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Year of publication
Subject
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Theorie 211 Theory 209 Schätztheorie 92 Estimation theory 91 Nichtparametrisches Verfahren 90 Nonparametric statistics 88 Estimation 83 Schätzung 83 Regression analysis 77 Regressionsanalyse 77 Wirtschaft 67 Statistik 61 Volatilität 54 Forecasting model 53 Prognoseverfahren 53 Volatility 53 Time series analysis 51 Zeitreihenanalyse 51 Option pricing theory 50 Optionspreistheorie 50 Deutschland 49 Germany 48 Börsenkurs 43 Share price 43 Statistical distribution 31 Statistische Verteilung 31 Risiko 29 Risk 29 Factor analysis 28 Risikomaß 28 Risk measure 28 Credit risk 27 Faktorenanalyse 27 Derivat 26 Derivative 26 Kreditrisiko 26 Portfolio selection 26 Portfolio-Management 26 Stochastic process 25 Stochastischer Prozess 25
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Online availability
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Free Undetermined 7
Type of publication
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Book / Working Paper Article 7
Type of publication (narrower categories)
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Working Paper 329 Arbeitspapier 263 Graue Literatur 237 Non-commercial literature 237 Thesis 67 Aufsatzsammlung 1 Collection of articles of several authors 1 Lehrbuch 1 Sammelwerk 1 Systematic review 1 Textbook 1 Übersichtsarbeit 1
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Language
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English Undetermined 58 German 37
Author
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Härdle, Wolfgang Asongu, Simplice 2,153 Caporale, Guglielmo Maria 1,215 McAleer, Michael 906 Nijkamp, Peter 899 Heckman, James J. 853 Aizenman, Joshua 836 Sutter, Matthias 822 Acemoglu, Daron 791 Zimmermann, Klaus F. 755 Pesaran, M. Hashem 692 Görg, Holger 686 Wagner, Joachim 679 Woessmann, Ludger 670 Belke, Ansgar 666 Peichl, Andreas 644 Klasen, Stephan 633 Stark, Oded 629 Hasan, Iftekhar 617 Dreher, Axel 601 Frey, Bruno S. 586 Afonso, António 576 Winter-Ebmer, Rudolf 576 Glaeser, Edward L. 564 Eichengreen, Barry 549 Snower, Dennis J. 540 Mitchell, Olivia S. 534 Fehr, Ernst 525 Bordo, Michael D. 517 Torgler, Benno 514 Neumark, David 511 Bryson, Alex 510 Terziev, Venelin 510 Poutvaara, Panu 506 Gorodnichenko, Yuriy 503 Bloom, Nicholas 501 Nunnenkamp, Peter 492 Schneider, Friedrich 491 Weber, Michael 490 Schnabel, Claus 485
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 68 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 55 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 8 Center for Applied Statistics and Economics <Berlin> 1 Centre for Microdata Methods and Practice <London> 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Deutsches Institut für Wirtschaftsforschung 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1
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Published in...
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SFB 649 discussion paper 180 SFB 649 Discussion Papers 68 Discussion papers of interdisciplinary research project 373 55 SFB 373 Discussion Paper 50 IRTG 1792 discussion paper 15 IRTG 1792 Discussion Paper 14 SFB 649 Discussion Paper 13 Discussion paper / Humboldt-Universität zu Berlin, SFB 649 Economic Risk 11 Sonderforschungsbereich 649: Ökonomisches Risiko - Discussion papers 7 SFB 4 CEMMAP working papers / Centre for Microdata Methods and Practice 3 Publikationen / Center for Applied Statistics and Economics 3 cemmap working paper 3 Discussion papers / Deutsches Institut für Wirtschaftsforschung 2 LSE STICERD Research Paper 2 Bundesbank Series 2 Discussion Paper 1 CFS Working Paper 1 CFS working paper series 1 CIE working paper series 1 Discussion Papers of DIW Berlin 1 Discussion paper / Center for Economic Research, Tilburg University 1 Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines 1 Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Econometrics papers 1 Economics and finance working paper series 1 Humboldt-Universität zu Berlin - CASE - Center for Applied Statistics and Economics - SFB 649 - Discussion Papers 1 Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers 1 IRTG 1792 Discussion Paper 2018-001 1 Research paper / Quantitative Finance Research Group, University of Technology Sydney 1 SFB 649 Discussion Paper 2005-004 1 SFB 649 Discussion Paper 2005-008 1 SFB 649 Discussion Paper 2005-009 1 SFB 649 Discussion Paper 2005-010 1 SFB 649 Discussion Paper 2005-011 1 SFB 649 Discussion Paper 2005-012 1 SFB 649 Discussion Paper 2005-013 1 SFB 649 Discussion Paper 2005-020 1 SFB 649 Discussion Paper 2005-021 1 SFB 649 Discussion Paper 2005-022 1 SFB 649 Discussion Paper 2005-047 1
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Source
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ECONIS (ZBW) 449 RePEc 70 BASE 67 EconStor 66 USB Cologne (EcoSocSci) 11 USB Cologne (business full texts) 9
Showing 1 - 10 of 672
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Spectral Risk for Digital Assets
Lu, Meng-Jou; Horváth, Matúš; Wang, Xingjia; … - 2023
Digital assets (DAs) are a unique asset class that presents investors with opportunities and risksthat are contingent upon their particular characteristics such as volatility, type, and profile, among other factors. Among DAs, cryptocurrencies (CCs) have emerged as the most liquid asset class,...
Persistent link: https://www.econbiz.de/10014355054
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Pricing Kernels and Risk Premia implied in Bitcoin Options
Winkel, Julian; Härdle, Wolfgang - 2022
Bitcoin Pricing Kernels (PK) are estimated using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. The PKs improve the understanding of investor sentiment and risk premia. Bootstrap-based confidence bands are estimated in order to validate the results. Investors...
Persistent link: https://www.econbiz.de/10014235978
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Hedging Cryptos with Bitcoin Futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2022
The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtaining hedge ratios is infeasible. As a consequence, we consider two extensions...
Persistent link: https://www.econbiz.de/10013404761
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Financial Risk Meter based on expectiles
Ren, Rui; Lu, Meng-Jou; Li, Yingxing; Härdle, Wolfgang - 2021
The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we here extend it by incorporating the idea of...
Persistent link: https://www.econbiz.de/10012504529
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Rodeo or ascot: Which hat to wear at the crypto race?
Häusler, Konstantin; Härdle, Wolfgang - 2021
This paper sheds light on the dynamics of the cryptocurrency (CC) sector. By modeling its dynamics via a stochastic volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme ups and downs of the CC market and to understand...
Persistent link: https://www.econbiz.de/10012504530
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Understanding Smart Contracts: Hype or hope?
Zinovyev, Elizaveta; Reule, Raphael C. G.; Härdle, Wolfgang - 2021
Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase their individual efficiency in an ever more digitized environment. Introduced in the early 1990's, the technology has...
Persistent link: https://www.econbiz.de/10012504533
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K-expectiles clustering
Wang, Bingling; Li, Yingxing; Härdle, Wolfgang - 2021
K-means clustering is one of the most widely-used partitioning algorithm in cluster analysis due to its simplicity and computational efficiency, but it may not provide ideal clustering results when applying to data with non-spherically shaped clusters. By considering the asymmetrically weighted...
Persistent link: https://www.econbiz.de/10012504534
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Hedging cryptos with Bitcoin futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021
The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is infeasible. As a consequence, we consider two extensions of...
Persistent link: https://www.econbiz.de/10012802570
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Penalized weigted competing risks models based on quantile regression
Li, Erqian; Härdle, Wolfgang; Dai, Xiaowen; Tian, Maozai - 2021
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 covariates in practice. In this paper, we study...
Persistent link: https://www.econbiz.de/10012592841
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...
Persistent link: https://www.econbiz.de/10012619640
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