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The impact of news on US household inflation expectations
Chao, Shih-Kang; Härdle, Wolfgang; Sheen, Jeffrey R.; … - 2017
Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to … news on in ation and monetary policy helps to explain in ation expectations. This remains true when controlling for … household personal characteristics, their perceptions of the e ectiveness of government policies, their expectations of future …
Persistent link: https://www.econbiz.de/10011657291
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Cross section Engel curves over time
Härdle, Wolfgang - In: Recherches économiques de Louvain 57 (1991) 4, pp. 391-431
Persistent link: https://www.econbiz.de/10001122332
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Cross section Engel curves over time
Härdle, Wolfgang; Jerison, Michael - 1988
Persistent link: https://www.econbiz.de/10000735780
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A bootstrap test for positive definiteness of income effect matrices
Härdle, Wolfgang - In: Econometric theory 8 (1992) 2, pp. 276-290
Persistent link: https://www.econbiz.de/10001128732
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Cross section Engel curves over time
Härdle, Wolfgang; Jerison, Michael - 1990
Persistent link: https://www.econbiz.de/10000789937
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A bootstrap test for positive definiteness of income effect matrices
Härdle, Wolfgang; Hart, Jeffrey D. - 1990
Persistent link: https://www.econbiz.de/10000802561
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On the Appropriateness of Inappropriate VaR Models
Härdle, Wolfgang; Hlávka, Zdeněk; Stahl, Gerhard - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...
Persistent link: https://www.econbiz.de/10005854718
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Statistics of Risk Aversion
Giacomini, Enzo; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
Option prices are a valuable source of information concerning risk assessments from investors about future financial payoffs. The information is summarized in the state price densities (SPD), the continuous counterpart (normalized by a constant) from Arrow-Debreu security prices. Under no...
Persistent link: https://www.econbiz.de/10005861030
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Nonparametric Risk Management with Generalized Hyperbolic Distributions
Chen, Ying; Härdle, Wolfgang; Jeong, Seok-Oh - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...
Persistent link: https://www.econbiz.de/10005862343
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Robust adaptive estimation of dimension reduction space
Čížek, Pavel; Härdle, Wolfgang - 2003
Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy tailed distributions. We show that the recently proposed MAVE and OPG methods by Xia et al. (2002) allow us to make them robust in a relatively straightforward way...
Persistent link: https://www.econbiz.de/10010296438