Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
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- Meister, Alexander & Kreiß, Jens-Peter, 2016. "Statistical inference for nonparametric GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3009-3040.
- Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2019. "SONIC: SOcial Network with Influencers and Communities," IRTG 1792 Discussion Papers 2019-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013.
"Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery,"
LSE Research Online Documents on Economics
54934, London School of Economics and Political Science, LSE Library.
- Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
- Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
- Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015.
"Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 529-550, June.
- Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2012. "Local Adaptive Multiplicative Error Models for High-Frequency Forecasts," SFB 649 Discussion Papers SFB649DP2012-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bruno Spilak & Wolfgang Karl Hardle, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," Papers 2010.03315, arXiv.org, revised Aug 2021.
- Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2022. "SONIC: SOcial Network analysis with Influencers and Communities," Journal of Econometrics, Elsevier, vol. 228(2), pages 177-220.
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
- Matthias R. Fengler & Ostap Okhrin, 2012.
"Realized Copula,"
SFB 649 Discussion Papers
SFB649DP2012-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series 1214, University of St. Gallen, School of Economics and Political Science.
- Cizek, P., 2010.
"Modelling Conditional Heteroscedasticity in Nonstationary Series,"
Other publications TiSEM
a5a7b05f-5f1f-46ed-8ce8-5, Tilburg University, School of Economics and Management.
- Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Discussion Paper 2010-84, Tilburg University, Center for Economic Research.
- Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
- Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018.
"lCARE - localizing conditional autoregressive expectiles,"
Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
- Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle, "undated". "lCARE – localizing Conditional AutoRegressive Expectiles," SFB 649 Discussion Papers SFB649DP2015-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema, 2013. "Dynamic structured copula models," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 361-388, December.
- Bruno Spilak & Wolfgang Karl Härdle, 2022.
"Tail-Risk Protection: Machine Learning Meets Modern Econometrics,"
Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 92, pages 2177-2211,
Springer.
- Spilak, Bruno & Härdle, Wolfgang Karl, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers 2020-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Wolfgang Karl Härdle & Andrija Mihoci & Christopher Hian-Ann Ting, 2014. "Adaptive Order Flow Forecasting with Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2014-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chen, C. Y-H. & Härdle, W. K. & Klochkov, Y., 2019. "Influencers and Communities in Social Networks," Cambridge Working Papers in Economics 1998, Faculty of Economics, University of Cambridge.
- Andrija Mihoci & Christopher Hian-Ann Ting & Meng-Jou Lu & Kainat Khowaja, 2022. "Adaptive order flow forecasting with multiplicative error models," Digital Finance, Springer, vol. 4(1), pages 89-108, March.
- Shen, Zhiwei, 2016. "Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking," 156th Seminar, October 4, 2016, Wageningen, The Netherlands 249984, European Association of Agricultural Economists.
- Dedy Dwi Prastyo & Wolfgang Karl Härdle, 2014. "Localising Forward Intensities for Multiperiod Corporate Default," SFB 649 Discussion Papers SFB649DP2014-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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