Zobrazeno 1 - 10
of 670
pro vyhledávání: '"Wolfgang Karl Härdle"'
Autor:
Jingxuan Guo, Fuguo Liu, Wolfgang Karl Härdle, Xueliang Zhang, Kai Wang, Ting Zeng, Liping Yang, Maozai Tian
Publikováno v:
Mathematics, Vol 11, Iss 24, p 4906 (2023)
The presence of nonignorable missing response variables often leads to complex conditional distribution patterns that cannot be effectively captured through mean regression. In contrast, quantile regression offers valuable insights into the condition
Externí odkaz:
https://doaj.org/article/cffc361aa04e494893e0d3ef79396970
Autor:
Julian Winkel, Wolfgang Karl Härdle
Publikováno v:
Risks, Vol 11, Iss 5, p 85 (2023)
Bitcoin Pricing Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences. Thus, the
Externí odkaz:
https://doaj.org/article/fd46d4de045649a1a8d1abf70430bf77
Autor:
Erqian Li, Jianxin Pan, Manlai Tang, Keming Yu, Wolfgang Karl Härdle, Xiaowen Dai, Maozai Tian
Publikováno v:
Mathematics, Vol 11, Iss 6, p 1295 (2023)
The proportional subdistribution hazards (PSH) model is popularly used to deal with competing risks data. Censored quantile regression provides an important supplement as well as variable selection methods due to large numbers of irrelevant covariate
Externí odkaz:
https://doaj.org/article/a81d7a747fc84d4d829e276565a0a612
Autor:
Wolfgang Karl Härdle, Maria Osipenko
Publikováno v:
International Journal of Financial Studies, Vol 5, Iss 4, p 23 (2017)
Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather
Externí odkaz:
https://doaj.org/article/c03c1042d5564e79a9b5ea8df83d6be5
Publikováno v:
European Journal of Operational Research. 308:353-368
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1e98e6697a44811da993322674e117bd
https://doi.org/10.1016/j.ejor.2022.10.016
https://doi.org/10.1016/j.ejor.2022.10.016
Publikováno v:
The Singapore Economic Review. :1-27
Cryptocurrencies have emerged as a new asset class. In order to provide a thorough understanding of this new asset class, we study the dependencies in tail risk events within cryptocurrencies, and provide a hedging alternative in this paper. First, w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::654ccfa18e670c04429ca3865c45f930
https://doi.org/10.1142/s0217590822480010
https://doi.org/10.1142/s0217590822480010
Publikováno v:
FinTech Research and Applications ISBN: 9781800612716
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::580f4daa0edb20dfa2bcf6a71eb290bc
https://doi.org/10.1142/9781800612723_0001
https://doi.org/10.1142/9781800612723_0001
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ec5f635d566d9f545053dbd2ac62898
https://doi.org/10.2139/ssrn.4414080
https://doi.org/10.2139/ssrn.4414080
Autor:
Wolfgang Karl Härdle, Yannis G. Yatracos, Michalis Kolossiatis, Niels Wesselhöfft, Daniel Traian Pele
Publikováno v:
The European Journal of Finance. :1-42
This research provides insights for the separation of cryptocurrencies from other assets. Using dimensionality reduction techniques, we show that most of the variation among cryptocurrencies, stock...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bdece0aa664f551a114d31dc45d726b3
https://doi.org/10.1080/1351847x.2021.1960403
https://doi.org/10.1080/1351847x.2021.1960403
Publikováno v:
Computational Statistics & Data Analysis. 182:107713
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::409e3ab4d93499d73e43630a10c1bc90
https://doi.org/10.1016/j.csda.2023.107713
https://doi.org/10.1016/j.csda.2023.107713