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TERES: tail event risk expectile based shortfall

Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...

Persistent link: https://www.econbiz.de/10011349502

Tail event driven ASset allocation : evidence from equity and mutual funds’ markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

Persistent link: https://www.econbiz.de/10011349525

Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Tail event driven networks of SIFIs

Chen, Yi-Hsuan; Härdle, Wolfgang; Okhrin, Yarema - In: Journal of econometrics 208 (2019) 1, pp. 282-298

Persistent link: https://www.econbiz.de/10012144998

Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - In: The journal of asset management 19 (2018) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10011847640

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - In: Applied quantitative finance : theory and computational …, (pp. 145-170). 2002

Persistent link: https://www.econbiz.de/10001749985

An empirical likelihood goodness-of-fit test for diffusions

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - In: Applied quantitative finance : theory and computational …, (pp. 259-281). 2002

Persistent link: https://www.econbiz.de/10001750003

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10001653655

Statistical tools for finance and insurance

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005

-instructional book makes a good use of extensive examples and full explanations. Thedesign of the text links theory and computational … the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial … Theory.- Diffusion Approximation in Risk Theory …

Persistent link: https://www.econbiz.de/10002123307

Nonparametric risk management with generalized hyperbolic distributions

Chen, Ying; Härdle, Wolfgang; Jeong, Seok-oh - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 910-923

Persistent link: https://www.econbiz.de/10003772400