Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

High Dimensional Nonstationary Time Series | W. Härdle

Wolfgang Karl Härdle

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www.quantlet.de

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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。

Me in 2D:

"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, ResearchGate and SSRN 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

Franke J, Härdle WK, Hafner C (2019) Statistics of Financial Markets: an Introduction. 5th ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-030-13750-2, e-ISBN 978-3-030-13751-9 (585 p), DOI: 10.1007/978-3-030-13751-9 Springer link
Härdle WK, Lu HS, Shen CS (2018) Handbook of Big Data Analytics., Springer-Verlag Berlin Heidelberg. ISBN 978-3-319-18284-1, DOI:10.1007/978-3-319-18284-1 Springer link
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
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
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
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
Härdle WK, Klinke S, Rönz B (2015) Introduction to Statistics (Using Interactive MMStat 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
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
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
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
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
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
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
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)
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
Chen CH, Härdle WK, Unwin A (2008) Handbook of Data Visualization. Springer Verlag, Heidelberg. ISBN 3-540-33036-4 (936 p) Springer link
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
Springer link 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
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
Härdle WK, Müller M, Sperlich S, Werwatz A(2004) Nonparametric and Semiparametric Models Springer Verlag, Heidelberg. ISBN 3-540-20722-8 (340 p)
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.
Härdle WK, Rönz B(2002) COMPSTAT 2002 Proceedings. Physika Verlag, Heidelberg. ISBN 3-7908-1517-9 ( 648 p)
Härdle WK, Rönz B(2001) MMStat - eine interaktive Einführung in die Welt der Statistik. Springer Verlag, Heidelberg. ISBN 3-540-14893-0 (CD ROM + software)*
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.
Härdle WK, Hlávka Z, Klinke S(2000) XploRe Application Guide. Springer Verlag, Heidelberg. ISBN 3-540-67545-0 , (525 p) Springer link
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
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
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
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
Härdle WK, Schimek M (eds.) (1996) Statistical Theory and Computational Aspects of Smoothing. Physika Verlag, Heidelberg. ISBN 3-7908-0930-6, (265 p)
Härdle WK, Klinke S, Turlach B (1995) XploRe - an interactive statistical computing environment. Springer Verlag, New York. ISBN 0-387-94429-X (387 p)
Härdle WK, Simar L (eds.) (1993) Computer Intensive Methods in Statistics. Physica Verlag. ISBN 3-7908-0677-3 (176 p)
Härdle WK (1993) Prikladnaja Neparametricheskaya Regressija. Russian Translation of "Applied Nonparametric Regression", MIR Publishers Moscow. (348 p)
Härdle WK (1991) Smoothing Techniques, with Implementation in S. Springer Verlag, Heidelberg New York. ISBN 3-540-97367-2 (261 p)
Härdle WK (1990) Applied Nonparametric Regression. Econometric Society Monograph Series 19, Cambridge University Press. ISBN 0-521-42950-1 (333 p)
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
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

Papers

Publications (last 5 years)

Kostmann M, Härdle WK(2019) Forecasting in Blockchain-Based Local Energy Markets, Energies, DOI: https://doi.org/10.3390/en12142718
Härdle WK, Nasekin S (2019) Model-driven statistical arbitrage on LETF option markets, Quantitative Finance, DOI: https://doi.org/10.1080/14697688.2019.1605186
Trimborn S, Li MY, Härdle WK (2019) Investing with cryptocurrencies -A liquidity constrained investment approach. J Financial Econometrics, DOI: https://doi.org/10.1093/jjfinec/nbz016
Burdejova P, Härdle WK (2019) Dynamic semi-parametric factor model for functional expectiles, Computational Statistics, DOI: https://doi.org/10.1007/s00180-019-00883-1
Chen CYH, Härdle WK, Xu, X (2019) Dynamic credit default swaps curves in a network topology, Quantitative Finance, DOI: https://doi.org/10.1080/14697688.2019.1585560
Chao SK, Härdle WK, Yuan M (2019) Factorisable Multi-Task Quantile Regression, J Econometric Theory, accepted 20190207
Zhu X, Wang W, Wang H, Härdle WK (2019) Network Quantile Autoregression, J Econometrics, DOI: https://doi.org/10.1016/j.jeconom.2019.04.034
Chua WS, Chen Y, Härdle WK (2019) Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics. Quantitative Finance, DOI: https://doi.org/10.1080/14697688.2019.1622290
Chen Y, Härdle WK, Qiang H, Majer, P (2018) Risk Related Brain Regions Detected with 3D Image FPCA, Statistics and Risk Modeling, 35,89110 DOI: https://doi.org/10.1515/strm-2017-0011
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, DOI: https://doi.org/10.1016/j.jmva.2018.10.00
Trimborn S, Härdle WK (2018) CRIX an Index for Cryptocurrencies, Journal of Empirical Finance, DOI: https://doi.org/10.1016/j.jempfin.2018.08.004
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, DOI: http://dx.doi.org/10.1017/S1365100518000482
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, DOI:
https://doi.org/10.1016/j.jmva.2018.11.004
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: https://doi.org/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 Analysis, DOI: 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: 10.1016/j.csda.2014.01.002

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

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

Participating Institutes