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Publications

by alumni of

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

(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 2009.04461, arXiv.org, revised Sep 2020.
  2. Simon Trimborn & Wolfgang Karl Hardle, 2020. "CRIX an index for cryptocurrencies," Papers 2009.09782, arXiv.org.

2019

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

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 2018-058, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

2017

  1. Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2017. "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers SFB649DP2017-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2016

  1. Brenda López Cabrera & Franziska Schulz, 2016. "Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management," SFB 649 Discussion Papers SFB649DP2016-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Hermann Elendner & Simon Trimborn & Bobby Ong & Teik Ming Lee, 2016. "The Cross-Section of Crypto-Currencies as Financial Assets: An Overview," SFB 649 Discussion Papers SFB649DP2016-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2015

  1. Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Simon Trimborn & Wolfgang Karl Härdle, 2015. "CRIX or evaluating Blockchain based currencies," SFB 649 Discussion Papers SFB649DP2015-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2014

  1. Ngoc Mai Tran & Maria Osipenko & Wolfgang Karl Härdle, 2014. "Principal Component Analysis in an Asymmetric Norm," SFB 649 Discussion Papers SFB649DP2014-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Maria Osipenko & Zhiwei Shen & Martin Odening, 2014. "Is there a demand for multi-year crop insurance?," SFB 649 Discussion Papers SFB649DP2014-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. 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.
  4. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2014. "Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models," SFB 649 Discussion Papers SFB649DP2014-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Brenda Lopez Cabrera & Franziska Schulz, 2014. "Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach," SFB 649 Discussion Papers SFB649DP2014-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Stephan Stahlschmidt & Wolfgang Karl Härdle & Helmut Thome, 2014. "An Application of Principal Component Analysis on Multivariate Time-Stationary Spatio-Temporal Data," SFB 649 Discussion Papers SFB649DP2014-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Stephan Stahlschmidt & Matthias Eckardt & Wolfgang K. Härdle, 2014. "Expectile Treatment Effects: An efficient alternative to compute the distribution of treatment effects," SFB 649 Discussion Papers SFB649DP2014-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2013

  1. Wolfgang Karl Härdle & Dedy Dwi Prastyo, 2013. "Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry," SFB 649 Discussion Papers SFB649DP2013-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Brenda López Cabrera, & Franziska Schulz,, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers SFB649DP2013-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2012

  1. Wolfgang Karl Härdle & Dedy Dwi Prastyo & Christian Hafner, 2012. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," SFB 649 Discussion Papers SFB649DP2012-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Ostap Okhrin & Alexander Ristig, 2012. "Hierarchical Archimedean Copulae: The HAC Package," SFB 649 Discussion Papers SFB649DP2012-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

2011

  1. Esra Akdeniz Duran & Wolfgang Karl Härdle & Maria Osipenko, 2011. "Difference based Ridge and Liu type Estimators in Semiparametric Regression Models," SFB 649 Discussion Papers SFB649DP2011-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Wolfgang Karl Härdle & Maria Osipenko, 2011. "Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity," SFB 649 Discussion Papers SFB649DP2011-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Wolfgang Härdle & Maria Osipenko, 2011. "Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers SFB649DP2011-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Stephan Stahlschmidt & Helmut Tausendteufel & Wolfgang K. Härdle, 2011. "Bayesian Networks and Sex-related Homicides," SFB 649 Discussion Papers SFB649DP2011-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Journal articles

2021

  1. Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl, 2021. "VCRIX — A volatility index for crypto-currencies," International Review of Financial Analysis, Elsevier, vol. 78(C).
  2. 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, vol. 21(11), pages 1825-1853, November.

2020

  1. Ying Chen & Paolo Giudici & Branka Hadji Misheva & Simon Trimborn, 2020. "Lead Behaviour in Bitcoin Markets," Risks, MDPI, vol. 8(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, vol. 18(2), pages 280-306.

2018

  1. Trimborn, Simon & Härdle, Wolfgang Karl, 2018. "CRIX an Index for cryptocurrencies," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 107-122.

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, vol. 112(517), pages 127-136, January.

2016

  1. López Cabrera, Brenda & Schulz, Franziska, 2016. "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, vol. 54(C), pages 190-203.

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, vol. 40(6), pages 1155-1171, June.

2012

  1. Wolfgang Karl Hardle and Maria Osipenko, 2012. "Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  2. 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, vol. 105(1), pages 164-175.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.