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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
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CDO and HAC
Choroś-Tomczyka, Barbara - 2017
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10012966289
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Flexible HAR model for realized volatility
Audrino, Francesco; Huang, Chen; Okhrin, Ostap - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012054897
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Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione
Persistent link: https://www.econbiz.de/10015099208
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Adaptive estimation for a time inhomogeneous stochastic-volatility model
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000
Persistent link: https://www.econbiz.de/10001470372
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Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang; Hafner, Christian M. - In: Finance and stochastics 4 (2000) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
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Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang - 1997
Persistent link: https://www.econbiz.de/10000971105
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Persistent link: https://www.econbiz.de/10000992362
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A new method for volatility estimation with applications in foreign exchange rate series
Bossaerts, Peter L. - In: Finanzmarktanalyse und -prognose mit innovativen …, (pp. 71-83). 1996
Persistent link: https://www.econbiz.de/10001318071
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Local polynomial estimators of the volatility function in nonparametric autoregression
Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242
Persistent link: https://www.econbiz.de/10001336796