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Delete all filters | 4 applied filters

Year of publication
Subject
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Theorie 128 Theory 126 Statistik 70 Wirtschaft 67 USA 61 United States 61 Volatilität 45 Estimation 44 Schätzung 44 Nichtparametrisches Verfahren 40 Nonparametric statistics 38 Regressionsanalyse 34 Regression analysis 33 Volatility 33 Schätztheorie 32 Estimation theory 31 Time series analysis 31 Zeitreihenanalyse 31 Optionspreistheorie 30 Börsenkurs 27 Share price 27 Deutschland 23 Forecasting model 23 Option pricing theory 23 Prognoseverfahren 23 Germany 22 Derivat 16 Derivative 16 E-Learning 16 Risikomaß 16 Risk measure 16 Risikomanagement 15 risk management 15 Credit rating 13 Kreditwürdigkeit 13 Factor analysis 12 Portfolio selection 12 Portfolio-Management 12 Stochastic process 12 Stochastischer Prozess 12
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Online availability
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Free Undetermined 4
Type of publication
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Book / Working Paper Article 2
Type of publication (narrower categories)
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Working Paper 327 Arbeitspapier 261 Graue Literatur 235 Non-commercial literature 235 Thesis 67 Aufsatzsammlung 1 Collection of articles of several authors 1 Lehrbuch 1 Sammelwerk 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English Undetermined 55 German 37
Author
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Härdle, Wolfgang Asongu, Simplice 1,174 Caporale, Guglielmo Maria 940 McAleer, Michael 872 Nijkamp, Peter 833 Sutter, Matthias 691 Zimmermann, Klaus F. 669 Heckman, James J. 653 Belke, Ansgar 648 Aizenman, Joshua 632 Wagner, Joachim 604 Klasen, Stephan 598 Acemoglu, Daron 592 Görg, Holger 587 Woessmann, Ludger 571 Peichl, Andreas 559 Güth, Werner 535 Dreher, Axel 515 Hasan, Iftekhar 512 Pesaran, M. Hashem 507 Winter-Ebmer, Rudolf 505 Stark, Oded 497 Snower, Dennis J. 474 Frey, Bruno S. 472 Nunnenkamp, Peter 472 Torgler, Benno 449 Tarp, Finn 438 Mitchell, Olivia S. 435 Schnabel, Claus 427 Schneider, Friedrich 427 Ravallion, Martin 424 Fehr, Ernst 420 Poutvaara, Panu 412 Bryson, Alex 411 Strulik, Holger 411 Afonso, António 407 Lambertini, Luca 405 Peri, Giovanni 405 Falk, Armin 402 Fritsch, Michael 394
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 70 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 60 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 55 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 179 SFB 649 Discussion Papers 70 Discussion papers of interdisciplinary research project 373 55 SFB 373 Discussion Paper 50 Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere 49 Diskussionspapier 46 IRTG 1792 discussion paper 15 SFB 649 Discussion Paper 15 IRTG 1792 Discussion Paper 13 Discussion paper / Humboldt-Universität zu Berlin, SFB 649 Economic Risk 11 Sonderforschungsbereich 649: Ökonomisches Risiko - Discussion papers 7 Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers 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 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 Humboldt-Universität zu Berlin - CASE - Center for Applied Statistics and Economics - SFB 649 - Discussion Papers 1 Research paper / Quantitative Finance Research Group, University of Technology Sydney 1 STICERD - Econometrics Paper Series 1
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Source
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ECONIS (ZBW) 265 RePEc 72 BASE 67 EconStor 66 USB Cologne (business full texts) 61 USB Cologne (EcoSocSci) 11
Showing 1 - 10 of 542
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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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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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A time-varying network for cryptocurrencies
Guo, Li; Härdle, Wolfgang; Tao, Yubo - 2021
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a timevarying network for cryptocurrencies, based on the evolution of return cross-predictability and technological...
Persistent link: https://www.econbiz.de/10012619641
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Robustifying Markowitz
Härdle, Wolfgang; Klochkov, Yegor; Petukhina, Alla; … - 2021
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high sen- sitivity to change in input parameters. The heavy-tail...
Persistent link: https://www.econbiz.de/10012643301
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Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...
Persistent link: https://www.econbiz.de/10012663500
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Hedging cryptocurrency options
Matic, Jovanka; Packham, Natalie; Härdle, Wolfgang - 2021
The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for pricing and hedging CC options. We study the hedge behaviour and effectiveness for a wide range of models. First, we calibrate market data to SVI-implied volatility surfaces, which in...
Persistent link: https://www.econbiz.de/10012693278
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