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Hidden Markov structures for dynamic copulae
Härdle, Wolfgang; Okhrin, Ostap; Wang, Weining - In: Econometric theory 31 (2015) 5, pp. 981-1015
Persistent link: https://www.econbiz.de/10011545496
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of applied econometrics 30 (2015) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10011332871
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Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang; Majer, Piotr - In: The European journal of finance 22 (2016) 10/12, pp. 1109-1129
Persistent link: https://www.econbiz.de/10011715314
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Copula-based factor model for credit risk analysis
Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 949-971
Persistent link: https://www.econbiz.de/10011797579
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Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - In: Journal of empirical finance 24 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
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Forecasting volatility with support vector machine-based GARCH model
Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433
Persistent link: https://www.econbiz.de/10003989791
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De copulis non est disputandum : copulae: an overview
Härdle, Wolfgang; Okhrin, Ostap - In: Advances in statistical analysis : AStA ; a journal of … 94 (2010) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10003951049
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
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Forex exchange rate forecasting using deep recurrent neural networks
Dautel, Alexander Jakob; Härdle, Wolfgang; Lessmann, Stefan - In: Digital finance : smart data analytics, investment … 2 (2020) 1/2, pp. 69-96
Persistent link: https://www.econbiz.de/10012284950
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Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - In: Quantitative finance 19 (2019) 9, pp. 1473-1489
Persistent link: https://www.econbiz.de/10012194799