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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics

Cao, Ji; Härdle, Wolfgang; Mungo, Julius - 2009

to cointegration. -- implied volatility surface ; dynamic semiparametric factor model ; VAR ; cointegration …As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because …

Persistent link: https://www.econbiz.de/10003828611

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

Empirical pricing kernels and investor preferences

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

Persistent link: https://www.econbiz.de/10003633572

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10003636008

Textual sentiment, option characteristics, and stock return predictability

Chen, Cathy Yi-Hsuan; Fengler, Matthias; Härdle, Wolfgang - 2018

Persistent link: https://www.econbiz.de/10011912921

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10001653655

Forecast based pricing of weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Persistent link: https://www.econbiz.de/10009511156

Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation

Belomestny, Denis; Härdle, Wolfgang; Krymova, Ekaterina - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-21

Persistent link: https://www.econbiz.de/10011734146

Media-expressed tone, option characteristics, and stock return predictability

Chen, Yi-Hsuan; Fengler, Matthias; Härdle, Wolfgang; … - In: Journal of economic dynamics & control 134 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013384809

Rise of the machines? : intraday high-frequency trading patterns of cryptocurrencies

Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, Wolfgang - In: The European journal of finance 27 (2021) 1/2, pp. 8-30

Persistent link: https://www.econbiz.de/10012424926