Humboldt-Universität zu Berlin - Statistik

Wolfgang Karl Härdle

 

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Download the codes:

altwww.quantlet.de

 

欢迎来到我的网页 hu.berlin/wkh

 

沃夫冈是柏林洪堡大学经济商学院的终身教授,统计与计量研究所以及数据研究中心主任,同时兼任IRTG项目的总负责人, 厦门大学的外籍专家教授。

 

 

Postal Address:

 

Ladislaus von Bortkiewicz Chair of Statistics

C.A.S.E. - Center for Applied Statistics & Economics

School of  Business and Economics

Humboldt-Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany

Telefone: +49 30 2093-99592
FAX: +49 30 2093-99591
E-Mail: haerdle@wiwi.hu-berlin.de
Consultation hours:

Upon agreement, 

Spandauer Str. 1 Room 402

Me in 2D:

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"Über den Wolken gibt es keinen Regen"
Wahlspruch
 

Research

My Erdös Number : 3 (Serfling -> Deheuvels -> Erdös)

Center for Applied Statistics and Economics

Citations

Welcome to my Google scholar citation statistics, WorldCat Identities, RePEc, Handelsblatt rank statistics and ResearchGate publication statistics

Career

  • Professor of Statistics at Humboldt-Universität zu Berlin from 1992
  • Visiting Professor at CentER, Tilburg University in 1992
  • Professeur Ordinaire at CORE, Universite Catholique de Louvain in 1990-1992
  • Visiting Professor at CORE, Universite Catholique de Louvain in 1989-1990
  • Research associate at Bonn University in 1985-1989
  • Research associate at Frankfurt University in 1983-1985
  • Research associate at Heidelberg University in 1978-1983
  • Habilitation in Statistics and Econometrics at Bonn University in 1988
  • Doctorate (Dr. rer. nat.) at University Heidelberg in 1982
  • Study at Fridericiana Universität Karlsruhe: Mathematics, Computer Science and Physics - graduated in 1978 as Diplom-Mathematiker

Honors

  • 2018 -

Scientific Board of Folia Oeconomica Stetinensia

  • 2017 -

Charter Fellow, INDI Inst. Nonlinear Dynamics, RUDN University, Moscow

  • 2016 - 2018

Guest Professor, National Jiaotong University, Hsinchu, Taiwan

  • 2015 -

Foreign Expert Professor, Xiamen University, China

  • 2015 -

Academic Committee of MOE Key Lab of Econometrics, Xiamen University, China

  • 2015 -

Honorary Guest Professor, Chung Hua University, Hsinchu, Taiwan

  • 2014 -

IRI THESyS member, Humboldt-Universität zu Berlin

  • 2013

Honorary Member of the Scientific Council, Inst. Econ. Forecasting,

Romanian Academy of Science

  • 2012

Multa Scripsit Award „Econometric Theory“, Cambridge University Press

  • 2010 -

Council Member of the International Society for NonParametric Statistics

(ISNPS)

  • 2009 -

Advisor: Financial statistics and risk management Master program,

Rutgers University

  • 2009 - 2016

Distinguished Visiting professor WISE, Xiamen University, China

  • 2008

Founding Council Member of the Society for Financial Econometrics

(SoFiE)

  • 2007

Faculty Research Prize for outstanding research achievements

  • 2006 - 2010

Member National Centre Econometric Research, QUT, Australia

  • 2003 -

“Highly cited Scientist” on the list provided by ISI, Institute of Scientific Information.

In 2003-2014 the only “highly cited scientist” at Humboldt-Universität zu Berlin.

  • 2002 - 2013

Advisor: Guanghua School of Management, Beijing University

  • 2001 - 2003

Vice President IASC (Int. Assoc. of Statistical Computing)

  • 2000 - 2004

Advisory Board: Ferrell Assett Management, Singapore

  • 1997

Fellow International Statistical Institute

  • 1992

Fellow Institute of Mathematical Statistics

Genealogy Spiral

The Mathematics Genealogy Project

Books and Proceedings

哈德勒教授和西马教授的《应用多元统计分析》教材的最大特色在于统计理论和应用的完美结合,书中提供了大量金融和经济等领域的案例来形象地说明相关的统计计量理论,而且读者可以下载相应的MATLAB或R语言程序来再现书中所有的例题和图形,这对于读者快速地理解和在实践中灵活地运用高维数据统计分析方法是十分有帮助的。
—— 范剑青 美国普林斯顿大学讲座教授 中国科学院特聘教授

  • Härdle WK, Lu HS, Shen CS (2018) Handbook of Big Data Analytics., Springer-Verlag Berlin Heidelberg. ISBN 978-3-319-18284-1DOI:10.1007/978-3-319-18284-1

Springer link

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  • Härdle WK, Chen CYH, OVerbeck L (2017) Applied Quantitative Finance (3rd ed)., Springer-Verlag Berlin Heidelberg. ISBN 978-3-662-54485-3

Springer link

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  • Härdle WK, Okhrin O, Okhrin Y (2017) Basic Elements of Computational Statistics., Springer-Verlag Berlin Heidelberg. ISBN 978-3-319-55335-1, e-ISBN 978-3-319-55336-8 (516 p), DOI:10.1007/978-3-319-55336-8

Springer link

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  • Härdle WK, Chen YC, Overbeck L (2017) Applied Quantitative Finance. 3rd ed., Springer-Verlag Berlin Heidelberg. ISBN 978-3-662-54485-3, e-ISBN 978-3-662-54486-0 (516 p), DOI:10.1007/978-3-662-54486-0

Springer link

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  • Franke J, Härdle WK, Hafner C (2016) 金融计量:金融市场统计分析, 第四版. Chinese translation of Statistics of Financial Markets: an Introduction. Mechanical Industry Press. ISBN 9787111549383

Link

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  • Van den Berg T, Bommes E, Härdle WK, Petukhina A (2016) Computing Machines, License: CC BY-NC-SA 3.0. DOI: 10.20386/hub-43565

Link

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  • Härdle WK, Klinke S, Rönz B (2015) Introduction to Statistics (Using Interactive MM*Stat Elements), Springer Verlag, Berlin Heidelberg. ISBN 978-3-319-17703-8, e-ISBN 978-3-319-17704-5 (516 p), DOI:10.1007/978-3-319-17704-5

Springer link

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  • Härdle WK, Hlávka Z (2015) Multivariate Statistics: Exercises and Solutions, 2nd ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-642-36004-6, e-ISBN 978-3-642-36005-3 (362 p), DOI:10.1007/978-3-642-36005-3

Springer link

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  • Härdle WK, Simar L (2015) Applied Multivariate Statistical Analysis, 4th ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-662-45170-0, e-ISBN 978-3-662-45171-7 (580 p), DOI:10.1007/978-3-662-45171-7

Springer link

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  • Franke J, Härdle WK, Hafner C (2015) Statistics of Financial Markets: an Introduction. 4th ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-642-54538-2, e-ISBN 978-3-642-54539-9 (555 p), DOI: 10.1007/978-3-642-54539-9

Springer link

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  • Härdle WK, Spokoiny V, Panov V, Wang W (2014) Basics of Modern Mathematical Statistics: Exercises and Solutions, Springer Verlag, Heidelberg. ISBN 978-3-642-36850-9 (185 p)

Springer link

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  • Jaworski P, Durante F, Härdle WK (2013) Copulae in Mathematical and Quantitative Finance, Springer Verlag, Heidelberg. ISBN 978-3-642-35406-9 (294 p)

Springer link

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  • Borak S, Härdle WK, López-Cabrera B (2013) Statistics of Financial Markets, Exercise and Solutions. 2nd ed., Springer Verlag, Heidelberg. ISBN 978-3-642-33929-5 (246 p)

Springer link

  • Duan JC, Gentle JE, Härdle WK (2012) Handbook of Computational Finance. Springer Verlag, Heidelberg. ISBN 978-3-642-17253-3 (900 p), DOI: 10.1007/978-3-642-17254-0

Springer link

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  • Gentle J, Härdle WK, Mori Y(2012) Handbook of Computational Statistics, Concepts and Methods. 2nd ed. Springer Verlag, Heidelberg. ISBN 3-540-40464-3 (1078 p) DOI: 10.1007/978-3-642-21551-3

Springer link

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  • Cizek P, Härdle WK, Weron R (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN 978-3-642-18061-3 (420 p)

Springer link

  • Härdle WK, Simar L (2011) 应用多元统计分析, 第二版. Chinese translation of Applied Multivariate Statistical Analysis. Peking University Press. ISBN 978-7-301-16772-4 /F-2670 (445 p)
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  • Jaworski P, Durante F, Härdle WK, Rychlik T (eds) (2010) Copula Theory and Its Applications, Proceedings of the Workshop held in Warsaw 25-26 September 2009, Lecture Notes in Statistics, ISBN 978-3-642-12464-8, (327 p) DOI: 10.1007/978-3-642-12465-5

Springer link

  • Härdle WK, Hautsch N, Overbeck L (2009) Applied Quantitative Finance. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)

Springer link

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  • Chen CH, Härdle WK, Unwin A (2008) Handbook of Data Visualization. Springer Verlag, Heidelberg. ISBN 3-540-33036-4 (936 p)

Springer link

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  • Härdle WK, Mori Y, Vieu P (2006) Statistical methods in Biostatistics and Related Fields. Springer Verlag, Heidelberg. ISBN 3-540-32690-1 (420 p)

Springer link

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  • Sperlich S, Härdle WK, Aydinli G (2006) The Art of Semiparametrics Springer Verlag, Heidelberg. ISBN 3-7908-1700-7 (178p) DOI: 10.1007/3-7908-1701-5
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  • Franke J, Härdle WK, Hafner C(2004) Einführung in die Statistik der Finanzmärkte. (2te Auflage) Springer Verlag, Heidelberg. ISBN 3-540-41722-2 (428 p)

Springer link

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  • Härdle WK, Müller M, Sperlich S, Werwatz A(2004) Nonparametric and Semiparametric Models Springer Verlag, Heidelberg. ISBN 3-540-20722-8 (340 p)
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  • Härdle WK, Hlávka Z, Klinke S(2003) Toukei Kaiseki Kankyo XploRe ¨C Apurikeishon gaido. Japanische übersetzung von XploRe ¨C Application Guide, (translated by Tomoyuki Tarumi, Toshinari Kamakura, Yuichi Mori, Yashiro Yamamoto, Junji Nakano and Hiroshi Yadohisa) Kyoritsu Shuppan Publisher Tokio ISBN 4-320-01745-5.
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  • Härdle WK, Rönz B(2002) COMPSTAT 2002 Proceedings. Physika Verlag, Heidelberg. ISBN 3-7908-1517-9 ( 648 p)
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  • Härdle WK, Rönz B(2001) MM*Stat - eine interaktive Einführung in die Welt der Statistik. Springer Verlag, Heidelberg. ISBN 3-540-14893-0 (CD ROM + software)
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  • Härdle WK, Klinke S, Müller M(2001) Toukei Kaiseki Kankyo XploRe ¨C rahningu gaido. Japanische übersetzung von XploRe ¨C Learning Guide, (translated by Tomoyuki Tarumi, Yuichi Mori, Yashiro Yamamoto, Junji Nakano and Hiroshi Yadohisa) Kyoritsu Shuppan Publisher Tokio ISBN 4-320-01678-5 C3041.
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  • Härdle WK, Hlávka Z, Klinke S(2000) XploRe Application Guide. Springer Verlag, Heidelberg. ISBN 3-540-67545-0 , (525 p)

Springer link

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  • Härdle WK, Liang H, Gao J(2000) Partially Linear Models. Physika Verlag, Heidelberg. ISBN 3-7908-1300-1, 17 figs, 11 tabs , (203 p)

Springer link

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  • Franke J, Härdle WK, Stahl G (eds.)(2000) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics, Springer Verlag, Heidelberg. ISBN 0-387-98996-X (272 p)

Springer link

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  • Härdle WK, Klinke S, Müller M (1999) XploRe – the statistical computing environment. CD-ROM, with Handbook Learning Guide. Springer Verlag, Heidelberg. ISBN 3-540-14767-5, (520 p)

Springer link

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  • Härdle WK, Kerkyiacharian G, Picard D, Tsybakov A B (1998) Wavelets, Approximation and Statistical Applications. Lecture Notes in Statistics, 129, Springer Verlag, Heidelberg. ISBN 0-387-98453-4, (265 p)

Springer link

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  • Härdle WK, Schimek M (eds.) (1996) Statistical Theory and Computational Aspects of Smoothing. Physika Verlag, Heidelberg. ISBN 3-7908-0930-6, (265 p)
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  • Härdle WK, Klinke S, Turlach B (1995) XploRe - an interactive statistical computing environment. Springer Verlag, New York. ISBN 0-387-94429-X (387 p)
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  • Härdle WK, Simar L (eds.) (1993) Computer Intensive Methods in Statistics. Physica Verlag. ISBN 3-7908-0677-3 (176 p)
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  • Härdle WK (1993) Prikladnaja Neparametricheskaya Regressija. Russian Translation of "Applied Nonparametric Regression", MIR Publishers Moscow. (348 p)
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  • Härdle WK (1991) Smoothing Techniques, with Implementation in S. Springer Verlag, Heidelberg New York. ISBN 3-540-97367-2 (261 p)
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  • Härdle WK (1990) Applied Nonparametric Regression. Econometric Society Monograph Series 19, Cambridge University Press. ISBN 0-521-42950-1 (333 p)
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  • Györfi L, Härdle WK, Sarda P, Vieu P (1989) Nonparametric Curve Estimation from Time Series. Lecture Notes in Statistics, 60. Springer Verlag, Heidelberg ISBN 3-540-97174-2 (152 p)

Springer link

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  • Franke J, Härdle WK, Martin D (eds.) (1984) Robust and Nonlinear Time Series Analysis.Lecture Notes in Statistics, 26. Springer Verlag, Heidelberg ISBN 3-540-96102-X (286 p)

Springer link

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Papers

Publications (last 5 years)

  • Zharova A, Tellinger-Rice J, Härdle WK (2018) How to Measure the Performance of a Collaborative Research Center, Scientometrics, DOI: https://doi.org/10.1007/s11192-018-2910-8
  • Ngoc MT, Osipenko M, Härdle WK, Burdejova P (2018) Principal Components in an Asymmetric Norm, Journal of Multivariate Analysis, accepted 20180808
  • Trimborn S, Härdle WK (2018) CRIX an Index for Cryptocurrencies, Journal of Empirical Finance, accepted 20180801
  • Vomfell L, Härdle WK, Lessmann S (2018) Improving Crime Count Forecasts Using Twitter and Taxi Data, Decision Support Systems, DOI: https://doi.org/10.1016/j.dss.2018.07.003
  • Chao SK, Härdle WK, Sheen J, Trück S, Wang BZ (2018) A note on the impact of news on US household inflation expectations, Journal of Macroeconomic Dynamics, accepted 20180625
  • Chen CYH, Chiang CT, Härdle WK (2018) Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries, Journal of Banking and Finance, DOI: https://doi.org/10.1016/j.jbankfin.2018.05.012
  • Li YX, Huang C, Härdle WK (2018) Spatial Functional Principal Component Analysis with Applications to Brain Image Data, Journal of Multivariate Analysis, accepted 20180502
  • Zhu X, Wang W, Wang H, Härdle WK (2018) Network Quantile Autoregression, Journal of Econometrics, accepted 20180409
  • Chen CYH, Härdle WK, Okhrin Y (2018) Tail event driven networks of SIFIs, Journal of Econometrics, accepted 20180109
  • Grith M, Härdle WK, Kneip, Wagner H (2018) Functional Principal Component Analysis for Derivatives of Multivariate Curves, Statistica Sinica, DOI: 10.5705/ss.202017.0199
  • Xu X, Mihoci A, Härdle WK (2018) lCARE - localizing Conditional AutoRegressive Expectiles, Journal of Empirical Finance, DOI: https://doi.org/10.1016/j.jempfin.2018.06.006
  • Chao SK, Härdle WK, Huang C (2018) Multivariate factorizable expectile regression with application to fMRI data, Computational Statistics & Data Analysis, DOI: https://doi.org/10.1016/j.csda.2017.12.001
  • Belomestny D, Härdle WK, Krymova E (2017) Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation, International Journal of Theoretical and Applied Finance, DOI: https://doi.org/10.1142/S0219024917500418
  • Moro RA, Härdle WK, Schäfer D (2017) Company rating with support vector machine, Statistics & Risk Modeling, DOI: https://doi.org/10.1515/strm-2012-1141
  • Liu R, Härdle WK, Zhang G (2017) Statistical Inference for Generalized Additive Partially Linear Model, Journal of Multivariate Analysis, DOI: 10.1016/j.jmva.2017.07.011
  • Fan Y, Härdle WK, Wang W, Zhu L (2017) Single-Index-Based CoVaR With Very High-Dimensional Covariates, Journal of Business and Economic Statistics, DOI: 10.1080/07350015.2016.1180990
  • Härdle WK, Lee DK, Nasekin S, Petukhina A (2017) Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets, Journal of Asset Management , DOI: 10.1057/s41260-017-0060-9
  • Guo MM, Härdle WK (2017) Adaptive Interest Rate Modeling, Journal of Forecasting, DOI: 10.1002/for.2431
  • Härdle WK, Huang LS (2017) Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models, Journal of Business and Economic Statistics, DOI: 10.1080/07350015.2017.1330693
  • Burdejova P, Härdle WK, Kokoszka P, Xiong Q (2017) Change point and trend analyses of annual expectile curves of tropical storms, Econometrics and Statistics, DOI: https://doi.org/10.1016/j.ecosta.2016.09.002
  • Lu MJ, Härdle WK, Chen CYH (2016) Copula-Based Factor Model for Credit Risk Analysis, Review of Quantitative Finance and Accounting, DOI: 10.1007/s11156-016-0613-x
  • Härdle WK, López Cabrera B, Okhrin O, Wang W (2016) Localizing temperature risk, Journal of the American Statistical Association, DOI: 10.1080/01621459.2016.1180985
  • Wang Q, Zhang T, Härdle WK (2016) An Extended Single-index Model with Missing Response at Random, Scandinavian Journal of Statistics, DOI: 10.1111/sjos.12233
  • Dai X, Härdle WK, Yu K (2016) Do maternal health problems influence child's worrying status? Evidence from the British Cohort Study, Journal of Applied Statistics, DOI: 10.1080/02664763.2016.1155203
  • Härdle WK, Huang C (2016) Discussion on "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings" by Werner Ehm, Tilmann Gneiting, Alexander Jordan and Fabian Krüger, Journal of the Royal Statistical Society: Series B Statistical Methodology 78(3): 545, DOI: 10.1111/rssb.12154
  • Härdle WK, Yu L, Wang W (2016) TENET - Tail Event driven NETwork risk, Journal of Econometrics, DOI: 10.1016/j.jeconom.2016.02.013
  • Härdle WK, Silyakova E (2016) Implied basket Correlation Dynamics, Statistics and Risk Modelling, DOI: 10.1515/strm-2014-1176
  • Chen S, Jeong K, Härdle WK (2015) Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns, Computational Statistics, DOI: 10.1007/s00180-014-0543-9
  • Härdle WK, Vogt A (2015) Ladislaus von Bortkiewicz—Statistician, Economist and a European Intellectual, International Statistical Review, DOI: 10.1111/insr.12083
  • Chen YC, Härdle WK (2015) Common factors in credit defaults swap markets, Computational Statistics, DOI: 10.1007/s00180-015-0578-6
  • Choros B, Härdle WK, Okhrin O (2015) A semiparametric factor model for CDO Surfaces Dynamics, Journal of Multivariate Analysis, DOI: 10.1016/j.jmva.2015.09.002
  • Grith M, Härdle WK, Krätschmer V (2015) Reference Dependent Preferences and the EPK Puzzle, Review of Finance, DOI: 10.1093/rof/rfv062
  • Zheng S, Liu R, Yang L, Härdle WK (2015) Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection, TEST, DOI: 10.1007/s11749-016-0480-8
  • Chao SK, Proksch K, Dette H, Härdle WK (2015) Confidence Corridors for Multivariate Generalized Quantile Regression, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2015.1054493
  • Härdle WK, Hautsch N, Mihoci A (2015) Local Adaptive Multiplicative Error Models for High-Frequency Forecasts, Journal of Applied Econometrics, 30(4), 529-550, DOI: 10.1002/jae.2376
  • Härdle WK, López Cabrera B, Teng HW (2015) State Price Densities implied from weather derivatives, Insurance: Mathematics and Economics, DOI: 10.1016/j.insmatheco.2015.05.001
  • Zhang JZ, Härdle WK, Chen YC, Bommes E (2015) Distillation of News Flow into Analysis of Stock Reactions, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2015.1110525
  • Chen YC, Härdle WK (2015) Common Factors in credit default swap markets, Computational Statistics, 30(3), 845-863, DOI: 10.1007/s00180-015-0578-6
  • Stahlschmidt S, Härdle WK, Thome H (2015) An Application of Principal Component Analysis on Multivariate Time Stationary Spatio Temporal Data, Spatial Economic Analysis, 10(2), 160-180, DOI: 10.1080/17421772.2015.1023339
  • Majer P, Mohr PNC, Heekeren HR, Härdle WK (2015) Portfolio Decisions and Brain Reactions via the CEAD method, Psychometrika, DOI: 10.1007/s11336-015-9441-5
  • Chen RB, Guo MH, Härdle WK, Huang SF (2015) COPICA - Independent Component Analysis Via Copula Techniques, Statistics and Computing, 25(2), 273-288, DOI: 10.1007/s11222-013-9431-3
  • Härdle WK, Ritov Y, Wang W (2015) Tie the straps: Uniform bootstrap confidence bands for bounded influence curve estimators, J. Multivariate Analysis, 134, 129-145, DOI: 10.1016/j.jmva.2014.11.003
  • Chen S, Chen D, Härdle WK (2014) The Influence of Oil Price Shocks on China’s Macro-economy: A Perspective of International Trade, Journal of governance and regulation, ISSN: 2306-6784
  • Wang W, Okhrin O, Härdle WK (2014) Hidden Markov Structures for dynamic copulae, J. Econometric Theory, DOI: 10.1017/S0266466614000607
  • Härdle WK, Vogt A (2014) Ladislaus von Bortkiewicz - statistician, economist, and a European intellectual, Intern. Stat. Review, DOI: 10.1111/insr.12083
  • Gu L, Wang L, Härdle WK, Yang L (2014) A simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data, TEST, DOI: 10.1007/s11749-014-0392-4
  • Härdle WK, Majer P (2014) Yield Curve Modeling and Forecasting using Semi parametric Factor Dynamics, The European Journal of Finance, DOI: 10.1080/1351847X.2014.926281
  • Chen S, Härdle WK (2014) Dynamic activity analysis model-based win-win development forecasting under environmental regulations in China, Computational Statistics, DOI: 10.1007/s00180-014-0505-2
  • Song R, Härdle WK, Ritov J (2014) High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model, Econometrics Journal, 17, 1-32, DOI: 10.1111/ectj.12024
  • Härdle WK, Wang W (2014) Principle Volatility Component Analysis (a Discussion), Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2014.898585
  • Golubev Y, Härdle WK, Timofeev R (2014) Testing Monotonicity of Pricing Kernels, AStA - Advances in Statistical AnalysisDOI: 10.1007/s10182-014-0225-5
  • Härdle WK, Okhrin Y, Wang W (2014) Uniform confidence bands for pricing kernels, Journal of Financial Econometrics, DOI: 10.1093/jjfinec/nbu002
  • Chen RB, Chen Y, Härdle WK (2014) TVICA - Time varying independent component analysis, Computational Statistics and Data Analysis, 74, 95-109, DOI: 10.1007/s10182-014-0225-5

Articles in Proceedings or Equivalent Publications

  • Zieba M, Härdle WK (2018) Beta-boosted ensemble for big credit scoring data. Handbook of Big Data Analytics (Härdle, Lu, Shen, eds), Springer Verlag, ISBN 978-3-319-18284-1
  • Borke L, Härdle WK (2018) Q3-D3-LSA, Handbook of Big data Analytics, (Härdle, Lu, Shen eds), Springer Verlag, ISBN 978-3-319-18284-1,DOI:10.1007/978-3-319-18284-1
  • Chen CYH, Härdle WKH (2017) Data Science and Digital Society. Proceedings of the 11th International Conference on Business Excellence, pp. 669 - 675, ISSN 2558-9652 DOI:10.1515/picbe-2017-0071
  • Chen S, Chen CYH, Härdle WK, Lee TM, One B (2017) A first econometric analysis of the CRIX family, in Handbook of Blockchain, Digital Finance and Inclusion, Vol 1, Cryptocurrency, FinTech, InsurTech, and Regulation, David LEE Kuo Chuen Robert Deng, eds. ISBN: 9780128104415, Academic Press, Elsevier
  • Zboňáková L, Härdle WK, Wang W (2017) Time Varying Quantile Lasso. p 331-353, in Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag,DOI:10.1007/978-3-662-54486-0
  • Linton M, Teo EGS, Bommes E, Chen CYH, Härdle WK (2017) Dynamic Topic Modelling for Cryptocurrency Community Forums. p 355-372, Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag,DOI:10.1007/978-3-662-54486-0
  • Härdle WK, Phoon KF, Lee D (2017) Credit Rating Score Analysis.p 223-244 Applied Quantitative Finance, (Härdle WK, Chen YH, Overbeck L eds), Springer Verlag,DOI:10.1007/978-3-662-54486-0
  • Härdle WK, Huang C, Chao SK (2016) Factorisable Sparse Tail Event Curves with Expectiles, Oberwolfach Report No. 12/2016 „New Developments in Functional and Highly Multivariate Statistical Methodology“ 78 (3), DOI:10.1111/rssb.12154
  • Härdle WK, Trimborn S (2015) CRIX or evaluating Blockchain based currencies, Oberwolfach Report No. 42/2015 „The Mathematics and Statistics of Quantitative Risk“, DOI:10.4171/OWR/2015/42
  • Trück S, Weron R, Hӓrdle WK (2015) The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS, in Gronwald and Hintermann (eds) Emission Trading Systems as a Climate Policy Instrument - Evaluation and Prospects, MIT Press DOI:10.7551/mitpress/9780262029285.003.0008
  • Härdle WK, López Cabrera B, Ritter M (2014) Forecast based pricing of weather derivatives, Handbook on The Macroeconomics of Global Warming, Semmler, W. and Bernard, L. (eds), Oxford University Press, ISBN. 9780199856978, DOI:10.1093/oxfordhb/9780199856978.013.0018
  • Härdle WK, Prastyo D, Hafner C (2014)  Support Vector Machines with evolutionary feature Selection for Default Prediction,  Handbook  of Applied Nonparametric and Semi-parametric Econometrics and Statistics, J. Racine, R. Su, and Aman Ullah (eds) Oxford University Press, New York.p 346 - 373,  ISBN. 978-0-19-985794-4
  • Fan Y, Härdle WK, Wang W, Zhu L (2014) Composite Quantile Regression for the Single Index Model, Oberwolfach Reports, 48/2013, 27 - 30  DOI: 10.4171/OWR/2013/48
  • Chao SK, Härdle WK, Wang W (2014)  Quantile Regression in Risk Calibration, in: Handbook for Financial Econometrics and Statistics, Cheng-Few Lee and John C. Lee (eds), Springer Verlag, p 1467-1489, ISBN: 978-1-4614-7749-5 (Print) 978-1-4614-7750-1 (Online), DOI:10.1007/978-1-4614-7750-1_54
  • Härdle WK, Prastyo D (2014), Embedded Predictor Selection for
    Default Risk Calculation: A South East Asian Industry Study, in: Handbook of
    Asian Finance Vol 1, Financial Markets and Sovereign Wealth Funds, Lee D. and Greg N. Gregoriou (eds), Elseveier / Academic Press, p 131-148.
  • Härdle WK, Prastyo D (2014) Default Risk Calculation based on Predictor Selection for the South East Asian Industry, in: Handbook of Asian Finance, Editors David Lee and Greg N. Gregoriou, Elsevier / Academic Press
  • Chernozukhov V, Härdle WK, Horowitz J, Ritov Y (2013) Mathematical Statistics of partially identified objects, Oberwolfach Reports,  DOI: 10.4171/OWR/2013/19
  • Härdle WK, Okhrin O, Wang W (2013), HMM and HAC, Advances in Intelligent Systems and Computing, 190, 341-348. DOI: 10.1007/978-3-642-33042-1_37
  • Xia Y, Härdle WK, Linton O (2012)  Optimal Smoothing for a Computationally
    and Statistically Efficient Single Index Estimator, in: Exploring Research Frontiers in Contemporary Statistics and Econometrics, Van Keilegom, I. and Wilson, W. (eds), Springer Verlag, p 229 - 261
  • Härdle WK, Mori Y, Symanzik J (2012) Computational Statistics, the Journal History, Wiley Interdisciplinary Reviews (WIREs) : Computational Statistics, DOI:
    http://dx.doi.org/10.1002/wics.1206
  • Härdle WK, Schulz R, Wang W (2012) Prognose mit nichtparametrischen Verfahren. in: Prognoserechnung, 7. Auflage ed. Mertens, Physica Verlag. p.167-181
  • Benth FE, Härdle WK, López Cabrera B (2011) Pricing of Asian temperature risk. in: Statistical Tools in Finance and Insurance (2nd ed.), Cizek, Härdle, Weron, Springer Verlag.
  • Gentle J, Härdle WK, Mori Y (2011) How Computational Statistics Became the Backbone of Modern Data Science in: Handbook of Computational Statistics, Gentle, Härdle, Mori, Springer Verlag.
  • Härdle WK, Hoffmann L, Moro R (2011) Learning Machines Supporting Bankruptcy prediction. in: Statistical Tools in Finance and Insurance (2nd ed.) , Cizek, Härdle, Weron, Springer Verlag.
  • Grith M, Härdle WK, Schienle M (2011) Nonparametric Estimation of Risk neutral Densities. in: Handbook of Computational Finance, Duan, Gentle, Härdle, eds., Springer Verlag.
  • Gentle J, Härdle WK (2011) Modelling Asset Prices. in: Handbook of Computational Finance, Duan, Gentle, Härdle, eds., Springer Verlag.

All Publications

 

 

 

 

Lectures & Presentations

alt Forecasting in Blockchain-Based Smart Grids: The Art of Smart Energy Trading
alt Information Arrival, News Sentiment, Volatilities and Jump Risk of Intraday Stock Returns
alt Covariate-assisted Spectral Clustering in Dynamic Networks: An Application to Cryptocurrencies Market
alt Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change
alt LASSO-Driven Inference in Time and Space
alt The Econometrics of CRIX
alt How Sensitive are Tail-Related Risk Measures in a Contamination Neighbourhood?
alt Pricing Green Financial Products
alt Sparse-Group Network Autoregressive Model for Cryptocurrencies
alt Tales of Sentiment Driven Tails
alt Principal components in an asymmetric norm
alt Jointly Modelling and Robust Forecasting High-Dimensional Yield Curves
alt Tail event driven networks of SIFIs
alt How does the market react to cooling measures? The case of Singapore
alt Assignments of JEL codes via adaptive weights clustering
alt Textual sentiment and sector-specific reaction
alt Industry Interdependency Dynamics in a Network Context
alt Clustering SFB Abstracts
alt Network Quantile Autoregression
alt Collective Biographies - the Database BBI - Biographical Background Information
alt A simultaneous confidence corridor for varying coefficient regression with sparse functional data
alt Risk profile clustering strategy in portfolio diversification
alt Chancen und Risiken des Klimawandels: Die Ökonomie von Naturrisiken
alt Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries
alt Forecasting Limit Order Book Liquidity with Functional AutoRegressive Dynamics
alt Mortality Model for Multi-Populations: A Semiparametric Comparison Approach
alt Factorizable Sparse Tail Event Curves with Expectiles
alt D3-3D-LSA for QuantNet 2.0 and GitHub
alt CRIX - a CRyptocurrency IndeX
alt Time Varying Lasso
alt TENET: Tail-Event-driven NETwork Risk
alt Copulae Based Factor Model for Credit Risk Analysis
alt
TERES - Tail Event Risk Expectile based Shortfall
alt
lCARE - localising Conditional AutoRegressive Expectiles
alt Inflation Co-movement in Multi-maturity Term Structure: An Arbitrage-Free Approach
alt A simultaneous confidence corridor for varying coefficient regression with sparse functional data
alt FASTEC - FActorizable Sparse Tail Event Curves
alt
TEDAS - Tail Event Driven ASset Allocation
alt Distillation of News Flow into Analysis of Stock Reactions
alt Introduction to Islamic Banking: A Basic Concept
CEAD Portfolio Decisions and Brain Reactions via the CEAD Method
SKC confidence Confidence Corridors for Multivariate Generalized Quantile Regression
2014ThuChaHaePortfolioCreditRiskContribution20140306 Credit Risk Calibration based on CDS spreads
alt "Principal components" in an asymmetric norm
alt Valuation of Collateralized Debt Obligations with Hierarchical Archimedean Copulae
alt Copula Dynamics in Collateralized Debt Obligations
alt Option Implied Stock Return Distributions
alt Pricing Chinese Rain
alt CDO Surface Dynamics
alt Localising Forward Intensities for Multiperiod Default
alt Increasing Weather Risk: Fact or Fiction?
alt Portfolio Credit Risk Contribution
alt Quantile Regression with High Dimensional Single-Index Models
alt Dynamics of Correlation Risk alt
alt Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics
alt Tying the Straps Tighter for Generalized Linear Models
alt Implied State Price Densities of Weather Derivatives
alt An Axiomatic and Data Driven View on the EPK Paradox
alt Adaptive Interest Rate
alt Cross Country Evidence for the EPK Paradox
alt Functional Data Analysis for Generalized Quantile Regression
alt Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
alt Quantile Regression in Risk Calibration
alt A Microeconomic Explanation of the EPK Paradox
alt Time Varying Independent Component Analysis
alt Risk Patterns and Correlated Brain Activities
alt HMM for HAC
alt Genetic Algorithm for SVM Optimization in PD Prediction
alt Forecasting Corporate Distress in the Asian and Pacific Region
alt A Confidence Corridor for Expectiles
alt Local Quantile Regression
alt Localizing Temperature Risk
alt Spatial Risk Premium on Weather and Hedging Weather Exposure in Electricity
alt Measuring Statistical Risk Extremes, Joint Extremes and Copulae
alt Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics (Earthshaking Event - given during a Real Earthquake!)
alt Volatility Investing with Variance swaps
alt Shape Invariant Modelling and Risk Patterns
alt How to tame CDOs?
alt Pensions,Lotteries,Financial Markets: Measuring Statistical Risk
alt Calibrating CAT Bonds for Mexican Earthquakes
alt Was ist Statistik?