
  2. Computational Statistics with Spreadsheets Towards Efficiency, Reproducibility and Security
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. E-learning, e-teaching of statistics: A new challenge
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  4. Immobilienbewertung mit dem Realoptionsverfahren: Eine Umsetzungsstudie
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. Implied volatility string dynamics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (28)
  6. Robust adaptive estimation of dimension reduction space
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  7. Semiparametric Regression Analysis under Imputation for Missing Response Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  8. Transactions That Did Not Happen and Their Influence on Prices
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (1)
  9. Wann sind falsche VaR-Modelle dennoch adäquat?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

2002

  1. Does male age have an influence on the risk of spontaneous abortion? An approach combining semiparametric and parametric regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. E-learning / e-teaching of statistics: Students' and teachers' views
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. Empirical likelihood-based dimension reduction inference for linear error-in-responses models with validation study
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (4)
  4. Estimation and testing for varying coefficients in additive models with marginal integration
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. Exploring credit data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  6. How precise are price distributions predicted by implied binomial trees?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  7. M robustified additive nonparametric regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads
  8. MD*ReX: Linking XploRe to standard spread-sheet applications
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  9. Semi-parametric estimation of generalized partially linear single-index models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (6)

2001

  1. Bootstrap Inference in Semiparametric Generalized Additive Models
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (7)
  2. Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. MM*STAT: Eine interaktive Einführung in die Welt der Statistik
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  4. On adaptive smoothing in partial linear models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. Semiparametric Diffusion Estimation and Application to a Stock Market Index
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  6. The analysis of implied volatilities
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

2000

  1. 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 Downloads View citations (3)
  2. Adaptive estimation for a time inhomogeneous stochastic-volatility model
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. An empirical likelihood goodness-of-fit test for time series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  4. Common factors governing VDAX movements and the maximum loss
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  5. Derivative estimation and testing in generalized additive models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  6. Flexible time series analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  7. Nonparametric estimation of additive models with homogeneous components
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (3)
  8. Partially linear models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (158)
  9. Time Inhomogeneous Multiple Volatility Modelling
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)

1999

  1. Backtesting beyond VaR
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. Connected teaching of statistics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  3. DPLS in XploRe: A PLS approach to dynamic path models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  4. Estimation in an additive model when the components are linked parametrically
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  5. The three dimensions of multimedia teaching of statistics
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

1998

  1. Flexible stochastic volatility structures for high frequency financial data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. Germany's Labor Market Problems: An Empirical Assessment August 26-29, 1998 Berlin
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  3. Internet based econometric computing
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  4. Semiparametric additive indices for binary response and generalized additive models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)

1997

  1. A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
  2. Asymptotic normality of parametric part in partial linear heteroscedastic regression models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  3. Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  4. Bootstrap approximations in a partially linear regression model
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  5. Component analysis for additive models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  6. Efficient estimation in single-index regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  7. Financial calculations on the net
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  8. Large sample theory in a semiparametric partially linear errors-in-variables models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (3)
  9. Large sample theory of the estimation of the error distribution for a semiparametric model
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  10. Multivariate and semiparametric kernel regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  11. 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
  12. On adaptive estimation in partial linear models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  13. Semiparametric analysis of German East-West migration intentions: Facts and theory
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (25)
  14. Teaching wavelets in XploRe
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  15. Wachsende Dispersion und Engel-Kurven
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1996

  1. A New Generation of a Statistical Computing Environment on the Net
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
  2. 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
  3. Computerassisted Semiparametric Generalized Linear Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  4. 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)
  5. Discussion
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (60)
  6. 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 (8)
  7. 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 (19)
  8. Nonparametric Time Series Model Selection
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
  9. Nonparametric Vector Autoregression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (24)
  10. Testing Parametric versus Semiparametric Modelling in Generalized Linear Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

1995

  1. A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (4)
  2. An Analysis of Transformations for Additive Nonparanetric Regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (16)
  3. 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)
  4. 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)
  5. 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)
  6. 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)
  7. Nonparametric Regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (12)
  8. 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 (7)
  9. Semiparametric Single Index Versus Fixed Link Function Modelling
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)

1994

  1. Additive Nonparametric Regression on Principal Components
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
  2. Applied Nonparametric Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (259)
  3. Better Bootstrap Confidence Intervals for Curve Estimation
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  4. Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates
    Working Papers, University of Iowa, Department of Economics View citations (16)
  5. Fast and Simple Scatterplot Smoothing
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  6. On efficient estimation of an averaged derivative
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  7. Optimal Median Smoothing
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  8. Search of Significant Variables in Nonparametric Additive Regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

1992

  1. A bootstrap test for positive definiteness of income effect matrices
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  2. Bandwith choice for average derivative estimation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)
  3. How Sensitive are Average Derivatives?
    Working Papers, Tilburg - Center for Economic Research View citations (1)
  4. Kernel regression smoothing of time series
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
  5. Nonparametric approaches to generalized linear models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  6. Regression smoothing parameters that are not far from their optimum
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (8)
  7. Smoothing by weighted averaging of rounded points
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1991

  1. 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)
  2. Biased crossvalidation for a kernel regression estimator and its derivatives
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  3. Bootstrap methods in nonparametric regression
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990) View citations (3)
  4. Bootstrap simultaneous error for nonparametric regression
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  5. 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)
  6. Cross section Engel Curves over Time
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (14)
  7. 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)
  8. 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 in Computational Statistics & Data Analysis (1993)
  9. On the choice of Kernel regression estimators: a discussion
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  10. 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

  1. Bandwith choice for density derivatives
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
  2. Bootstrap confidence bands
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. Comparing nonparametric versus parametric regression fits
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (39)
  4. 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)
  5. On bootstrapping kernel spectralestimates
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
  6. Remarks on sliced inverse regression
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  7. Robust locally adaptive nonparametric regression
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
  8. Semiparametric comparison of regression curves
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (18)

1989

  1. 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)
  2. 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

  1. Applied nonparametric smoothing techniques
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (1)
  2. Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  3. Iterated bootstrap with applications to frontier models
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (2)
  4. Nichtparametrische Glaettungsmethoden in der alltaeglichen statistischen Praxis
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (1)
  5. lCARE – localizing Conditional AutoRegressive Expectiles
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

Journal Articles

2021

  1. Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
    The European Journal of Finance, 2021, 27, (1-2), 8-30 Downloads View citations (3)
    See also Working Paper (2019)
  2. TERES: Tail Event Risk Expectile Shortfall
    Quantitative Finance, 2021, 21, (3), 449-460 Downloads

2020

  1. A NOTE ON THE IMPACT OF NEWS ON US HOUSEHOLD INFLATION EXPECTATIONS
    Macroeconomic Dynamics, 2020, 24, (4), 995-1015 Downloads
  2. Adaptive weights clustering of research papers
    Digital Finance, 2020, 2, (3), 169-187 Downloads
    See also Working Paper (2017)
  3. Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid
    Computational Statistics, 2020, 35, (3), 947-981 Downloads View citations (1)
    See also Working Paper (2018)
  4. 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 Downloads View citations (3)
    See also Working Paper (2020)
  5. Forex exchange rate forecasting using deep recurrent neural networks
    Digital Finance, 2020, 2, (1), 69-96 Downloads View citations (1)
    See also Working Paper (2020)
  6. Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*
    Journal of Financial Econometrics, 2020, 18, (2), 280-306 Downloads View citations (2)
    See also Working Paper (2017)
  7. Pricing Cryptocurrency Options*
    Journal of Financial Econometrics, 2020, 18, (2), 250-279 Downloads View citations (4)
  8. Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws
    Computational Economics, 2020, 55, (3), 801-826 Downloads
  9. Service data analytics and business intelligence 2017
    Computational Statistics, 2020, 35, (2), 423-426 Downloads
  10. Understanding Cryptocurrencies
    Journal of Financial Econometrics, 2020, 18, (2), 181-208 Downloads View citations (12)
    See also Working Paper (2018)

2019

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

2018

  1. CRIX an Index for cryptocurrencies
    Journal of Empirical Finance, 2018, 49, (C), 107-122 Downloads View citations (29)
    See also Working Paper (2020)
  2. 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 Downloads View citations (12)
  3. How to measure the performance of a Collaborative Research Center
    Scientometrics, 2018, 117, (2), 1023-1040 Downloads
    See also Working Paper (2018)
  4. Multivariate factorizable expectile regression with application to fMRI data
    Computational Statistics & Data Analysis, 2018, 121, (C), 1-19 Downloads View citations (1)
  5. Risk related brain regions detection and individual risk classification with 3D image FPCA
    Statistics & Risk Modeling, 2018, 35, (3-4), 89-110 Downloads View citations (1)
  6. Single-Index-Based CoVaR With Very High-Dimensional Covariates
    Journal of Business & Economic Statistics, 2018, 36, (2), 212-226 Downloads View citations (8)
  7. Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets
    Journal of Asset Management, 2018, 19, (1), 49-63 Downloads View citations (2)

2017

  1. A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk
    International Journal of Financial Studies, 2017, 5, (4), 1-18 Downloads
  2. Adaptive Interest Rate Modelling
    Journal of Forecasting, 2017, 36, (3), 241-256 Downloads
  3. Company rating with support vector machines
    Statistics & Risk Modeling, 2017, 34, (1-2), 55-67 Downloads
  4. Confidence Corridors for Multivariate Generalized Quantile Regression
    Journal of Business & Economic Statistics, 2017, 35, (1), 70-85 Downloads View citations (2)
  5. Copula-based factor model for credit risk analysis
    Review of Quantitative Finance and Accounting, 2017, 49, (4), 949-971 Downloads View citations (1)
  6. Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle
    Review of Finance, 2017, 21, (1), 269-298 Downloads View citations (2)
  7. 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 Downloads View citations (1)

2016

  1. A semiparametric factor model for CDO surfaces dynamics
    Journal of Multivariate Analysis, 2016, 146, (C), 151-163 Downloads View citations (2)
  2. An Extended Single-index Model with Missing Response at Random
    Scandinavian Journal of Statistics, 2016, 43, (4), 1140-1152 Downloads View citations (2)
  3. Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study
    Journal of Applied Statistics, 2016, 43, (16), 2941-2955 Downloads
  4. Localizing Temperature Risk
    Journal of the American Statistical Association, 2016, 111, (516), 1491-1508 Downloads
    See also Working Paper (2011)
  5. 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 Downloads View citations (5)

2015

  1. An Application of Principal Component Analysis on Multivariate Time-stationary Spatio-temporal Data
    Spatial Economic Analysis, 2015, 10, (2), 160-180 Downloads
  2. Common factors in credit defaults swap markets
    Computational Statistics, 2015, 30, (3), 845-863 Downloads View citations (5)
  3. Erratum to: Dynamic activity analysis model-based win-win development forecasting under environment regulations in China
    Computational Statistics, 2015, 30, (4), 1279-1279 Downloads
  4. HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
    Econometric Theory, 2015, 31, (5), 981-1015 Downloads View citations (3)
  5. Ladislaus von Bortkiewicz—Statistician, Economist and a European Intellectual
    International Statistical Review, 2015, 83, (1), 17-35 Downloads
  6. State price densities implied from weather derivatives
    Insurance: Mathematics and Economics, 2015, 64, (C), 106-125 Downloads View citations (2)
  7. Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models
    Journal of Multivariate Analysis, 2015, 134, (C), 129-145 Downloads View citations (2)
  8. Uniform Confidence Bands for Pricing Kernels
    Journal of Financial Econometrics, 2015, 13, (2), 376-413 Downloads View citations (2)

2014

  1. A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data
    Journal of the American Statistical Association, 2014, 109, (506), 661-673 Downloads View citations (10)
  2. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 173-174 Downloads
  3. Copula dynamics in CDOs
    Quantitative Finance, 2014, 14, (9), 1573-1585 Downloads View citations (8)
  4. Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series
    Econometrics Journal, 2014, 17, (2), S101-S131 Downloads View citations (4)
  5. Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study
    Psychometrika, 2014, 79, (3), 489-514 Downloads View citations (13)

2013

  1. Bayesian networks for sex-related homicides: structure learning and prediction
    Journal of Applied Statistics, 2013, 40, (6), 1155-1171 Downloads View citations (1)
  2. Dynamic structured copula models
    Statistics & Risk Modeling, 2013, 30, (4), 361-388 Downloads View citations (1)
  3. Oracally Efficient Two-Step Estimation of Generalized Additive Model
    Journal of the American Statistical Association, 2013, 108, (502), 619-631 Downloads View citations (6)
    See also Working Paper (2011)
  4. Shape Invariant Modeling of Pricing Kernels and Risk Aversion
    Journal of Financial Econometrics, 2013, 11, (2), 370-399 Downloads View citations (12)
  5. Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    Journal of Empirical Finance, 2013, 24, (C), 42-62 Downloads View citations (12)

2012

  1. Bootstrap confidence bands and partial linear quantile regression
    Journal of Multivariate Analysis, 2012, 107, (C), 244-262 Downloads View citations (7)
  2. Simultaneous confidence bands for expectile functions
    AStA Advances in Statistical Analysis, 2012, 96, (4), 517-541 Downloads View citations (8)
  3. The Implied Market Price of Weather Risk
    Applied Mathematical Finance, 2012, 19, (1), 59-95 Downloads View citations (7)
    See also Working Paper (2009)
  4. Variance swap dynamics
    Quantitative Finance, 2012, 13, (5), 675-685 Downloads

2010

  1. CONFIDENCE BANDS IN QUANTILE REGRESSION
    Econometric Theory, 2010, 26, (4), 1180-1200 Downloads View citations (15)
  2. Calibrating CAT Bonds for Mexican Earthquakes
    Journal of Risk & Insurance, 2010, 77, (3), 625-650 Downloads View citations (14)
  3. Forecasting volatility with support vector machine-based GARCH model
    Journal of Forecasting, 2010, 29, (4), 406-433 Downloads View citations (9)
  4. Localized Realized Volatility Modeling
    Journal of the American Statistical Association, 2010, 105, (492), 1376-1393 Downloads View citations (28)

2009

  1. Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
    Econometrics Journal, 2009, 12, (2), 248-271 View citations (20)
  2. Dynamic semiparametric factor models in risk neutral density estimation
    AStA Advances in Statistical Analysis, 2009, 93, (4), 387-402 Downloads View citations (7)
    See also Working Paper (2008)
  3. Variable selection and oversampling in the use of smooth support vector machines for predicting the default risk of companies
    Journal of Forecasting, 2009, 28, (6), 512-534 Downloads View citations (28)

2008

  1. Calibration of Parametric CAT bonds. A case study of Mexican earthquakes
    Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, 2008, 128, (4), 615-630
  2. Nonparametric Risk Management With Generalized Hyperbolic Distributions
    Journal of the American Statistical Association, 2008, 103, (483), 910-923 Downloads View citations (16)
  3. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 Downloads View citations (7)

2007

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

2006

  1. Nonparametric state price density estimation using constrained least squares and the bootstrap
    Journal of Econometrics, 2006, 133, (2), 579-599 Downloads View citations (24)
  2. Semi-parametric estimation of partially linear single-index models
    Journal of Multivariate Analysis, 2006, 97, (5), 1162-1184 Downloads View citations (77)

2004

  1. Semiparametric Regression Analysis With Missing Response at Random
    Journal of the American Statistical Association, 2004, 99, 334-345 Downloads View citations (58)
  2. Support Vector Machines: eine neue Methode zum Rating von Unternehmen
    DIW Wochenbericht, 2004, 71, (49), 759-765 Downloads View citations (1)

2003

  1. Bootstrap Methods for Time Series
    International Statistical Review, 2003, 71, (2), 435-459 Downloads View citations (7)
  2. Efficient estimation in conditional single-index regression
    Journal of Multivariate Analysis, 2003, 86, (2), 213-226 Downloads View citations (32)
  3. The Dynamics of Implied Volatilities: A Common Principal Components Approach
    Review of Derivatives Research, 2003, 6, (3), 179-202 Downloads View citations (40)

2001

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

2000

  1. Discrete time option pricing with flexible volatility estimation
    Finance and Stochastics, 2000, 4, (2), 189-207 Downloads View citations (19)
  2. Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
    Statistical Inference for Stochastic Processes, 2000, 3, (3), 263-276 Downloads View citations (5)

1999

  1. Integration and backfitting methods in additive models-finite sample properties and comparison
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 1999, 8, (2), 419-458 Downloads View citations (19)
  2. Testing a Regression Model When We Have Smooth Alternatives in Mind
    Scandinavian Journal of Statistics, 1999, 26, (2), 221-238 Downloads View citations (2)

1997

  1. A Review of Nonparametric Time Series Analysis
    International Statistical Review, 1997, 65, (1), 49-72 Downloads View citations (8)

1995

  1. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1995, 42, (1), 265-278 Downloads
  2. Estimation of Non-sharp Support Boundaries
    Journal of Multivariate Analysis, 1995, 55, (2), 205-218 Downloads View citations (28)
  3. Nonclassical demand: A model-free examination of price-quantity relations in the Marseille fish market
    Journal of Econometrics, 1995, 67, (1), 227-257 Downloads View citations (36)
  4. Testing increasing dispersion
    Computational Statistics & Data Analysis, 1995, 19, (6), 641-653 Downloads

1994

  1. Testing a Parametric Model Against a Semiparametric Alternative
    Econometric Theory, 1994, 10, (5), 821-848 Downloads View citations (15)

1993

  1. Nonparametric and semiparametric approaches to discrete response analysis
    Journal of Econometrics, 1993, 58, (1-2), 1-2 Downloads View citations (4)
  2. On the backfitting algorithm for additive regression models
    Statistica Neerlandica, 1993, 47, (1), 43-57 Downloads View citations (2)
  3. On the inconsistency of bootstrap distribution estimators
    Computational Statistics & Data Analysis, 1993, 16, (1), 11-18 Downloads View citations (9)
    See also Working Paper (1991)

1991

  1. Empirical Evidence on the Law of Demand
    Econometrica, 1991, 59, (6), 1525-49 Downloads View citations (51)

1990

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

1989

  1. Asymptotic maximal deviation of M-smoothers
    Journal of Multivariate Analysis, 1989, 29, (2), 163-179 Downloads View citations (14)
  2. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1989, 36, (1), 310-316 Downloads
  3. Symmetrized nearest neighbor regression estimates
    Statistics & Probability Letters, 1989, 7, (4), 315-318 Downloads View citations (3)

1987

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

1986

  1. Approximations to the mean integrated squared error with applications to optimal bandwidth selection for nonparametric regression function estimators
    Journal of Multivariate Analysis, 1986, 18, (1), 150-168 Downloads View citations (1)
  2. Random approximations to some measures of accuracy in nonparametric curve estimation
    Journal of Multivariate Analysis, 1986, 20, (1), 91-113 Downloads View citations (24)
  3. SOME THEORY ON M‐SMOOTHING OF TIME SERIES
    Journal of Time Series Analysis, 1986, 7, (3), 191-204 Downloads
  4. Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
    Stochastic Processes and their Applications, 1986, 23, (1), 77-89 Downloads View citations (27)

1984

  1. Robust regression function estimation
    Journal of Multivariate Analysis, 1984, 14, (2), 169-180 Downloads View citations (6)

Undated

  1. A semiparametric factor model for implied volatility surface dynamics
    Journal of Financial Econometrics, 5, (2), 189-218 Downloads View citations (10)

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 Technology Downloads View citations (15)

2005

  1. Statistical Tools for Finance and Insurance
    HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (92)

Chapters

2009

  1. Time Dependent Relative Risk Aversion
    Springer
    See also Working Paper (2006)

Software Items

Undated

  1. XploRe
    DOS and Windows codes Downloads

Editor

  1. Digital Finance
    Springer
 
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