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The stochastic fluctuation of the quantile regression curve

Härdle, Wolfgang Karl; Song, Song - 2008

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...

Persistent link: https://www.econbiz.de/10010274144

Increasing weather risk: Fact of fiction?

Wang, Weining; Bobojonov, Ihtiyor; Härdle, Wolfgang Karl; … - 2011

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...

Persistent link: https://www.econbiz.de/10010281514

Common factors in credit defaults swaps markets

Chen, Yi-hsuan; Härdle, Wolfgang Karl - 2012

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....

Persistent link: https://www.econbiz.de/10010318764

Calibrating CAT bonds for Mexican earthquakes

Härdle, Wolfgang Karl; Cabrera, Brenda López - 2007

government. The calibration of the CAT bond is based on the estimation of the intensity rate that describes the earthquake …

Persistent link: https://www.econbiz.de/10010274132

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10010271838

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Park, Byeong U.; Xue, Lan; Härdle, … - 2005

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is es- tablished. These theoretical …

Persistent link: https://www.econbiz.de/10010274110

A consistent nonparametric test for causality in quantile

Jeong, Kiho; Härdle, Wolfgang Karl - 2008

This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend Zheng's approach to the case of dependent...

Persistent link: https://www.econbiz.de/10010274141

When, how fast and by how much do trade costs change in the Euro area?

Herwartz, Helmut; Weber, Henning - 2008

Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …

Persistent link: https://www.econbiz.de/10010331062

Exchange rate uncertainty and trade growth: a comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut; Weber, Henning - 2007

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

Persistent link: https://www.econbiz.de/10010263693

Time varying hierarchical archimedean copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the …

Persistent link: https://www.econbiz.de/10010270704