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Publications

by alumni of

Humboldt-Universität Berlin → Center for Applied Statistics and Econometrics (CASE)

Humboldt University Berlin

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2020

  1. Alla Petukhina & Simon Trimborn & Wolfgang Karl Hardle & Hermann Elendner, 2020, "Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies," Papers, arXiv.org, number 2009.04461, Sep, revised Sep 2020.
  2. Simon Trimborn & Wolfgang Karl Hardle, 2020, "CRIX an index for cryptocurrencies," Papers, arXiv.org, number 2009.09782, Sep.

2019

  1. Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2019, "VCRIX - a volatility index for crypto-currencies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-027.

2018

  1. Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann, 2018, "Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-058.

2017

  1. Härdle, Wolfgang Karl & Osipenko, Maria, 2017, "Dynamic valuation of weather derivatives under default risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-005.
  2. Trimborn, Simon & Li, Mingyang & Härdle, Wolfgang Karl, 2017, "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-014.

2016

  1. López Cabrera, Brenda & Schulz, Franziska, 2016, "Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-035.
  2. Elendner, Hermann & Trimborn, Simon & Ong, Bobby & Lee, Teik Ming, 2016, "The cross-section of crypto-currencies as financial assets: An overview," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-038.

2015

  1. Okhrin, Ostap & Ristig, Alexander & Sheen, Jeffrey R. & Trück, Stefan, 2015, "Conditional systemic risk with penalized copula," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-038.
  2. Härdle, Wolfgang Karl & Trimborn, Simon, 2015, "CRIX or evaluating blockchain based currencies," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-048.

2014

  1. Tran, Ngoc Mai & Osipenko, Maria & Härdle, Wolfgang Karl, 2014, "Principal component analysis in an asymmetric norm," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-001.
  2. Osipenko, Maria & Shen, Zhiwei & Odening, Martin, 2014, "Is there a demand for multi-year crop insurance?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-025.
  3. HÃ≠rdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2014, "Support Vector Machines with Evolutionary Model Selection for Default Prediction," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014016, Jan.
  4. Dedy Dwi Prastyo & Härdle, Wolfgang Karl, 2014, "Localising forward intensities for multiperiod corporate default," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-040.
  5. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014, "Efficient iterative maximum likelihood estimation of high-parameterized time series models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-010.
  6. López Cabrera, Brenda & Schulz, Franziska, 2014, "Forecasting generalized quantiles of electricity demand: A functional data approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-030.
  7. Stahlschmidt, Stephan & Härdle, Wolfgang Karl & Thome, Helmut, 2014, "An application of principal component analysis on multivariate time-stationary spatio-temporal data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-016.
  8. Stahlschmidt, Stephan & Eckardt, Matthias & Härdle, Wolfgang Karl, 2014, "Expectile treatment effects: An efficient alternative to compute the distribution of treatment effects," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-059.

2013

  1. Hardle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2013, "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013040, Jan.
  2. Härdle, Wolfgang Karl & Prastyo, Dedy Dwi, 2013, "Default risk calculation based on predictor selection for the Southeast Asian industry," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-037.
  3. López Cabrera, Brenda & Schulz, Franziska, 2013, "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-042.
  4. Kehl, Konstantin & Stahlschmidt, Stephan, 2013, "A new perspective on the economic valuation of informal care: The well-being approach revisited," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-035.

2012

  1. Okhrin, Ostap & Ristig, Alexander, 2012, "Hierarchical Archimedean copulae: The HAC package," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-036.
  2. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012, "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-054.

2011

  1. Härdle, Wolfgang Karl & Osipenko, Maria, 2011, "Spatial risk premium on weather derivatives and hedging weather exposure in electricity," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-013.
  2. Duran, Esra Akdeniz & Härdle, Wolfgang Karl & Osipenko, Maria, 2011, "Difference based ridge and Liu type estimators in semiparametric regression models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-014.
  3. Härdle, Wolfgang Karl & Osipenko, Maria, 2011, "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-055.
  4. Stahlschmidt, Stephan & Tausendteufel, Helmut & Härdle, Wolfgang Karl, 2011, "Bayesian Networks and sex-related homicides," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-045.

Journal articles

2024

  1. Yoga Sasmita & Heri Kuswanto & Dedy Dwi Prastyo, 2024, "State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export," Forecasting, MDPI, volume 6, issue 1, pages 1-18, February.

2021

  1. Dyah P. Rahmawati & I. N. Budiantara & Dedy D. Prastyo & Made A. D. Octavanny & Sergejs Solovjovs, 2021, "Mixed Spline Smoothing and Kernel Estimator in Biresponse Nonparametric Regression," International Journal of Mathematics and Mathematical Sciences, Hindawi, volume 2021, pages 1-14, March, DOI: 10.1155/2021/6611084.
  2. Agnes Tuti Rumiati & Dedy Dwi Prastyo & Sonny Harry B. Harmadi & Nur Achmey Selgi Harwanti & Rifda Zukhrufi Almas, 2021, "Analysis of changes in public behavior regarding 3M health protocols during the Covid-19 pandemic in Indonesia," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, volume 10, issue 5, pages 157-172, July, DOI: 10.20525/ijrbs.v10i5.1304.
  3. Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2021, "VCRIX — A volatility index for crypto-currencies," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101915.
  4. Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021, "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 11, pages 1825-1853, November, DOI: 10.1080/14697688.2021.1880023.

2020

  1. Ying Chen & Paolo Giudici & Branka Hadji Misheva & Simon Trimborn, 2020, "Lead Behaviour in Bitcoin Markets," Risks, MDPI, volume 8, issue 1, pages 1-14, January.
  2. Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2020, "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 280-306.

2018

  1. Trimborn, Simon & Härdle, Wolfgang Karl, 2018, "CRIX an Index for cryptocurrencies," Journal of Empirical Finance, Elsevier, volume 49, issue C, pages 107-122, DOI: 10.1016/j.jempfin.2018.08.004.

2017

  1. Brenda López Cabrera & Franziska Schulz, 2017, "Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 517, pages 127-136, January, DOI: 10.1080/01621459.2016.1219259.

2016

  1. López Cabrera, Brenda & Schulz, Franziska, 2016, "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, volume 54, issue C, pages 190-203, DOI: 10.1016/j.eneco.2015.11.018.

2013

  1. Stephan Stahlschmidt & Helmut Tausendteufel & Wolfgang K. Härdle, 2013, "Bayesian networks for sex-related homicides: structure learning and prediction," Journal of Applied Statistics, Taylor & Francis Journals, volume 40, issue 6, pages 1155-1171, June, DOI: 10.1080/02664763.2013.780235.

2012

  1. Akdeniz Duran, Esra & Härdle, Wolfgang Karl & Osipenko, Maria, 2012, "Difference based ridge and Liu type estimators in semiparametric regression models," Journal of Multivariate Analysis, Elsevier, volume 105, issue 1, pages 164-175, DOI: 10.1016/j.jmva.2011.08.018.

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