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Content
2021
- 2022-001 Hedging cryptos with Bitcoin futures
by Liu, Francis & Packham, Natalie & Lu, Meng-Jou & Härdle, Wolfgang
- 2021-023 Networks of news and cross-sectional returns
by Hu, Junjie & Härdle, Wolfgang
- 2021-022 A financial risk meter for China
by Wang, Ruting & Althof, Michael & Härdle, Wolfgang
- 2021-021 Hedging cryptocurrency options
by Matic, Jovanka & Packham, Natalie & Härdle, Wolfgang
- 2021-020 Advanced statistical learning on short term load process forecasting
by Hu, Junjie & López Cabrera, Brenda & Melzer, Awdesch
- 2021-019 Understanding jumps in high frequency digital asset markets
by Saef, Danial & Nagy, Odett & Sizov, Sergej & Härdle, Wolfgang
- 2021-018 Robustifying Markowitz
by Härdle, Wolfgang & Klochkov, Yegor & Petukhina, Alla & Zhivotovskiy, Nikita
- 2021-017 Green financial development improving energy efficiency and economic growth: A study of CPEC area in COVID-19 era
by Zhang, Linyun & Huang, Feiming & Lu, Lu & Ni, Xinwen
- 2021-016 A time-varying network for cryptocurrencies
by Guo, Li & Härdle, Wolfgang & Tao, Yubo
- 2021-015 High-dimensional statistical learning techniques for time-varying limit order book networks
by Chen, Shi & Härdle, Wolfgang & Schienle, Melanie
- 2021-014 Indices on cryptocurrencies: An evaluation
by Häusler, Konstantin & Xia, Hongyu
- 2021-013 Penalized weigted competing risks models based on quantile regression
by Li, Erqian & Härdle, Wolfgang & Dai, Xiaowen & Tian, Maozai
- 2021-012 Correlation scenarios and correlation stress testing
by Packham, Natalie & Woebbeking, Fabian
- 2021-011 Valuing cryptocurrencies: Three easy pieces
by Burda, Michael C.
- 2021-010 A data-driven explainable case-based reasoning approach for financial risk detection
by Li, Wei & Paraschiv, Florentina & Sermpinis, Georgios
- 2021-009 Von den Mühen der Ebenen und der Berge in den Wissenschaften
by Vogt, Annette
- 2021-008 Financial Risk Meter based on expectiles
by Ren, Rui & Lu, Meng-Jou & Li, Yingxing & Härdle, Wolfgang
- 2021-007 Rodeo or ascot: Which hat to wear at the crypto race?
by Häusler, Konstantin & Härdle, Wolfgang
- 2021-006 Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies
by Chen, Yi-Hsuan & Vinogradov, Dmitri V.
- 2021-005 CATE meets ML: Conditional average treatment effect and machine learning
by Jacob, Daniel
- 2021-004 Understanding Smart Contracts: Hype or hope?
by Zinovyev, Elizaveta & Reule, Raphael C. G. & Härdle, Wolfgang
- 2021-003 K-expectiles clustering
by Wang, Bingling & Li, Yingxing & Härdle, Wolfgang
- 2021-002 FRM Financial Risk Meter for Emerging Markets
by Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl
- 2021-001 Surrogate Models for Optimization of Dynamical Systems
by Khowaja, Kainat & Shcherbatyy, Mykhaylo & Härdle, Wolfgang Karl
2020
- 2020-028 Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis
by Ren, Rui & Althof, Michael & Härdle, Wolfgang Karl
- 2020-027 Blockchain mechanism and distributional characteristics of cryptos
by Lin, Min-Bin & Khowaja, Kainat & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl
- 2020-026 Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition
by Khowaja, Kainat & Saef, Danial & Sizov, Sergej & Härdle, Wolfgang Karl
- 2020-025 Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
by Mustafayeva, Konul & Wang, Weining
- 2020-024 Dynamic Spatial Network Quantile Autoregression
by Xu, Xiu & Wang, Weining & Shin, Yongcheol
- 2020-023 The common and speci fic components of inflation expectation across European countries
by Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining
- 2020-022 Tail Event Driven Factor Augmented Dynamic Model
by Wang, Weining & Yu, Lining & Wang, Bingling
- 2020-021 Improved Estimation of Dynamic Models of Conditional Means and Variances
by Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan
- 2020-020 Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining
- 2020-019 Inference of breakpoints in high-dimensional time series
by Chen, Likai & Wang, Weining & Wu, Wei Biao
- 2020-018 A supreme test for periodic explosive GARCH
by Richter, Stefan & Wang, Weining & Wu, Wei Biao
- 2020-017 Using generalized estimating equations to estimate nonlinear models with spatial data
by Lu, Cuicui & Wang, Weining & Wooldridge, Jeffrey M.
- 2020-016 A data-driven P-spline smoother and the P-Spline-GARCH models
by Feng, Yuanhua & Härdle, Wolfgang Karl
- 2020-015 Tail-risk protection: Machine Learning meets modern Econometrics
by Spilak, Bruno & Härdle, Wolfgang Karl
- 2020-014 Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects
by Jacob, Daniel
- 2020-013 A Machine Learning Based Regulatory Risk Index for Cryptocurrencies
by Ni, Xinwen & Härdle, Wolfgang Karl & Xie, Taojun
- 2020-012 On Cointegration and Cryptocurrency Dynamics
by Keilbar, Georg & Zhang, Yanfen
- 2020-011 The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence
by Meng, Lina & Zhou, Yinggang & Zhang, Ruige & Ye, Zhen & Xia, Senmao & Cerulli, Giovanni & Casady, Carter & Härdle, Wolfgang Karl
- 2020-010 Kernel Estimation: the Equivalent Spline Smoothing Method
by Härdle, Wolfgang Karl & Nussbaum, Michael
- 2020-009 CRIX an Index for cryptocurrencies
by Trimborn, Simon & Härdle, Wolfgang Karl
- 2020-008 Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function
by Kim, Kun Ho & Chao, Shih-Kang & Härdle, Wolfgang Karl
- 2020-007 Deep Learning application for fraud detection in financial statements
by Craja, Patricia & Kim, Alisa & Lessmann, Stefan
- 2020-006 Forex exchange rate forecasting using deep recurrent neural networks
by Dautel, Alexander Jakob & Härdle, Wolfgang Karl & Lessmann, Stefan & Seow, Hsin-Vonn
- 2020-005 Targeting Cutsomers Under Response-Dependent Costs
by Haupt, Johannes & Lessmann, Stefan
- 2020-004 Factorisable Multitask Quantile Regression
by Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming
- 2020-003 Structured climate financing: valuation of CDOs on inhomogeneous asset pools
by Packham, Natalie
- 2020-002 Service Data Analytics and Business Intelligence
by Wu, Desheng Dang & Härdle, Wolfgang Karl
- 2020-001 Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk
by Chen, Shiyi & Härdle, Wolfgang Karl & Wang, Li
2019
- 2019-030 Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting
by Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl
- 2019-029 Antisocial Online Behavior Detection Using Deep Learning
by Zinovyeva, Elizaveta & Härdle, Wolfgang Karl & Lessmann, Stefan
- 2019-028 Group Average Treatment Effects for Observational Studies
by Jacob, Daniel & Härdle, Wolfgang Karl & Lessmann, Stefan
- 2019-027 VCRIX - a volatility index for crypto-currencies
by Kim, Alisa & Trimborn, Simon & Härdle, Wolfgang Karl
- 2019-026 Affordable Uplift: Supervised Randomization in Controlled Exprtiments
by Haupt, Johannes & Jacob, Daniel & Gubela, Robin M. & Lessmann, Stefan
- 2019-025 SONIC: SOcial Network with Influencers and Communities
by Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor
- 2019-024 Risk of Bitcoin Market: Volatility, Jumps, and Forecasts
by Hu, Junjie & Kuo, Weiyu & Härdle, Wolfgang Karl
- 2019-023 Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting
by Kolesnikova, A. & Yang, Y. & Lessmann, S. & Ma, T. & Sung, M.-C. & Johnson, J.E.V.
- 2019-022 A Machine Learning Approach Towards Startup Success Prediction
by Ünal, Cemre & Ceasu, Ioana
- 2019-021 FRM Financial Risk Meter
by Mihoci, Andrija & Althof, Michael & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl
- 2019-020 Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
by Petukhina, Alla A. & Reule, Raphael C. G. & Härdle, Wolfgang Karl
- 2019-019 Modelling Systemic Risk Using Neural Network Quantile Regression
by Keilbar, Georg & Wang, Weining
- 2019-018 Phenotypic convergence of cryptocurrencies
by Pele, Daniel Traian & Wesselhöfft, Niels & Härdle, Wolfgang Karl & Kolossiatis, Michalis & Yatracos, Yannis
- 2019-017 Portmanteau Test and Simultaneous Inference for Serial Covariances
by Xiao, Han & Wu, Wei Biao
- 2019-016 What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble
by Chen, Cathy Yi-Hsuan & Després, Roméo & Guo, Li & Renault, Thomas
- 2019-015 Media-expressed tone, Option Characteristics, and Stock Return Predictability
by Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu
- 2019-014 Forecasting in Blockchain-based Local Energy Markets
by Kostmann, Michael & Härdle, Wolfgang Karl
- 2019-013 Inference of Break-Points in High-Dimensional Time Series
by Chen, Likai & Wang, Weining & Wu, Wei Biao
- 2019-012 Voting for Health Insurance Policy: the U.S. versus Europe
by Ni, Xinwen
- 2019-011 The role of medical expenses in the saving decision of elderly: a life cycle model
by Ni, Xinwen
- 2019-010 Understanding the Role of Housing in Inequality and Social Mobility
by Tang, Yang & Ni, Xinwen
- 2019-009 Dynamic Network Perspective of Cryptocurrencies
by Guo, Li & Tao, Yubo & Härdle, Wolfgang Karl
- 2019-008 Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks
by Dautel, Alexander J. & Härdle, Wolfgang Karl & Lessmann, Stefan & Seow, Hsin-Vonn
- 2019-007 Localizing Multivariate CAViaR
by Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu
- 2019-006 Adaptive Nonparametric Community Detection
by Adamyan, Larisa & Efimov, Kirill & Spokoiny, Vladimir
- 2019-005 Usage Continuance in Software-as-a-Service
by Baumann, Elias & Kern, Jana & Lessmann, Stefan
- 2019-004 Constrained Kelly portfolios under alpha-stable laws
by Wesselhöfft, Niels & Härdle, Wolfgang Karl
- 2019-003 Estimating low sampling frequency risk measure by high-frequency data
by Wesselhöfft, Niels & Härdle, Wolfgang Karl
- 2019-002 Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns
by Qian, Ya & Tu, Jun & Härdle, Wolfgang Karl
- 2019-001 Cooling Measures and Housing Wealth: Evidence from Singapore
by Härdle, Wolfgang Karl & Schulz, Rainer & Xie, Taojun
2018
- 2018-066 Deep learning-based cryptocurrency sentiment construction
by Nasekin, Sergey & Chen, Cathy Yi-Hsuan
- 2018-065 Price Management in the Used-Car Market: An Evaluation of Survival Analysis
by Born, Alexander & Kovachka, Nikoleta & Lessmann, Stefan & Seow, Hsin-Vonn
- 2018-064 Semiparametric Estimation and Variable Selection for Single-index Copula Models
by Yang, Bingduo & Hafner, Christian M. & Liu, Guannan & Long, Wei
- 2018-062 Conversion uplift in e-commerce: A systematic benchmark of modeling strategies
by Gubela, Robin & Bequé, Artem & Gebert, Fabian & Lessmann, Stefan
- 2018-061 PLUG-IN L2-UPPER ERROR BOUNDS IN DECONVOLUTION, FOR A MIXING DENSITY ESTIMATE IN Rd AND FOR ITS DERIVATIVES
by Yatracos, Yannis G.
- 2018-060 Residual'S Influence Index (Rinfin), Bad Leverage And Unmasking In High Dimensional L2-Regression
by Yatracos, Yannis G.
- 2018-059 Towards the interpretation of time-varying regularization parameters in streaming penalized regression models
by Zbonakova, Lenka & Pio Monti, Ricardo & Härdle, Wolfgang Karl
- 2018-058 Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies
by Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann
- 2018-057 Trending Mixture Copula Models with Copula Selection
by Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan
- 2018-056 Cryptocurrencies, Metcalfe's law and LPPL models
by Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna
- 2018-055 Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
by Bibinger, Markus & Neely, Christopher & Winkelmann, Lars
- 2018-054 Topic Modeling for Analyzing Open-Ended Survey Responses
by Pietsch, Andra-Selina & Lessmann, Stefan
- 2018-053 The impact of temperature on gaming productivity: evidence from online games
by Bao, Xiaojia & Fan, Qingliang
- 2018-052 Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
by Fan, Qingliang & Zhong, Wei
- 2018-051 Property Investment and Rental Rate under Housing Price Uncertainty: A Real Options Approach
by Wang, Honglin & Yu, Fan & Zhou, Yinggang
- 2018-050 Variable selection and direction estimation for single-index models via DC-TGDR method
by Zhong, Wei & Liu, Xi & Ma, Shuangge
- 2018-049 Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models
by Guo, Shaojun & Li, Dong & Li, Muyi
- 2018-048 A Regime Shift Model with Nonparametric Switching Mechanism
by Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli
- 2018-047 Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
by Cai, Zongwu & Fang, Ying & Lin, Ming & Su, Jia
- 2018-046 Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method
by Chen, Ying & Han, Qian & Niu, Linlin
- 2018-045 Predicative Ability of Similarity-based Futures Trading Strategies
by Chiu, Hsin-Yu & Chiang, Mi-Hsiu & Kuo, Wei-Yu
- 2018-044 Understanding Cryptocurrencies
by Härdle, Wolfgang Karl & Harvey, Campbell R. & Reule, Raphael C. G.
- 2018-043 Textual Sentiment and Sector specific reaction
by Bommes, Elisabeth & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl
- 2018-042 On Complete Convergence in Marcinkiewicz-Zygmund Type SLLN for END Random Variables and its Applications
by Yan, Ji Gao
- 2018-041 On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables
by Kuczmaszewska, Anna & Yan, Ji Gao
- 2018-040 Complete Convergence and Complete Moment Convergence for Maximal Weighted Sums of Extended Negatively Dependent Random Variables
by Yan, Ji Gao
- 2018-039 Penalized Adaptive Forecasting with Large Information Sets and Structural Changes
by Zbonakova, Lenka & Li, Xinjue & Härdle, Wolfgang Karl
- 2018-038 Tail-Risk Protection Trading Strategies
by Packham, Natalie & Papenbrock, Jochen & Schwendner, Peter & Woebbeking, Fabian
- 2018-037 Default probabilities and default correlations under stress
by Packham, Natalie & Kalkbrener, Michael & Overbeck, Ludger
- 2018-036 Model risk of contingent claims
by Detering, Nils & Packham, Natalie
- 2018-035 Correlation Under Stress In Normal Variance Mixture Models
by Kalkbrener, Michael & Packham, Natalie
- 2018-034 A factor-model approach for correlation scenarios and correlation stress-testing
by Packham, Natalie & Woebbeking, Fabian
- 2018-033 Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
by Packham, Natalie
- 2018-032 Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective
by Guo, Li & Tao, Yubo & Härdle, Wolfgang Karl
- 2018-031 Instrumental variables regression
by Koziuk, Andzhey & Spokoiny, Vladimir
- 2018-030 Gaussian Process Forecast with multidimensional distributional entries
by Bachoc, Francois & Suvorikova, Alexandra & Loubes, Jean-Michel & Spokoiny, Vladimir
- 2018-029 Pointwise adaptation via stagewise aggregation of local estimates for multiclass classification
by Puchkin, Nikita & Spokoiny, Vladimir
- 2018-028 Toolbox: Gaussian comparison on Eucledian balls
by Koziuk, Andzhey & Spokoiny, Vladimir
- 2018-027 Bayesian inference for spectral projectors of covariance matrix
by Silin, Igor & Spokoiny, Vladimir
- 2018-026 Large ball probabilities, Gaussian comparison and anti-concentration
by Götze, Friedrich & Naumov, Alexey & Spokoiny, Vladimir & Ulyanov, Vladimir
- 2018-025 Construction of Non-asymptotic Confidence Sets in 2 -Wasserstein Space
by Ebert, Johannes & Spokoiny, Vladimir & Suvorikova, Alexandra
- 2018-024 Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance
by Naumov, A. & Spokoiny, V. & Ulyanovk, V.
- 2018-023 Textual Sentiment, Option Characteristics, and Stock Return Predictability
by Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu
- 2018-022 Learning from Errors: The case of monetary and fiscal policy regimes
by Tryphonides, Andreas
- 2018-021 LASSO-Driven Inference in Time and Space
by Chernozhukov, Victor & Härdle, Wolfgang Karl & Huang, Chen & Wang, Weining
- 2018-020 A Regime Shift Model with Nonparametric Switching Mechanism
by Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli
- 2018-019 Lasso, knockoff and Gaussian covariates: a comparison
by Davies, Laurie
- 2018-018 Adaptive Nonparametric Clustering
by Efimov, Kirill & Adamyan, Larisa & Spokoiny, Vladimir
- 2018-017 Regularization Approach for Network Modeling of German Energy Market
by Chen, Shi & Härdle, Wolfgang Karl & López Cabrera, Brenda
- 2018-016 Time-varying Limit Order Book Networks
by Härdle, Wolfgang Karl & Chen, Shi & Liang, Chong & Schienle, Melanie
- 2018-015 Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
by Klein, Tony & Thu, Hien Pham & Walther, Thomas
- 2018-014 Price Discovery on Bitcoin Markets
by Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas
- 2018-013 Improving Crime Count Forecasts Using Twitter and Taxi Data
by Vomfell, Lara & Härdle, Wolfgang Karl & Lessmann, Stefan
- 2018-012 Targeting customers for profit: An ensemble learning framework to support marketing decision making
by Lessmann, Stefan & Coussement, Kristof & De Bock, Koen W. & Haupt, Johannes
- 2018-011 How to Measure a Performance of a Collaborative Research Centre
by Zharova, Alona & Tellinger-Rice, Janine & Härdle, Wolfgang Karl
- 2018-010 How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?
by Härdle, Wolfgang Karl & Ling, Chengxiu
- 2018-009 Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis
by Hryshchuk, Antanina & Lessmann, Stefan
- 2018-008 A Monetary Model of Blockchain
by Almosova, Anna
- 2018-007 Knowing me, knowing you: inventor mobility and the formation of technology-oriented alliances
by Wagner, Stefan & Goossen, Martin C.
- 2018-006 A Note on Cryptocurrencies and Currency Competition
by Almosova, Anna
- 2018-005 Testing for bubbles in cryptocurrencies with time-varying volatility
by Hafner, Christian M.
- 2018-004 Pricing Cryptocurrency options: the case of CRIX and Bitcoin
by Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining
- 2018-003 Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices
by Yang, Zihui & Zhou, Yinggang
- 2018-002 Nonparametric Variable Selection and Its Application to Additive Models
by Feng, Zheng-Hui & Lin, Lu & Zhu, Ruo-Qing & Zhu, Li-Xing
- 2018-001 Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid
by Lux, Marius & Härdle, Wolfgang Karl & Lessmann, Stefan
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