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Stochastic population forecast for Germany and its consequence for the German pension system
Härdle, Wolfgang; Mysickova, Alena - 2009
forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain …
Persistent link: https://www.econbiz.de/10003814452
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
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On economic evaluation of directional forecasts
Blaskowitz, Oliver; Herwartz, Helmut - 2009
directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. -- Directional … forecasts ; directional forecast value ; forecast evaluation ; economic forecast value ; mean squared forecast error ; mean …
Persistent link: https://www.econbiz.de/10003893151
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A microeconomic explanation of the EPK paradox
Härdle, Wolfgang; Krätschmer, Volker; Moro, Rouslan - 2009
Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....
Persistent link: https://www.econbiz.de/10003814462
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Shape invariant modelling pricing kernels and risk aversion
Grith, Maria; Härdle, Wolfgang; Park, Juhyun - 2009
Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...
Persistent link: https://www.econbiz.de/10003871796
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Structural dynamic conditional correlation
Weber, Enzo - 2008
In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...
Persistent link: https://www.econbiz.de/10003796131
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Implied market price of weather risk
Härdle, Wolfgang; López Cabrera, Brenda - 2009
Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...
Persistent link: https://www.econbiz.de/10003796146
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Localized realized volatility modelling
Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - 2009
With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
Persistent link: https://www.econbiz.de/10003796151
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
Persistent link: https://www.econbiz.de/10008663394
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Nonparametric Kernel density estimation near the boundary
Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012
Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...
Persistent link: https://www.econbiz.de/10009577035