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Publications

by alumni of

Humboldt-Universität Berlin → Wirtschaftswissenschaftliche Fakultät → Institut für Statistik und Ökonometrie (ISÖ)

Humboldt University Berlin → Faculty of Economics → Institute for Statistics and Econometrics

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 | Books | Chapters | Software components |

Working papers

2025

  1. Matthias R. Fengler & Bruno Jäger & Ostap Okhrin, 2025, "Locally adaptive modeling of unconditional heteroskedasticity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-60, Jun.

2024

  1. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024, "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series, CESifo, number 11556.
  2. Matthias R. Fengler & Minh Tri Phan, 2024, "Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-106, Oct.
  3. Matthias R. Fengler & Jeannine Polivka, 2024, "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-55, Oct.
  4. Matthias R. Fengler & Jeannine Polivka, 2024, "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-63, Nov.

2023

  1. Brown, Martin & Fengler, Matthias & Huwyler, Jonas & Koeniger, Winfried & Lalive, Rafael & Rohrkemper, Robert, 2023, "Monitoring Consumption Switzerland: Data, Background, and Use Cases," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2301, Jan.
  2. Fengler, Matthias & Phan, Minh Tri, 2023, "A Topic Model for 10-K Management Disclosures," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2307, Aug.
  3. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023, "Beta-Sorted Portfolios," Staff Reports, Federal Reserve Bank of New York, number 1068, Jul, DOI: 10.59576/sr.1068.

2022

  1. Fengler, Matthias & Polivka, Jeanine, 2022, "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264010.
  2. Katja Hanewald & Hazel Bateman & Hanming Fang & Tin Long Ho, 2022, "Long-Term Care Insurance Financing Using Home Equity Release: Evidence from an Online Experimental Survey," NBER Working Papers, National Bureau of Economic Research, Inc, number 29689, Jan.
  3. Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022, "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022009, Feb.
  4. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2022, "Time-Varying Mixture Copula Models with Copula Selection," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022008, Feb.
  5. El Mehdi, Rachida & Hafner, Christian M., 2022, "Panel stochastic frontier analysis with dependent error terms," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022009, Jan, DOI: https://doi.org/10.33818/ier.103372.
  6. Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei, 2022, "Semiparametric estimation and variable selection for single-index copula models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022011, Feb, DOI: https://doi.org/10.1002/jae.2812.
  7. Hafner, Christian M. & Wang, Linqi, 2022, "A dynamic conditional score model for the log correlation matrix," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022012, Feb, DOI: https://doi.org/10.1016/j.jeconom.2.
  8. Kyriakopoulou, Dimitra & Hafner, Christian M., 2022, "Reconciling negative return skewness with positive time-varying risk premia," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022031, May, DOI: https://doi.org/10.1080/07474938.20.
  9. Bocart, Fabian Y.R.P. & Hafner, Christian M. & Kasperskaya, Yulia & Sagarra, Marti, 2022, "Investing in superheroes? Comic art as a new alternative investment," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022032, Jun, DOI: https://doi.org/10.3905/jai.2022.1..
  10. Hafner, Christian M. & Majeri , Sabrine, 2022, "Analysis of cryptocurrency connectedness based on network to transaction volume ratios," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2022033, Oct, DOI: https://doi.org/10.1007/s42521-022-.

2021

  1. Yuanyuan Deng & Hanming Fang & Katja Hanewald & Shang Wu, 2021, "Delay the Pension Age or Adjust the Pension Benefit? Implications for Labor Supply and Individual Welfare in China," NBER Working Papers, National Bureau of Economic Research, Inc, number 28897, Jun.
  2. Hafner, Christian, 2021, "Teaching statistical inference without normality," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2021027, Jan.

2020

  1. Lining Yu & Wolfgang Karl Hardle & Lukas Borke & Thijs Benschop, 2020, "An AI approach to measuring financial risk," Papers, arXiv.org, number 2009.13222, Sep.
  2. Ben Zhe Wang & Jeffrey Sheen & Stefan Truck & Shih-Kang Chao & Wolfgang Karl Hardle, 2020, "A note on the impact of news on US household inflation expectations," Papers, arXiv.org, number 2009.11557, Sep.
  3. Chen, Ying, 2020, "Pollution Regulations, Air Quality, and the Local Economy," MPRA Paper, University Library of Munich, Germany, number 98535, Feb.
  4. Hafner, Christian & Herwartz, Helmut, 2020, "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020031, Jan.
  5. Hafner, Christian & Wang, Linqi, 2020, "Dynamic portfolio selection with sector-specific regularization," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020032, Jan.
  6. Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020, "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020028, Jan, DOI: https://doi.org/10.1016/j.jeconom.2.
  7. Hafner, Christian & Kyriakopoulou, Dimitra, 2020, "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020029, Jan, DOI: https://doi.org/10.1080/07350015.20.
  8. Bocart, Fabian & Ghysels, Eric & Hafner, Christian, 2020, "Monthly Art Market Returns," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020030, May, DOI: https://doi.org/10.3390/jrfm1305010.
  9. Hafner, Christian, 2020, "The Spread of the Covid-19 Pandemic in Time and Space," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020031, May, DOI: https://doi.org/10.3390/ijerph17113.
  10. Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020, "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020032, Jul, DOI: https://doi.org/10.1016/j.jeconom.2.
  11. Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020, "Pricing Cryptocurrency Options," Papers, arXiv.org, number 2009.11007, Sep.
  12. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020, "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-020.
  13. Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020, "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-021.
  14. Wang, Weining & Yu, Lining & Wang, Bingling, 2020, "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-022.
  15. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2020, "The common and speci fic components of inflation expectation across European countries," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-023.
  16. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020, "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-024.
  17. Mustafayeva, Konul & Wang, Weining, 2020, "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-025.
  18. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2020, "How useful is listings data for research?," FORLand Working Papers, Humboldt University Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets – Efficiency and Regulation", number 19 (2020), DOI: 10.18452/21038.

2019

  1. Lejour, Arjan & Mohlmann, Jan & van't Riet, Maarten & Benschop, Thijs, 2019, "Dutch Shell Companies and International Tax Planning," Discussion Paper, Tilburg University, Center for Economic Research, number 2019-024.
  2. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2019, "Media-expressed tone, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-015.
  3. Katja Hanewald & Hazel Bateman & Hanming Fang & Shang Wu, 2019, "Is There a Demand for Reverse Mortgages in China? Evidence from Two Online Surveys," Working Papers, eSocialSciences, number id:12997, Feb.
  4. Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019, "Sentiment-Induced Bubbles in the Cryptocurrency Market," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019053, Jan.
  5. Gao, Zhengyuan & Hafner, Christian, 2019, "Looking Backward and Looking Forward," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2019057, Jan.
  6. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019, "LASSO-Driven Inference in Time and Space," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP20/19, Apr.
  7. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2019, "Inference of Break-Points in High-Dimensional Time Series," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-013.
  8. Keilbar, Georg & Wang, Weining, 2019, "Modelling Systemic Risk Using Neural Network Quantile Regression," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-019.
  9. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019, "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-030.
  10. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2019, "Land value appraisal using statistical methods," FORLand Working Papers, Humboldt University Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets – Efficiency and Regulation", number 07 (2019), DOI: 10.18452/19722.

2018

  1. Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018, "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1808, Jun.
  2. Bang Nam Jeon & Ji Wu & Mengmeng Guo & Minghua Chen, 2018, "Market power and the risk-taking of banks: Some semiparametric evidence from emerging economies," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2018-1, Jan.
  3. Wang, Cindy Shin-Huei & Hafner, Christian, 2018, "A simple solution of the spurious regression problem," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018044, Jan.
  4. Hafner, Christian, 2018, "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018045, Jan.
  5. Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2018, "Trending Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201809, Sep, revised Sep 2018.
  6. Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018, "Using generalized estimating equations to estimate nonlinear models with spatial data," Papers, arXiv.org, number 1810.05855, Oct.
  7. Stefan Richter & Weining Wang & Wei Biao Wu, 2018, "A supreme test for periodic explosive GARCH," Papers, arXiv.org, number 1812.03475, Dec.
  8. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining, 2018, "Pricing Cryptocurrency options: the case of CRIX and Bitcoin," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-004.

2017

  1. Yu, Lining & Härdle, Wolfgang Karl & Borke, Lukas & Benschop, Thijs, 2017, "FRM: A financial risk meter based on penalizing tail events occurrence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-003.
  2. Benschop, Thijs & López Cabrera, Brenda, 2017, "Realized volatility of CO₂ futures," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-025.
  3. Borke, Lukas, 2017, "RiskAnalytics: An R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-006.
  4. Borke, Lukas & Härdle, Wolfgang Karl, 2017, "GitHub API based QuantNet Mining infrastructure in R," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-008.
  5. Burdejová, Petra & Härdle, Wolfgang Karl, 2017, "Dynamic semi-parametric factor model for functional expectiles," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-027.
  6. Fengler, Matthias & Melnikov, Alexander, 2017, "GARCH option pricing models with Meixner innovations," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1702, Feb.
  7. Dare, Wale & Fengler, Matthias, 2017, "Global estimation of realized spot volatility in the presence of price jumps," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1715, Sep.
  8. Hafner, Christian & Preminger, Arie, 2017, "On asymptotic theory for ARCH(infinite) models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017009, Jan.
  9. Daniel, Betty & Hafner, Christian & Manner, Hans & Simar, Leopold, 2017, "Asymmetries in Business Cycles and the Role of Oil Prices," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017010, Jan.
  10. Hafner, Christian & Lauwers, Alexandre, 2017, "An augmented Taylor rule for the Federal Reserve's response to asset prices," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2017008, Jan.
  11. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017, "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-34, Oct.
  12. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017, "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-026.

2016

  1. Borke, Lukas & Härdle, Wolfgang Karl, 2016, "Q3-D3-Lsa," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-049.
  2. Tran, Ngoc Mai & Burdejová, Petra & Osipenko, Maria & Härdle, Wolfgang Karl, 2016, "Principal component analysis in an asymmetric norm," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-040.
  3. Hafner, C. & Linton, O., 2016, "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2016036, Jan.
  4. Hafner, Christian & Walders, Fabian, 2016, "Heterogeneous Liquidity Effects in Corporate Bond Spreads," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2016050, Jan.
  5. Hafner, C. M. & Linton, O., 2016, "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1664, Nov.
  6. Christian M. Hafner & Oliver Linton & Haihan Tang, 2016, "Estimation of a Multiplicative Covariance Structure," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP23/16, May.
  7. Zharova, Alona & Mihoci, Andrija & Härdle, Wolfgang Karl, 2016, "Academic ranking scales in economics: Prediction and imputation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-020.
  8. Zbonakova, Lenka & Härdle, Wolfgang Karl & Wang, Weining, 2016, "Time varying quantile Lasso," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-047.
  9. Zhu, Xuening & Wang, Weining & Wang, Hangsheng & Härdle, Wolfgang Karl, 2016, "Network quantile autoregression," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-050.

2015

  1. Burdejova, Petra & Härdle, Wolfgang Karl & Kokoszka, Piotr & Xiong, Q., 2015, "Change point and trend analyses of annual expectile curves of tropical storms," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-029.
  2. Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 72197, Mar, revised 10 Jun 2016.
  3. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015, "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-03, Jan.
  4. Hafner, Christian & Preminger, Arie, 2015, "The effect of additive outliers on a fractional unit root test," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015027, Jan.
  5. Hafner, Christian & Lauwers, Alexandre, 2015, "An augmented Taylor rule for the Federal Reserve’s response to asset prices," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015028, Jan.
  6. Hafner, Christian & Preminger, Arie, 2015, "An ARCH model without intercept," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015039, Jan.
  7. Bocart, Fabian & Hafner, Christian, 2015, "Volatility of price indices for heterogenous goods with applications to the fine art market," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015041, Jan.
  8. Hafner, Christian & Manner, H. & Simar, L., 2015, "The “wrong skewness” problem in stochastic frontier models: a new approach," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015014, Mar.
  9. Chen, Ying & Härdle, Wolfgang Karl & Qiang, He & Majer, Piotr, 2015, "Risk related brain regions detected with 3D image FPCA," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-022.
  10. Gschöpf, Philipp & Härdle, Wolfgang Karl & Mihoci, Andrija, 2015, "TERES: Tail event risk expectile based shortfall," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-047.
  11. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015, "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-052.
  12. Cui, Wei & Härdle, Wolfgang Karl & Wang, Weining, 2015, "Estimation of NAIRU with inflation expectation data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-010.
  13. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2015, "Inflation co-movement across countries in multi-maturity term structure: An arbitrage-free approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-049.
  14. Schulz, Rainer & Wersing, Martin, 2015, "Forecasting the oil price using house prices," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-041.

2014

  1. Fengler, Matthias R. & Gisler, Katja I. M., 2014, "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1409, Apr.
  2. Fengler, Matthias R. & Hin, Lin-Yee, 2014, "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1423, Aug.
  3. Hafner, Christian & Preminger, Arie, 2014, "A note on the Tobit model in the presence of a duration variable," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014010, Jan.
  4. Breitung, J. & Hafner, C., 2014, "A simple model for now-casting volatility series," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014046, Jan.
  5. 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.
  6. McAleer, Michael & Hafner, Christian, 2014, "A One Line Derivation of EGARCH," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014030, Jan.
  7. Gao, Renfei & Wang, Cindy & Hafner, Christian, 2014, "The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2014031, Jan.
  8. Christian M. Hafner & Michael McAleer, 2014, "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/19, Jul.
  9. Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2014, "Portfolio decisions and brain reactions via the CEAD method," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-036.
  10. Härdle, Wolfgang Karl & Mihoci, Andrija & Ting, Christopher Hian-Ann, 2014, "Adaptive order flow forecasting with multiplicative error models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-035.
  11. Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014, "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-012.
  12. Härdle, Wolfgang Karl & Sirotko-Sibirskaya, Natalia & Wang, Weining, 2014, "TENET: Tail-Event driven NETwork risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-066.
  13. Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2014, "Identifying Berlin's land value map using adaptive weights smoothing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-003.

2013

  1. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "CDO surfaces dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-032.
  2. Audrino, Francesco & Fengler, Matthias, 2013, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1311, Mar.
  3. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013, "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1332, Nov.
  4. Guo, Mengmeng & Zhou, Lhan & Huang, Jianhua Z. & Härdle, Wolfgang Karl, 2013, "Functional data analysis of generalized quantile regressions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-001.
  5. El Mehdi, Rachida & Hafner, Christian, 2013, "Local government efficiency: The case of Moroccan municipalities," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013001, Jan.
  6. Bocart, F. & Hafner, C., 2013, "Fair re-valuation of wine as an investment," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013003, Jan.
  7. Hafner C. & Linton, O., 2013, "An Almost Closed Form Estimator for the EGARCH," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013010, Jan.
  8. 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.
  9. Hafner, Christian & Manner, Hans & Simar, Leopold, 2013, "The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013046, Jan.
  10. Ben Omrane, Walid & Hafner, Christian, 2013, "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013059, Jan.
  11. Bauwens, Luc & Hafner, Christian & Pierret, Diane, 2013, "Modelling multivariate volatility of electricity futures," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013030, Jan.
  12. Fan, Yan & Härdle, Wolfgang Karl & Wang, Weining & Zhu, Lixing, 2013, "Composite quantile regression for the single-index model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-010.
  13. Härdle, Wolfgang Karl & Ritov, Ya'acov & Wang, Weining, 2013, "Tie the straps: Uniform bootstrap con fidence bands for bounded influence curve estimators," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-047.
  14. Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2013, "Automated valuation modelling: A specification exercise," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-046.

2012

  1. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012, "Copula dynamics in CDOs," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-032.
    • Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck, 2014, "Copula dynamics in CDOs," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 9, pages 1573-1585, September, DOI: 10.1080/14697688.2013.847280.
  2. Fengler, Matthias & Okhrin, Ostap, 2012, "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1214, May.
  3. Maathumai Nirmalendran & Michael Sherris & Katja Hanewald, 2012, "Solvency Capital, Pricing and Capitalization Strategies of Life Annuity Providers," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201213, May.
  4. Bocart, Fabian & Hafner, Christian, 2012, "Volatility of price indices for heterogeneous goods," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012019, Jan.
  5. El Mehdi, Rachida & Hafner, Christian, 2012, "Inference in stochastic frontier analysis with dependent error terms," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012038, Jan.
  6. Hafner, Christian & Manner H., 2012, "Dynamic stochastic copula models: Estimation, inference and applications," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012022, Jan.
  7. Hafner, Christian, 2012, "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012027, Jan.
  8. Härdle, Wolfgang Karl & Majer, Piotr, 2012, "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-048.
  9. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-031.
  10. Härdle, Wolfgang Karl & Silyakova, Elena, 2012, "Implied basket correlation dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-066.
  11. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012, "HMM in dynamic HAC models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-001.
  12. Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012, "Quantile regression in risk calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-006.
  13. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2012, "Location, Location, Location: Extracting Location Value from House Prices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1216.
  14. Schulz, Rainer & Wersing, Martin, 2012, "A slab in the face: Building quality and neighborhood effects," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-020.

2011

  1. Fengler, Matthias & Hin, Lin-Yee, 2011, "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1136, Sep, revised May 2013.
  2. Thomas Post & Katja Hanewald, 2011, "Longevity Risk, Subjective Survival Expectations, and Individual Saving Behavior," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201111, Aug.
  3. Katja Hanewald & John Piggott & Michael Sherris, 2011, "Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201113, Aug.
  4. Katja Hanewald & Michael Sherris, 2011, "House Price Risk Models for Banking and Insurance Applications," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201118, Nov.
  5. Hanewald, Katja & Post, Thomas & Gründl, Helmut, 2011, "Stochastic mortality, macroeconomic risks, and life insurer solvency," ICIR Working Paper Series, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), number 01/11.
  6. Bauwens, L. & Hafner, C. & Pierret, D., 2011, "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011013, Jan.
  7. Bertrand, Aurelie & Hafner, Christian, 2011, "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011028, Jan.
  8. BOCART, F. & HAFNER, Christian, 2011, "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011029, Jan.
  9. Daniel , Betty C & Hafner, Christian & Manner, Hans & Simar, Leopold, 2011, "Asymmetries in Business Cycles and the Role of Oil Production," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011032, Jan.
  10. Bauwens, L. & Hafner C. & Laurent, S., 2011, "Volatility Models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011044, Jan.
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012, "Volatility Models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012028, Jan.
    • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011, "Volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011058, Dec.
  11. Hafner, Christian & Wang, Shin-Huei, 2011, "Estimating autocorrelations in the presence of deterministic trends," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011051, Jan.
  12. Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011, "The Euro-introduction and non-Euro currencies," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011052, Jan.
  13. Hafner, Christian & Manner, Hans, 2011, "Multivariate Time Series Models for Asset Prices," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2011053, Jan.
  14. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011, "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-085.
  15. Song Song & Peter J. Bickel, 2011, "Large Vector Auto Regressions," Papers, arXiv.org, number 1106.3915, Jun.
  16. Wang, Weining & Bobojonov, Ihtiyor & Härdle, Wolfgang Karl & Odening, Martin, 2011, "Increasing weather risk: Fact of fiction?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-077.

2010

  1. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010, "Models for heavy-tailed asset returns," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-049.
  2. Matthias Fengler, 2010, "Option data and modeling BSM implied volatility," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 2010-32, Dec.
  3. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010, "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen, number 1132, Dec, revised Nov 2011.
  4. Guo, Mengmeng & Härdle, Wolfgang Karl, 2010, "Adaptive interest rate modelling," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-029.
  5. Duran, Esra Akdeniz & Guo, Mengmeng & Härdle, Wolfgang Karl, 2010, "A confidence corridor for expectile functions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-004.
  6. Hecht, Carolin & Hanewald, Katja, 2010, "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-034.
  7. Post, Thomas & Hanewald, Katja, 2010, "Stochastic mortality, subjective survival expectations, and individual saving behavior," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-040.
  8. Hafner, C. & Reznikova, O., 2010, "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010006, Jan.
  9. Motta, Giovanni & Hafner, Christian & von Sachs, Rainer, 2010, "Locally Stationary Factor Models: Identification And Nonparametric Estimation," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010009, Jan.
  10. Hafner, C. & Preminger, A., 2010, "Deciding between GARCH and Stochastic Volatility via Strong Decision Rules," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010032, Jan.
  11. Hafner, Christian & Reznikova, Olga, 2010, "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010033, Jan.
  12. Härdle, Wolfgang Karl & Silyakova, Elena, 2010, "Volatility investing with variance swaps," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-001.
  13. Härdle, Wolfgang Karl & Ritov, Ya'acov & Song, Song, 2010, "Partial linear quantile regression and bootstrap confidence bands," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-002.
  14. Song, Song & Härdle, Wolfgang Karl & Ritov, Ya'acov, 2010, "High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-039.
  15. Härdle, Wolfgang Karl & Okhrin, Yarema & Wang, Weining, 2010, "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-003.
  16. Härdle, Wolfgang Karl & Schulz, Rainer & Wang, Weining, 2010, "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-041.
  17. Härdle, Wolfgang Karl & López Cabrera, Brenda & Okhrin, Ostap & Wang, Weining, 2010, "Localising temperature risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-001.
  18. Härdle, Wolfgang Karl & Spokoiny, Vladimir & Wang, Weining, 2010, "Local quantile regression," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-005.

2009

  1. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO pricing with copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-013.
  2. Choroś, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2009, "CDO and HAC," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-038.
  3. Hanewald, Katja, 2009, "Lee-Carter and the macroeconomy," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-008.
  4. Christian M. Hafner & Oliver Linton, 2009, "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 541, Oct.
  5. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
  6. Cao, Ji & Härdle, Wolfgang Karl & Mungo, Julius, 2009, "A joint analysis of the KOSPI 200 option and ODAX option markets dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-019.

2008

  1. Ahmad, Taleb & Härdle, Wolfgang Karl & Klinke, Sigbert & Awadhi, Shafeeqah Al, 2008, "Using R, LaTeX and Wiki for an Arabic e-learning platform," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-030.
  2. Ahmad, Taleb & Härdle, Wolfgang Karl, 2008, "Statistics e-learning platforms evaluation: Case study," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-058.
  3. Andriyashin, Anton & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Recursive portfolio selection with decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-009.
  4. Andriyashin, Anton, 2008, "Stock picking via nonsymmetrically pruned binary decision trees," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-035.
  5. Borak, Szymon & Weron, Rafał, 2008, "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-050.
  6. Hanewald, Katja, 2008, "Beyond the business cycle: Factors driving aggregate mortality rates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-031.
  7. Härdle, Wolfgang Karl & Mungo, Julius, 2008, "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-006.
  8. Härdle, Wolfgang Karl & Song, Song, 2008, "The stochastic fluctuation of the quantile regression curve," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-027.
  9. Golubev, Yuri & Härdle, Wolfgang Karl & Timofeev, Roman, 2008, "Testing monotonicity of pricing Kernels," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-001.
  10. Rainer Schulz & Martin Wersing & Axel Werwatz, 2008, "Renting Versus Owning And The Role Of Income Risk: The Case Of Germany," ERES, European Real Estate Society (ERES), number eres2008_248, Jan.
  11. Schulz, Rainer & Staiber, Markus & Wersing, Martin & Werwatz, Axel, 2008, "The accuracy of long-term real estate valuations," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-019.

2007

  1. Ahmad, Taleb & Härdle, Wolfgang Karl & Klinke, Sigbert, 2007, "Using Wiki to build an e-learning system in statistics in Arabic language," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-031.
  2. Andriyashin, Anton & Härdle, Wolfgang Karl, 2007, "QuantNet: A database-driven online repository of scientific information," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-041.
  3. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007, "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-023.
  4. Fengler, Matthias R. & Winter, Joachim, 2007, "Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets," Munich Reprints in Economics, University of Munich, Department of Economics, number 20338.
  5. Giacomini, Enzo & Härdle, Wolfgang Karl, 2007, "Statistics of risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-025.
  6. Härdle, Wolfgang Karl & Mungo, Julius, 2007, "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-027.
  7. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2007, "Yxilon: A client-server based statistical environment," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-036.

2006

  1. Ahmad, Taleb & Härdle, Wolfgang Karl & Mungo, Julius, 2006, "On the difficulty to design Arabic e-learning system in statistics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-062.
  2. Andriyashin, Anton & Benko, Michal & Härdle, Wolfgang Karl & Timofeev, Roman & Ziegenhagen, Uwe, 2006, "Color harmonization in car manufacturing process," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-071.
  3. Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał, 2006, "Convenience yields for CO₂ emission allowance futures contracts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-076.
  4. Giacomini, Enzo & Handel, Michael & Härdle, Wolfgang Karl, 2006, "Time dependent relative risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-020.
  5. Giacomini, Enzo & Härdle, Wolfgang Karl & Ignatieva, Ekaterina & Spokoiny, Vladimir, 2006, "Inhomogeneous dependency modelling with time varying copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-075.
  6. BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006012, Feb.
  7. HAFNER, Christian & PREMINGER, Arie, 2006, "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006071, Sep.
  8. Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006, "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-011.
  9. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2006, "E-learning statistics: A selective review," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-024.

2005

  1. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005, "Stable distributions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-008.
    • Szymon Borak & Wolfgang Härdle & Rafał Weron, 2005, "Stable Distributions," Springer Books, Springer, chapter 1, "Statistical Tools for Finance and Insurance", DOI: 10.1007/3-540-27395-6_1.
  2. Borak, Szymon & Detlefsen, Kai & Härdle, Wolfgang Karl, 2005, "FFT based option pricing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-011.
  3. Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005, "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-022.
  4. Fengler, Matthias R., 2005, "Arbitrage-free smoothing of the implied volatility surface," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-019.
  5. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005, "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-020.
  6. Giacomini, Enzo & Härdle, Wolfgang Karl, 2005, "Value-at-risk calculations with time varying copulae," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-004.
  7. HAFNER, Christian H., 2005, "Durations, volume and the prediction of financial returns in transaction time," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1784, Jan, DOI: 10.1080/14697680500040033.
  8. Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005, "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-26, Jul.
  9. de Boer, P.M.C. & Hafner, C.M., 2005, "Ridge regression revisited," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-29, Aug.
    • Paul M. C. de Boer & Christian M. Hafner, 2005, "Ridge regression revisited," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 59, issue 4, pages 498-505, November, DOI: 10.1111/j.1467-9574.2005.00304.x.
  10. Klinke, Sigbert & Ziegenhagen, Uwe & Guri, Yuval, 2005, "Yxilon: A modular open-source statistical programming language," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-018.
  11. Härdle, Wolfgang Karl & Klinke, Sigbert & Ziegenhagen, Uwe, 2005, "Integrable e-lements for statistics education," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-058.

2004

  1. CHEN, Rong & YANG, Lijian & HAFNER, Christian, 2004, "Nonparametric multistep-ahead prediction in time series analysis," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1783, Jan, DOI: 10.1111/j.1467-9868.2004.04664.x.
  2. Christian M. Hafner, 2004, "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 538, Aug.
  3. Hafner, C.M. & Herwartz, H., 2004, "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-20, May.
  4. Hafner, C.M. & Rombouts, J.V.K., 2004, "Semiparametric multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-21, May.

2003

  1. Christophe Villa & M.R. Fengler & W.K. Hardle, 2003, "The dynamics of implied volatilities : a common principal components approach," Post-Print, HAL, number halshs-00069509.
  2. Fengler, Matthias R. & Schwendner, Peter, 2003, "Correlation Risk Premia for Multi-Asset Equity Options," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,10.
  3. Fengler, Matthias R. & Wang, Qihua, 2003, "Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,25.
  4. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003, "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,54.
  5. HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003003, Jan.
  6. HAFNER, Christian & ROMBOUTS, Jeroen, 2003, "Estimation of temporally aggregated multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003073, Oct.
  7. Hafner, C.M. & Franses, Ph.H.B.F., 2003, "A generalized dynamic conditional correlation model for many asset returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-18, Jul.
  8. Hafner, C.M., 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-20, Jul.
  9. Hafner, C.M. & Herwartz, H., 2003, "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2003-21, Aug.

2002

  1. Hafner, C.M. & Herwartz, H., 2002, "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2002-36, Oct.
  2. Aydinli, Gökhan & Härdle, Wolfgang & Kleinow, Torsten & Sofyan, Hizir, 2002, "MD*ReX: Linking XploRe to standard spread-sheet applications," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,10.

2001

  1. Fengler, Matthias R. & Härdle, Wolfgang & Schmidt, Peter, 2001, "The analysis of implied volatilities," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,73.
  2. Fengler, Matthias R. & Herwartz, Helmut, 2001, "Multivariate volatility models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,74.
    • Matthias R. Fengler & Helmut Herwartz, 2009, "Multivariate Volatility Models," Springer Books, Springer, chapter 15, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_15.
  3. HAFNER, Christian, 2001, "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001046, Jun.

2000

  1. Sofyan, Hizir & Werwatz, Axel, 2000, "Analyzing XploRe download profiles with intelligent miner," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,100.
  2. Klemelä, Jussi & Klinke, Sigbert & Sofyan, Hizir, 2000, "Classification and regression trees," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,62.
  3. Mucha, Hans-Joachim & Sofyan, Hizir, 2000, "Cluster analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2000,49.

1999

  1. Hafner, Christian M. & Herwartz, Helmut, 1999, "Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,22.
  2. Hafner, Christian M. & Herwartz, Helmut, 1999, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,58.

1998

  1. HAFNER, Christian & HERWARTZ, Helmut, 1998, "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1998047, Aug.
  2. Feldmann, David & Härdle, Wolfgang Karl & Hafner, Christian M. & Hoffmann, Marc & Lepskii, Oleg V. & Tsybakov, Alexandre B., 1998, "Flexible stochastic volatility structures for high frequency financial data," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,34.
  3. Hafner, Christian M. & Herwartz, Helmut, 1998, "Testing for linear autoregressive dynamics under heteroskedasticity," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1999,7.

1997

  1. HÄRDLE, Wolfgang & HAFNER, Christian, 1997, "Discrete time option pricing with flexible volatility estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997047, Jun.
  2. Hafner, C., 1997, "Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,18.

1996

  1. Bossaerts, P. & Hafner, C. & Härdle, Wolfgang, 1996, "Foreign Exchange Rates Have Surprising Volatility," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1996,68.

1995

  1. Bossaerts, P. & Härdle, Wolfgang & Hafner, C., 1995, "A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1995,45.

Journal articles

2026

  1. Jesús Mur & Ana Angulo, 2026, "Model selection strategies in a spatial setting: Some additional results," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, volume 65, issue 65, pages 15-38, June, DOI: 10.1016/j.regsciurbeco.2008.05.018.

2025

  1. Fengler, Matthias R. & Phan, Tri Minh, 2025, "Unveiling themes in 10-K disclosures: A new topic modeling perspective," International Review of Financial Analysis, Elsevier, volume 103, issue C, DOI: 10.1016/j.irfa.2025.104121.
  2. Matthias R Fengler & Jeannine Polivka, 2025, "Structural Volatility Impulse Response Analysis," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 2, pages 951-971.
  3. Jonas M. Bruhin & Matthias R. Fengler & Winfried Koeniger & Robert Rohrkemper, 2025, "Consumer spending in Switzerland: insights from a novel transactional data index," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 161, issue 1, pages 1-25, December, DOI: 10.1186/s41937-025-00146-5.
  4. Katja Hanewald & Hazel Bateman & Hanming Fang & Tin Long Ho, 2025, "Housing wealth and long‐term care insurance demand: Survey evidence," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 92, issue 3, pages 692-718, September, DOI: 10.1111/jori.70006.
  5. Cheng Wan & Hazel Bateman & Katja Hanewald, 2025, "Demand for life annuities, critical illness insurance, and long‐term care insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 92, issue 3, pages 740-764, September, DOI: 10.1111/jori.70005.

2023

  1. Lining Yu & Wolfgang Karl Hã„Rdle & Lukas Borke & Thijs Benschop, 2023, "An Ai Approach To Measuring Financial Risk," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 68, issue 05, pages 1529-1549, September, DOI: 10.1142/S0217590819500668.
  2. Martin Brown & Matthias R. Fengler & Jonas Huwyler & Winfried Koeniger & Rafael Lalive & Robert Rohrkemper, 2023, "Monitoring consumption Switzerland: data, background, and use cases," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 159, issue 1, pages 1-16, December, DOI: 10.1186/s41937-023-00108-9.
  3. Zheng, Wei & Lyu, Youji & Jia, Ruo & Hanewald, Katja, 2023, "The impact of expected pensions on consumption: evidence from China," Journal of Pension Economics and Finance, Cambridge University Press, volume 22, issue 1, pages 69-87, January.
  4. Deng, Yuanyuan & Fang, Hanming & Hanewald, Katja & Wu, Shang, 2023, "Delay the Pension Age or Adjust the Pension Benefit? Implications for Labor Supply and Individual Welfare in China," Journal of Economic Behavior & Organization, Elsevier, volume 212, issue C, pages 1192-1215, DOI: 10.1016/j.jebo.2023.06.025.
  5. Si, Yafei & Bateman, Hazel & Chen, Shu & Hanewald, Katja & Li, Bingqin & Su, Min & Zhou, Zhongliang, 2023, "Quantifying the financial impact of overuse in primary care in China: A standardised patient study," Social Science & Medicine, Elsevier, volume 320, issue C, DOI: 10.1016/j.socscimed.2023.115670.
  6. Schulz, Rainer & Watson, Verity & Wersing, Martin, 2023, "Teleworking and housing demand," Regional Science and Urban Economics, Elsevier, volume 101, issue C, DOI: 10.1016/j.regsciurbeco.2023.103915.

2022

  1. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022, "Media-expressed tone, option characteristics, and stock return predictability," Journal of Economic Dynamics and Control, Elsevier, volume 134, issue C, DOI: 10.1016/j.jedc.2021.104290.
  2. Qiqi Wang & Katja Hanewald & Xiaojun Wang, 2022, "Multistate health transition modeling using neural networks," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 89, issue 2, pages 475-504, June, DOI: 10.1111/jori.12364.
  3. Sisi Yang & Katja Hanewald, 2022, "Life Satisfaction of Middle-Aged and Older Chinese: The Role of Health and Health Insurance," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, volume 160, issue 2, pages 601-624, April, DOI: 10.1007/s11205-020-02390-z.
  4. Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022, "Identification of structural multivariate GARCH models," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 212-227, DOI: 10.1016/j.jeconom.2020.07.019.
  5. Christian M. Hafner & Sabrine Majeri, 2022, "Analysis of cryptocurrency connectedness based on network to transaction volume ratios," Digital Finance, Springer, volume 4, issue 2, pages 187-216, September, DOI: 10.1007/s42521-022-00054-w.
  6. Dimitra Kyriakopoulou & Christian M. Hafner, 2022, "Reconciling negative return skewness with positive time-varying risk premia," Econometric Reviews, Taylor & Francis Journals, volume 41, issue 8, pages 877-894, September, DOI: 10.1080/07474938.2022.2072323.

2021

  1. Li, Han & Hanewald, Katja & Wu, Shang, 2021, "Healthy life expectancy in China: Modelling and implications for public and private insurance," Annals of Actuarial Science, Cambridge University Press, volume 15, issue 1, pages 40-56, March.
  2. Hanewald, Katja & Jia, Ruo & Liu, Zining, 2021, "Why is inequality higher among the old? Evidence from China," China Economic Review, Elsevier, volume 66, issue C, DOI: 10.1016/j.chieco.2021.101592.
  3. Eling, Martin & Ghavibazoo, Omid & Hanewald, Katja, 2021, "Willingness to take financial risks and insurance holdings: A European survey," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 95, issue C, DOI: 10.1016/j.socec.2021.101781.
  4. Qian Lu & Katja Hanewald & Xiaojun Wang, 2021, "Subnational Mortality Modelling: A Bayesian Hierarchical Model with Common Factors," Risks, MDPI, volume 9, issue 11, pages 1-21, November.
  5. Rachida El Mehdi & Christian M. Hafner, 2021, "Panel Stochastic Frontier Analysis with Dependent Error Terms," International Econometric Review (IER), Economic Research Association, volume 13, issue 2, pages 24-40, June.
  6. Christian M. Hafner & Dimitra Kyriakopoulou, 2021, "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 2, pages 589-603, March, DOI: 10.1080/07350015.2019.1691564.
  7. Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2021, "Semiparametric estimation and variable selection for single‐index copula models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 36, issue 7, pages 962-988, November, DOI: 10.1002/jae.2812.
  8. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2021, "Real estate listings and their usefulness for hedonic regressions," Empirical Economics, Springer, volume 61, issue 6, pages 3239-3269, December, DOI: 10.1007/s00181-020-01992-3.
  9. Rainer Schulz & Martin Wersing, 2021, "Automated Valuation Services: A case study for Aberdeen in Scotland," Journal of Property Research, Taylor & Francis Journals, volume 38, issue 2, pages 154-172, April, DOI: 10.1080/09599916.2020.1861066.

2020

  1. Hanewald, Katja & Bateman, Hazel & Fang, Hanming & Wu, Shang, 2020, "Is there a demand for reverse mortgages in China? Evidence from two online surveys," Journal of Economic Behavior & Organization, Elsevier, volume 169, issue C, pages 19-37, DOI: 10.1016/j.jebo.2019.10.023.
  2. Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020, "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 431-470, DOI: 10.1016/j.jeconom.2019.12.012.
  3. Christian M. Hafner, 2020, "The Spread of the Covid-19 Pandemic in Time and Space," IJERPH, MDPI, volume 17, issue 11, pages 1-13, May.
  4. Christian M. Hafner, 2020, "Alternative Assets and Cryptocurrencies," JRFM, MDPI, volume 13, issue 1, pages 1-3, January.
  5. Fabian Y.R.P. Bocart & Eric Ghysels & Christian M. Hafner, 2020, "Monthly Art Market Returns," JRFM, MDPI, volume 13, issue 5, pages 1-22, May.
    • Bocart, Fabian & Ghysels, Eric & Hafner, Christian, 2020, "Monthly Art Market Returns," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020030, May, DOI: https://doi.org/10.3390/jrfm1305010.
    • BOCART Fabian Y.R.P., & GHYSELS Eric, & HAFNER Christian,, 2018, "Monthly art market returns," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018028, Sep.
  6. Christian M Hafner, 2020, "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 233-249.
  7. Usman, M. & Hamid, M. & Zubair, T. & Haq, R.U. & Wang, W. & Liu, M.B., 2020, "Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials," Applied Mathematics and Computation, Elsevier, volume 372, issue C, DOI: 10.1016/j.amc.2019.124985.
  8. Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020, "Pricing Cryptocurrency Options," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 250-279.

2019

  1. Tran, Ngoc M. & Burdejová, Petra & Ospienko, Maria & Härdle, Wolfgang K., 2019, "Principal component analysis in an asymmetric norm," Journal of Multivariate Analysis, Elsevier, volume 171, issue C, pages 1-21, DOI: 10.1016/j.jmva.2018.10.004.
  2. Petra Burdejová & Wolfgang K. Härdle, 2019, "Dynamic semi-parametric factor model for functional expectiles," Computational Statistics, Springer, volume 34, issue 2, pages 489-502, June, DOI: 10.1007/s00180-019-00883-1.
  3. Hanewald, Katja & Li, Han & Shao, Adam W., 2019, "Modelling multi-state health transitions in China: a generalised linear model with time trends," Annals of Actuarial Science, Cambridge University Press, volume 13, issue 1, pages 145-165, March.
  4. Daniel, Betty C. & Hafner, Christian M. & Simar, Léopold & Manner, Hans, 2019, "Asymmetries In Business Cycles And The Role Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 4, pages 1622-1648, June.
  5. Zhengyuan Gao & Christian M. Hafner, 2019, "Looking Backward and Looking Forward," Econometrics, MDPI, volume 7, issue 2, pages 1-24, June.
  6. Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019, "Sentiment-Induced Bubbles in the Cryptocurrency Market," JRFM, MDPI, volume 12, issue 2, pages 1-12, April.
  7. Hizir Sofyan & M. Shabri Abd. Majid & Moh. Rizky Rahmanda, 2019, "Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe," Contemporary Economics, Vizja University, volume 13, issue 1, March.
  8. Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019, "Network quantile autoregression," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 345-358, DOI: 10.1016/j.jeconom.2019.04.034.
  9. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2019, "Bodenwertermittlung mit statistischen Methoden
    [Land value appraisal using statistical methods]    ," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., volume 5, issue 1, pages 131-154, November, DOI: 10.1365/s41056-019-00038-9.

2018

  1. Matthias R. Fengler & Helmut Herwartz, 2018, "Measuring Spot Variance Spillovers when (Co)variances are Time†varying – The Case of Multivariate GARCH Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 80, issue 1, pages 135-159, February, DOI: 10.1111/obes.12191.
  2. Matthias R. Fengler & Alexander Melnikov, 2018, "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, volume 21, issue 3, pages 277-305, October, DOI: 10.1007/s11147-017-9141-7.
  3. Shao Adam W. & Hanewald Katja & Michael Sherris and, 2018, "House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 12, issue 1, pages 1-26, January, DOI: 10.1515/apjri-2017-0003.
  4. Wang Cindy Shin-Huei & Hafner Christian M., 2018, "A simple solution of the spurious regression problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 3, pages 1-14, June, DOI: 10.1515/snde-2015-0040.
  5. Christian M. Hafner & Hans Manner & Léopold Simar, 2018, "The “wrong skewness” problem in stochastic frontier models: A new approach," Econometric Reviews, Taylor & Francis Journals, volume 37, issue 4, pages 380-400, April, DOI: 10.1080/07474938.2016.1140284.
  6. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018, "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 198-220, DOI: 10.1016/j.jempfin.2018.06.006.
  7. Em Yusuf Iis* & Mukhlis Yunus & Muhammad Adam & Hizir Sofyan, 2018, "Antecedent Model of Empowerment and Performance of Aceh Government With Motivation as the Intervening Variable," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 743-747:2.
  8. Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu, 2018, "Single-Index-Based CoVaR With Very High-Dimensional Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 2, pages 212-226, April, DOI: 10.1080/07350015.2016.1180990.
  9. Schulz, Rainer & Wersing, Martin, 2018, "The revival of East Berlin’s land market after the German reunification," Journal of Housing Economics, Elsevier, volume 42, issue C, pages 19-29, DOI: 10.1016/j.jhe.2018.02.001.

2017

  1. Burdejova, P. & Härdle, W. & Kokoszka, P. & Xiong, Q., 2017, "Change point and trend analyses of annual expectile curves of tropical storms," Econometrics and Statistics, Elsevier, volume 1, issue C, pages 101-117, DOI: 10.1016/j.ecosta.2016.09.002.
  2. Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle, 2017, "Confidence Corridors for Multivariate Generalized Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 1, pages 70-85, January, DOI: 10.1080/07350015.2015.1054493.
  3. Chen, Ying & Henderson, J. Vernon & Cai, Wei, 2017, "Political favoritism in China’s capital markets and its effect on city sizes," Journal of Urban Economics, Elsevier, volume 98, issue C, pages 69-87, DOI: 10.1016/j.jue.2015.10.003.
  4. Blackburn, Craig & Hanewald, Katja & Olivieri, Annamaria & Sherris, Michael, 2017, "Longevity Risk Management And Shareholder Value For A Life Annuity Business," ASTIN Bulletin, Cambridge University Press, volume 47, issue 1, pages 43-77, January.
  5. Hanewald, Katja, 2017, "King William's Tontine: Why the Retirement Annuity of the Future Should Resemble its Past. Moshe A. Milevsky . Cambridge University Press, 2015, ISBN 9781107076129, 257 pages. doi: 10.1017/CBO9781139879316," Journal of Pension Economics and Finance, Cambridge University Press, volume 16, issue 2, pages 267-269, April.
  6. Christian M. Hafner & Arie Preminger, 2017, "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, volume 38, issue 6, pages 865-879, November.
  7. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017, "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, volume 33, issue 3, pages 691-716, June.
  8. Hafner, Christian M. & Linton, Oliver, 2017, "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, volume 33, issue 4, pages 1013-1038, August.
  9. Christian M. Hafner & Alexandre R. Lauwers, 2017, "An augmented Taylor rule for the Federal Reserve's response to asset prices," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, volume 7, issue 1/2, pages 115-151.
  10. IKRAMUDDIN & Muhammad ADAM & Hizir SOFYAN & FAISAL, 2017, "The Relationship of Perceived Value, Service Quality, Brand Trust, and Brand Loyalty. A Literature Review," Expert Journal of Marketing, Sprint Investify, volume 5, issue 2, pages 72-77.

2016

  1. Fengler, Matthias R. & Okhrin, Ostap, 2016, "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 131-152, DOI: 10.1016/j.csda.2014.07.011.
  2. Katja Hanewald & Thomas Post & Michael Sherris, 2016, "Portfolio Choice in Retirement—What is The Optimal Home Equity Release Product?," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 83, issue 2, pages 421-446, June.
  3. Breitung, Jörg & Hafner, Christian M., 2016, "A simple model for now-casting volatility series," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1247-1255, DOI: 10.1016/j.ijforecast.2016.04.007.
  4. Christian M. Hafner & Arie Preminger, 2016, "The effect of additive outliers on a fractional unit root test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 100, issue 4, pages 401-420, October, DOI: 10.1007/s10182-015-0265-5.
  5. Song, Song & Zhu, Lixing, 2016, "Group-wise semiparametric modeling: A SCSE approach," Journal of Multivariate Analysis, Elsevier, volume 152, issue C, pages 1-14, DOI: 10.1016/j.jmva.2016.07.006.
  6. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016, "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, volume 192, issue 2, pages 499-513, DOI: 10.1016/j.jeconom.2016.02.013.
  7. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2016, "Localizing Temperature Risk," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 516, pages 1491-1508, October, DOI: 10.1080/01621459.2016.1180985.

2015

  1. Fengler, Matthias R. & Hin, Lin-Yee, 2015, "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 242-261, DOI: 10.1016/j.jeconom.2014.09.003.
  2. Fengler, M.R. & Mammen, E. & Vogt, M., 2015, "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 196-218, DOI: 10.1016/j.jeconom.2015.04.002.
  3. Fengler, Matthias R. & Hin, Lin-Yee, 2015, "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Finance Research Letters, Elsevier, volume 15, issue C, pages 78-84, DOI: 10.1016/j.frl.2015.08.006.
  4. Audrino, Francesco & Fengler, Matthias R., 2015, "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 46-63, DOI: 10.1016/j.jbankfin.2015.08.018.
  5. Fengler, Matthias R. & Gisler, Katja I.M., 2015, "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, volume 51, issue C, pages 174-195, DOI: 10.1016/j.jimonfin.2014.11.006.
  6. Cho Daniel & Hanewald Katja & Sherris Michael, 2015, "Risk Analysis for Reverse Mortgages with Different Payout Designs," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 9, issue 1, pages 77-105, January, DOI: 10.1515/apjri-2014-0012.
  7. Shao, Adam W. & Hanewald, Katja & Sherris, Michael, 2015, "Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk," Insurance: Mathematics and Economics, Elsevier, volume 63, issue C, pages 76-90, DOI: 10.1016/j.insmatheco.2015.03.026.
  8. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015, "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, volume 10, issue 2, pages 190-203, November.
  9. Hafner, Christian M. & Preminger, Arie, 2015, "A note on the Tobit model in the presence of a duration variable," Economics Letters, Elsevier, volume 126, issue C, pages 47-50, DOI: 10.1016/j.econlet.2014.11.010.
  10. Hafner, Christian M. & Preminger, Arie, 2015, "An ARCH model without intercept," Economics Letters, Elsevier, volume 129, issue C, pages 13-17, DOI: 10.1016/j.econlet.2015.01.029.
  11. Walid Ben Omrane & Christian Hafner, 2015, "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, volume 48, issue 2, pages 577-607, March, DOI: 10.1007/s00181-013-0792-4.
  12. Fabian Y. R. P. Bocart & Christian M. Hafner, 2015, "Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 291-312, March.
  13. 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., volume 30, issue 4, pages 529-550, June.
  14. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2015, "Hidden Markov Structures For Dynamic Copulae," Econometric Theory, Cambridge University Press, volume 31, issue 5, pages 981-1015, October.
  15. Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015, "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, volume 134, issue C, pages 129-145, DOI: 10.1016/j.jmva.2014.11.003.
  16. Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015, "Uniform Confidence Bands for Pricing Kernels," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 2, pages 376-413.
  17. Jürgen Franke & Peter Mwita & Weining Wang, 2015, "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 99, issue 1, pages 107-130, January, DOI: 10.1007/s10182-014-0234-4.
  18. Jens Kolbe & Rainer Schulz & Martin Wersing & Axel Werwatz, 2015, "Identifying Berlin’s land value map using adaptive weights smoothing," Computational Statistics, Springer, volume 30, issue 3, pages 767-790, September, DOI: 10.1007/s00180-015-0559-9.

2014

  1. Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck, 2014, "Copula dynamics in CDOs," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 9, pages 1573-1585, September, DOI: 10.1080/14697688.2013.847280.
  2. Nirmalendran, Maathumai & Sherris, Michael & Hanewald, Katja, 2014, "Pricing And Solvency Of Value-Maximizing Life Annuity Providers," ASTIN Bulletin, Cambridge University Press, volume 44, issue 1, pages 39-61, January.
  3. Daniel Alai & Hua Chen & Daniel Cho & Katja Hanewald & Michael Sherris, 2014, "Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions," North American Actuarial Journal, Taylor & Francis Journals, volume 18, issue 1, pages 217-241, DOI: 10.1080/10920277.2014.882252.
  4. Rachida El Mehdi & Christian M. Hafner, 2014, "Local Government Efficiency: The Case of Moroccan Municipalities," African Development Review, African Development Bank, volume 26, issue 1, pages (88-101.
  5. El Mehdi, Rachida & Hafner, Christian M., 2014, "Inference in stochastic frontier analysis with dependent error terms," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 102, issue C, pages 104-116, DOI: 10.1016/j.matcom.2013.09.008.
  6. Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Econometrics, MDPI, volume 2, issue 2, pages 1-6, June.
  7. Aurélie Bertrand & Christian Hafner, 2014, "On heterogeneous latent class models with applications to the analysis of rating scores," Computational Statistics, Springer, volume 29, issue 1, pages 307-330, February, DOI: 10.1007/s00180-013-0450-5.
  8. Renfei Gao & Cindy S. H. Wang & Christian M. Hafner, 2014, "The Impact Of Acquisitions On New Technology Stocks: The Google–Motorola Case," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-23, DOI: 10.1142/S2010495214400028.
  9. Alena Bömmel & Song Song & Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Härdle, 2014, "Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study," Psychometrika, Springer;The Psychometric Society, volume 79, issue 3, pages 489-514, July, DOI: 10.1007/s11336-013-9352-2.
  10. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014, "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, volume 17, issue 2, pages 101-131, June.
  11. Wolfgang Karl Härdle & Weining Wang, 2014, "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 2, pages 173-174, April, DOI: 10.1080/07350015.2014.898585.
  12. Rainer Schulz & Martin Wersing & Axel Werwatz, 2014, "Renting versus Owning and the Role of Human Capital: Evidence from Germany," The Journal of Real Estate Finance and Economics, Springer, volume 48, issue 4, pages 754-788, May, DOI: 10.1007/s11146-013-9412-5.
  13. Rainer Schulz & Martin Wersing & Axel Werwatz, 2014, "Automated valuation modelling: a specification exercise," Journal of Property Research, Taylor & Francis Journals, volume 31, issue 2, pages 131-153, June, DOI: 10.1080/09599916.2013.846930.

2013

  1. Taleb Ahmad & Wolfgang Härdle & Sigbert Klinke & Shafiqah Alawadhi, 2013, "Using wiki to build an e-learning system in statistics in the Arabic language," Computational Statistics, Springer, volume 28, issue 2, pages 481-491, April, DOI: 10.1007/s00180-012-0312-6.
  2. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2013.08.001.
  3. Katja Hanewald & Michael Sherris, 2013, "Postcode-Level House Price Models for Banking and Insurance Applications," The Economic Record, The Economic Society of Australia, volume 89, issue 286, pages 411-425, September.
  4. Hanewald, Katja & Piggott, John & Sherris, Michael, 2013, "Individual post-retirement longevity risk management under systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 1, pages 87-97, DOI: 10.1016/j.insmatheco.2012.11.002.
  5. Post, Thomas & Hanewald, Katja, 2013, "Longevity risk, subjective survival expectations, and individual saving behavior," Journal of Economic Behavior & Organization, Elsevier, volume 86, issue C, pages 200-220, DOI: 10.1016/j.jebo.2012.11.012.
  6. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013, "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 5, pages 743-761, August.

2012

  1. Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012, "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 457-493, June.
  2. Mengmeng Guo & Wolfgang Härdle, 2012, "Simultaneous confidence bands for expectile functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 96, issue 4, pages 517-541, October, DOI: 10.1007/s10182-011-0182-1.
  3. Carolin Hecht & Katja Hanewald, 2012, "Who Responds to Tax Reforms? Evidence from the Life Insurance Market," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, volume 37, issue 1, pages 5-26, January.
  4. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012, "Econometric analysis of volatile art markets," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3091-3104, DOI: 10.1016/j.csda.2011.10.019.
  5. Hafner, Christian M. & Reznikova, Olga, 2012, "On the estimation of dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3533-3545, DOI: 10.1016/j.csda.2010.09.022.
  6. Christian M. Hafner, 2012, "Cross-correlating wavelet coefficients with applications to high-frequency financial time series," Journal of Applied Statistics, Taylor & Francis Journals, volume 39, issue 6, pages 1363-1379, December, DOI: 10.1080/02664763.2011.649716.
  7. Christian M. Hafner & Hans Manner, 2012, "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 2, pages 269-295, March.
  8. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 610-625, DOI: 10.1016/j.jempfin.2012.04.002.
  9. Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012, "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, volume 28, issue 4, pages 861-887, August.

2011

  1. Jan Maruhn & Morten Nalholm & Matthias Fengler, 2011, "Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 5, pages 711-727, DOI: 10.1080/14697680903154241.
  2. Katja Hanewald & Thomas Post & Helmut Gründl, 2011, "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, volume 36, issue 3, pages 458-475, July.
  3. Katja Hanewald, 2011, "Explaining Mortality Dynamics," North American Actuarial Journal, Taylor & Francis Journals, volume 15, issue 2, pages 290-314, DOI: 10.1080/10920277.2011.10597622.
  4. Wang Shin-Huei & Hafner Christian, 2011, "Estimating Autocorrelations in the Presence of Deterministic Trends," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 2, pages 1-25, April, DOI: 10.2202/1941-1928.1022.
  5. Motta, Giovanni & Hafner, Christian M. & von Sachs, Rainer, 2011, "Locally Stationary Factor Models: Identification And Nonparametric Estimation," Econometric Theory, Cambridge University Press, volume 27, issue 6, pages 1279-1319, December.
  6. Dick van Dijk & Haris Munandar & Christian Hafner, 2011, "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 95-116, DOI: 10.1080/09603107.2011.523197.

2010

  1. Hafner, Christian M. & Reznikova, Olga, 2010, "Efficient estimation of a semiparametric dynamic copula model," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2609-2627, November.
  2. Hafner, Christian M. & Linton, Oliver, 2010, "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 55-73, November.

2009

  1. Matthias Fengler, 2009, "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 4, pages 417-428, DOI: 10.1080/14697680802595585.
  2. Giacomini, Enzo & Härdle, Wolfgang & Spokoiny, Vladimir, 2009, "Inhomogeneous Dependence Modeling with Time-Varying Copulae," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 224-234.
  3. Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009, "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 93, issue 4, pages 387-402, December, DOI: 10.1007/s10182-009-0115-4.
  4. Christian M. Hafner & Helmut Herwartz, 2009, "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 63, issue 3, pages 294-323, August, DOI: 10.1111/j.1467-9574.2009.00424.x.
  5. Hafner, Christian M. & Preminger, Arie, 2009, "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, volume 25, issue 2, pages 336-363, April.
  6. Christian M. Hafner, 2009, "Causality and forecasting in temporally aggregated multivariate GARCH processes," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 127-146, March.
  7. Hafner, Christian M. & Preminger, Arie, 2009, "On asymptotic theory for multivariate GARCH models," Journal of Multivariate Analysis, Elsevier, volume 100, issue 9, pages 2044-2054, October.
  8. Walid Ben Omrane & Christian M. Hafner, 2009, "Information Spillover, Volatility and the Currency Markets," International Econometric Review (IER), Economic Research Association, volume 1, issue 1, pages 50-62, April.
  9. Christian Hafner & Philip Hans Franses, 2009, "A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 6, pages 612-631, DOI: 10.1080/07474930903038834.

2008

  1. Christian M. Hafner & Helmut Herwartz, 2008, "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
  2. Paul Embrechts, 2008, "Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner," International Statistical Review, International Statistical Institute, volume 76, issue 2, pages 313-314, August, DOI: 10.1111/j.1751-5823.2008.00054_15.x.
  3. Hafner, Christian M., 2008, "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 467-483, January.
  4. Christian Hafner & Helmut Herwartz, 2008, "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 67, issue 2, pages 219-239, March, DOI: 10.1007/s00184-007-0130-y.
  5. Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler, 2008, "VAR Modeling for Dynamic Loadings Driving Volatility Strings," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 3, pages 361-381, Summer.

2007

  1. M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007, "On extracting information implied in options," Computational Statistics, Springer, volume 22, issue 4, pages 543-553, December, DOI: 10.1007/s00180-007-0061-0.
  2. Matthias R. Fengler & Joachim K. Winter, 2007, "Price variability and price dispersion in a stable monetary environment: evidence from German retail markets," Managerial and Decision Economics, John Wiley & Sons, Ltd., volume 28, issue 7, pages 789-801, DOI: 10.1002/mde.1373.
  3. Hafner, Christian M. & Rombouts, Jeroen V.K., 2007, "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, volume 23, issue 2, pages 251-280, April.
  4. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007, "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3551-3566, April.
  5. Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2007, "On the Utility of E‐Learning in Statistics," International Statistical Review, International Statistical Institute, volume 75, issue 3, pages 355-364, December, DOI: 10.1111/j.1751-5823.2007.00026.x.

2006

  1. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006, "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, volume 9, issue 3, pages 239-264, November, DOI: 10.1007/s11147-007-9010-x.
  2. Hafner, Christian M. & Linton, Oliver B., 2006, "Comment," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 998-1001, September.
  3. Hafner, Christian M. & Herwartz, Helmut, 2006, "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, volume 93, issue 1, pages 137-141, October.
  4. Hafner, Christian M. & Herwartz, Helmut, 2006, "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, volume 25, issue 5, pages 719-740, August.

2005

  1. Paul M. C. de Boer & Christian M. Hafner, 2005, "Ridge regression revisited," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 59, issue 4, pages 498-505, November, DOI: 10.1111/j.1467-9574.2005.00304.x.
  2. Christian Hafner, 2005, "Durations, volume and the prediction of financial returns in transaction time," Quantitative Finance, Taylor & Francis Journals, volume 5, issue 2, pages 145-152, DOI: 10.1080/14697680500040033.

2004

  1. Rong Chen & Lijian Yang & Christian Hafner, 2004, "Nonparametric multistep‐ahead prediction in time series analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 66, issue 3, pages 669-686, August, DOI: 10.1111/j.1467-9868.2004.04664.x.

2003

  1. Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003, "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, volume 6, issue 3, pages 179-202, October, DOI: 10.1023/B:REDR.0000004823.77464.2d.
  2. Christian M. Hafner, 2003, "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 1, pages 26-54.
  3. Christian Hafner, 2003, "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, volume 18, issue 3, pages 339-353, September, DOI: 10.1007/BF03354602.
  4. Rainer Schulz & Hizir Sofyan & Axel Werwatz & Rodrigo Witzel, 2003, "Online Prediction of Berlin Single-Family House Prices," Computational Statistics, Springer, volume 18, issue 3, pages 449-462, September, DOI: 10.1007/BF03354609.

2001

  1. Hafner, Christian M. & Herwartz, Helmut, 2001, "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, volume 8, issue 1, pages 1-34, March.
  2. Hizir Sofyan & Axel Werwatz, 2001, "Analyzing XploRe Download Profiles with Intelligent Miner," Computational Statistics, Springer, volume 16, issue 3, pages 465-479, September, DOI: 10.1007/s001800100079.

2000

  1. Christian M. Hafner & Helmut Herwartz, 2000, "Testing for linear autoregressive dynamics under heteroskedasticity," Econometrics Journal, Royal Economic Society, volume 3, issue 2, pages 177-197.
  2. Christian M. Hafner & Wolfgang HÄrdle, 2000, "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, volume 4, issue 2, pages 189-207.

1998

  1. C. M. Hafner & H. Herwartz, 1998, "Structural analysis of portfolio risk using beta impulse response functions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 52, issue 3, pages 336-355, November, DOI: 10.1111/1467-9574.00088.

Undated

  1. Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen, 0, "A semiparametric factor model for implied volatility surface dynamics," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 2, pages 189-218.

Books

2024

  1. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Applied Multivariate Statistical Analysis," Springer Books, Springer, number 978-3-031-63833-6, edition 0, ISBN: ARRAY(0x7141dba0), DOI: 10.1007/978-3-031-63833-6.

2005

  1. Matthias R. Fengler, 2005, "Semiparametric Modeling of Implied Volatility," Springer Finance, Springer, number 978-3-540-30591-0, ISBN: ARRAY(0x7e4b7998), October, DOI: 10.1007/3-540-30591-2.

Chapters

2024

  1. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Comparison of Batches," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_1.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Comparison of Batches," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_1.
    • Wolfgang Härdle & Léopold Simar, 2003, "Comparison of Batches," Springer Books, Springer, chapter 1, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_1.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Comparison of Batches," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_1.
  2. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Decomposition of Data Matrices by Factors," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_10.
  3. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Principal Component Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_11.
  4. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Factor Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_12.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Factor Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_12.
    • Wolfgang Härdle & Léopold Simar, 2003, "Factor Analysis," Springer Books, Springer, chapter 10, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_10.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Factor Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_12.
  5. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Cluster Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_13.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Cluster Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_13.
    • Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2025, "Correction to: Cluster Analysis," Springer Books, Springer, chapter 24, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_24.
    • Wolfgang Härdle & Léopold Simar, 2003, "Cluster Analysis," Springer Books, Springer, chapter 11, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_11.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Cluster Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_13.
  6. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Discriminant Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_14.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Discriminant Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_14.
    • Wolfgang Härdle & Léopold Simar, 2003, "Discriminant Analysis," Springer Books, Springer, chapter 12, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_12.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Discriminant Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_14.
  7. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Correspondence Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_15.
  8. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Canonical Correlation Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_16.
  9. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Multidimensional Scaling," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_17.
  10. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Conjoint Measurement Analysis," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_18.
  11. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Applications in Finance," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_19.
  12. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "A Short Excursion into Matrix Algebra," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_2.
  13. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Computationally Intensive Techniques," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_20.
  14. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Locally Linear Embedding," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_21.
  15. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Stochastic Neighborhood Embedding," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_22.
  16. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Uniform Manifold Approximation and Projection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_23.
  17. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Moving to Higher Dimensions," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_3.
  18. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Multivariate Distributions," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_4.
  19. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Theory of the Multinormal," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_5.
  20. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Theory of Estimation," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_6.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Theory of Estimation," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_6.
    • Wolfgang Härdle & Léopold Simar, 2003, "Theory of Estimation," Springer Books, Springer, chapter 6, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_6.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Theory of Estimation," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_6.
  21. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Hypothesis Testing," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_7.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Hypothesis Testing," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_7.
    • Wolfgang Härdle & Léopold Simar, 2003, "Hypothesis Testing," Springer Books, Springer, chapter 7, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-05802-2_7.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Hypothesis Testing," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_7.
  22. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Regression Models," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_8.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Regression Models," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_8.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Regression Models," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_8.
  23. Wolfgang Karl Härdle & Léopold Simar & Matthias R. Fengler, 2024, "Variable Selection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-031-63833-6_9.
    • Wolfgang Karl Härdle & Léopold Simar, 2019, "Variable Selection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-030-26006-4_9.
    • Wolfgang Karl Härdle & Léopold Simar, 2015, "Variable Selection," Springer Books, Springer, chapter 0, "Applied Multivariate Statistical Analysis", DOI: 10.1007/978-3-662-45171-7_9.

2017

  1. Andrija Mihoci, 2017, "Modelling Limit Order Book Volume Covariance Structures," Chapters, IntechOpen, in: Tsukasa Hokimoto, "Advances in Statistical Methodologies and Their Application to Real Problems", DOI: 10.5772/66152.

2009

  1. Matthias R. Fengler & Helmut Herwartz, 2009, "Multivariate Volatility Models," Springer Books, Springer, chapter 15, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_15.
  2. Matthias R. Fengler & Qihua Wang, 2009, "Least Squares Kernel Smoothing of the Implied Volatility Smile," Springer Books, Springer, chapter 9, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_9.

Software components

2010

  1. Szymon Borak & Rafal Weron, 2010, "STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis," Statistical Software Components, Boston College Department of Economics, number M429005, revised .
  2. Szymon Borak & Rafal Weron, 2010, "STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch," Statistical Software Components, Boston College Department of Economics, number M429004, revised .
  3. Szymon Borak & Rafal Weron, 2010, "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components, Boston College Department of Economics, number M429004, revised .

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