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  • Search: person:"Härdle, Wolfgang Karl"
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Year of publication
Subject
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Theorie 446 Theory 378 Schätztheorie 198 Estimation theory 183 Nichtparametrisches Verfahren 157 Schätzung 141 Nonparametric statistics 133 Zeitreihenanalyse 118 Estimation 115 Regression analysis 110 Regressionsanalyse 110 Volatilität 104 Time series analysis 101 Deutschland 98 Optionspreistheorie 96 Volatility 93 Option pricing theory 86 Prognoseverfahren 85 Germany 79 Börsenkurs 72 Forecasting model 69 Portfolio-Management 55 Share price 55 Risikomaß 54 Risk measure 52 Portfolio selection 50 Risiko 50 Statistische Verteilung 50 Statistische Methodenlehre 49 Faktorenanalyse 46 Risk 45 Statistical distribution 44 Stochastischer Prozess 41 Statistical theory 39 Derivat 38 Derivative 38 Finanzmarkt 38 Anlageverhalten 37 Factor analysis 37 Kreditwürdigkeit 37
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Online availability
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Free 801 Undetermined 70 CC license 1
Type of publication
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Book / Working Paper 928 Article 149
Type of publication (narrower categories)
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Working Paper 616 Arbeitspapier 365 Graue Literatur 321 Non-commercial literature 321 Article in journal 103 Aufsatz in Zeitschrift 103 Aufsatz im Buch 22 Book section 22 Lehrbuch 15 Textbook 14 Collection of articles of several authors 7 Sammelwerk 7 Article 5 Aufsatzsammlung 4 Bibliografie enthalten 2 Bibliography included 2 Einführung 2 Forschungsbericht 2 Handbook 2 Handbuch 2 Systematic review 2 Übersichtsarbeit 2 Amtsdruckschrift 1 Case study 1 Conference proceedings 1 Elektronischer Datenträger 1 Fallstudie 1 Government document 1 Hochschulschrift 1 Konferenzschrift 1 Rezension 1 Thesis 1 research-article 1 research-paper 1
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Language
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English 999 Undetermined 58 German 20 French 1
Author
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Härdle, Wolfgang 718 Härdle, Wolfgang Karl 355 Wang, Weining 67 Chao, Shih-Kang 32 Mihoci, Andrija 32 Okhrin, Ostap 31 Chen, Ying 28 López Cabrera, Brenda 28 Yang, Lijian 28 Chen, Cathy Yi-Hsuan 26 Klinke, Sigbert 25 Osipenko, Maria 25 Hautsch, Nikolaus 21 Mammen, Enno 21 Schäfer, Dorothea 21 Borak, Szymon 20 Hafner, Christian M. 19 Spokojnyj, Vladimir G. 19 Detlefsen, Kai 18 Giacomini, Enzo 18 Ziegenhagen, Uwe 18 Mungo, Julius 17 Trimborn, Simon 17 Okhrin, Yarema 16 Song, Song 16 Grith, Maria 15 Chen, Shiyi 14 Guo, Mengmeng 14 Lessmann, Stefan 14 Majer, Piotr 14 Moro, Rouslan 14 Chen, Yi-Hsuan 13 Fengler, Matthias R. 13 Moro, Rouslan A. 13 Schulz, Rainer 13 Trück, Stefan 13 Čížek, Pavel 13 Ahmad, Taleb 12 Althof, Michael 12 Chen, Cathy 12
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 57 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 57 Deutsche Forschungsgemeinschaft 5 Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin 4 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn 4 Sonderforschungsbereich 303 Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn 4 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 4 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 3 Center for Financial Studies 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Abteilung Wirtschaftstheorie 2, Institut für Gesellschafts- und Wirtschaftswissenschaften, Rheinische Friedrich-Wilhelms-Universität Bonn 1 Centre for Microdata Methods and Practice <London> 1 Deutsche Bundesbank 1 Deutsches Institut für Wirtschaftsforschung 1 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 1 Springer-Verlag GmbH 1 Workshop "Copulae in Mathematical and Quantitative Finance" <2012, Krakau> 1
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Published in...
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SFB 649 Discussion Paper 192 SFB 649 discussion paper 186 Discussion papers of interdisciplinary research project 373 57 SFB 649 Discussion Papers 57 IRTG 1792 Discussion Paper 50 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 37 CORE discussion paper : DP 30 Discussion paper / A 26 IRTG 1792 discussion paper 15 Journal of econometrics 10 Econometric theory 8 Applied quantitative finance 7 Discussion paper / Center for Economic Research, Tilburg University 7 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 7 SFB 373 Discussion Paper 7 Universitext 7 Quantitative finance 6 Journal of empirical finance 5 Journal of financial econometrics : official journal of the Society for Financial Econometrics 5 Journal of the American Statistical Association : JASA 4 Papers 4 Papers / Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin 4 Publikationen / Center for Applied Statistics and Economics 4 SFB 4 SFB 373 Discussion Papers 4 CEMMAP working papers / Centre for Microdata Methods and Practice 3 Digital finance : smart data analytics, investment innovation, and financial technology 3 Journal of financial econometrics 3 Journal of forecasting 3 Statistical tools for finance and insurance 3 Statistics & Risk Modeling 3 The European journal of finance 3 Advances in statistical analysis : AStA ; a journal of the German Statistical Society 2 CFS Working Paper 2 CFS Working Paper Series 2 DIW Discussion Papers 2 Digital Finance 2 Discussion papers / Deutsches Institut für Wirtschaftsforschung 2 Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren : Ergebnisse des 5. Karlsruher Ökonometrie-Workshops 2 HSC Books 2
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Source
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ECONIS (ZBW) 729 EconStor 256 RePEc 82 BASE 3 OLC EcoSci 3 Other ZBW resources 2 USB Cologne (business full texts) 1 USB Cologne (EcoSocSci) 1
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Showing 1 - 10 of 1,077
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Understanding temporal dynamics of jumps in cryptocurrency markets : evidence from tick-by-tick data
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 605-638
Persistent link: https://www.econbiz.de/10015177138
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Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting; Potì, Valerio; Härdle, Wolfgang - In: Quantitative finance 24 (2024) 7, pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
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Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - In: Digital Finance 6 (2024) 4, pp. 605-638
Cryptocurrency markets have recently attracted significant attention due to their potential for high returns; however, their underlying dynamics, especially those concerning price jumps, continue to be explored. Building on previous research, this study examines the presence and clustering of...
Persistent link: https://www.econbiz.de/10015399588
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Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications
Agakishiev, Ilyas; Härdle, Wolfgang Karl; Kozmik, Karel; … - 2023
A recently introduced approach is extended to probabilistic electricity price forecasting (EPF) utilizing distributional artificial neural networks, based on a regularized distributional multilayer perceptron (DMLP). We develop this technique for a multivariate case EPF with incorporated...
Persistent link: https://www.econbiz.de/10014345888
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A Bayesian Multi-Stage Spatio-Temporally Dependent Model for Spatial Clustering and Variable Selection
Ma, Shaopei; Yu, Keming; Tang, Man-lai; Pan, Jianxin; … - 2023
In spatio-temporal epidemiological analysis, it is of critical importance to identify the significant covariates and estimate the associated time-varying effects on the health outcome. Due to the heterogeneity of spatio-temporal data, the subsets of important covariates may vary across space and...
Persistent link: https://www.econbiz.de/10014346474
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An AI approach to measuring financial risk
Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - In: The Singapore economic review 68 (2023) 5, pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
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Hedging cryptocurrency options
Matic, Jovanka Lili; Packham, Natalie; Härdle, … - In: Review of Derivatives Research 26 (2023) 1, pp. 91-133
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study the hedge behaviour and effectiveness for the class of...
Persistent link: https://www.econbiz.de/10015327886
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Are cryptos becoming alternative assets?
Pele, Daniel Traian; Wesselhöfft, Niels; Härdle, Wolfgang - In: The European journal of finance 29 (2023) 10, pp. 1064-1105
Persistent link: https://www.econbiz.de/10014322986
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Cross-exchange Crypto Risk : A High-frequency Dynamic Network Perspective
Wang, Yifu; Lu, Wanbo; Lin, Min-Bin; Ren, Rui; Hardle, … - 2023
Cross-exchange trading induces risk spillover in the crypto market, especially for centralized exchanges, which compound crypto volatility and counterparty risk. We propose a Multivariate Heterogeneous AutoRegression for Crypto Market (MHAR-CM) to specifically investigate interconnectedness...
Persistent link: https://www.econbiz.de/10014258370
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Pricing Kernels and risk Premia implied in bitcoin options
Winkel, Julian; Härdle, Wolfgang - In: Risks : open access journal 11 (2023) 5, pp. 1-18
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 PKs improve the understanding of investor...
Persistent link: https://www.econbiz.de/10014332072
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