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Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

Persistent link: https://www.econbiz.de/10000168636

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

Distillation of news flow into analysis of stock reactions

Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 547-563

Persistent link: https://www.econbiz.de/10011692403

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, U. - In: Applied quantitative finance, (pp. 279-294). 2017

Persistent link: https://www.econbiz.de/10011794967

Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics

Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32

Persistent link: https://www.econbiz.de/10011964613

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Persistent link: https://www.econbiz.de/10000992362

The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - In: Review of derivatives research 6 (2003) 3, pp. 179-202

Persistent link: https://www.econbiz.de/10001905297

The dynamics of implied volatilities : a common principle components approach

Fengler, Matthias; Härdle, Wolfgang; Villa, Christophe - 2001

Persistent link: https://www.econbiz.de/10001609556

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Persistent link: https://www.econbiz.de/10001470372

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Persistent link: https://www.econbiz.de/10001555314

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