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:

FRM

"Über den Wolken gibt es keinen Regen"

Wahlspruch

Research

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

Center for Applied Statistics and Economics

My ORCiD : 0000-0001-5600-3014

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

Härdle WK, Simar L (2019) Applied Multivariate Statistical Analysis. 5th ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-030-26005-7, e-ISBN 978-3-030-26006-4 (558 p), DOI: 10.1007/978-3-030-26006-4 Springer link
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)

Chernozhukov V, Härdle WK, Huang C, Wang W (2020) LASSO-Driven Inference in Time and Space, Annals of Statistics, to appear 20200916
Dautel AJ, Härdle WK, Lessmann St, Seow WV (2020) Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks. Digital Finance, DOI:https://doi.org/10.1007/s42521-020-00019-x
Hou AJ, Wang W, Chen CYH, Härdle WK,(2020) Pricing Cryptocurrency options. J Financial Econometrics, Vol. 18, No. 2, 250–279, DOI: https://doi.org/10.1093/jjfinec/nbaa006
Chao SK, Härdle WK, Yuan M (2020) Factorisable Multi-Task Quantile Regression, J Econometric Theory, accepted 20190207, to appear
Adamyan L, Efimov, K, Chen CYH,Härdle WK(2020) Adaptive Weights Clustering of Research Papers., Digital Finance, DOI: https://doi.org/10.1007/s42521-020-00017-z
Yu L, Härdle WK, Borke L, Benschop T(2020) An AI approach to Measuring Financial Risk., Singapore Economic Review, DOI: https://doi.org/10.1142/ S0217590819500668
Chen CYH, Härdle WK, Mihoci A(2020) TERES - Tail Event Risk Expectile based Shortfall, Quantitative Finance., DOI: https://doi.org/10.1080/14697688.2020.1786151
Chen S, Härdle WK, Wang L (2020) Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk., Computational Statistics, DOI: https://doi.org/10.1007/s00180-019-00951-6
Härdle WK, Harvey C, Reule R (2019) Understanding Cryptocurrencies. J Financial Econometrics, DOI: https://doi.org/10.1093/jjfinec/nbz033
Lux M, Härdle WK, Lessmann S (2019) Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid. Comp Stat Data Analysis, DOI: https://doi.org/10.1007/s00180-019-00934-7
Petukhina AA, Reule RCG, Härdle WK (2019) Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies, European Journal of Finance, DOI: https://doi.org/10.1080/1351847X.2020.1789684
Mihoci A, Althof M, Chen CYH, Härdle WK (2019) FRM Financial Risk Meter, Digital Finance, invited paper, to appear
Wesselhöfft N, Härdle WK (2019) Constrained Kelly Portfolio under alpha stable laws, RSEM Computational Economics, DOI: https://link.springer.com/article/10.1007%2Fs10614-019-09913-y
Qian Y, Härdle WK, Chen CYH (2019) Industry Interdependency Dynamics in a Network Context, Studies in Economics and Finance, DOI: https://doi.org/10.1108/SEF-07-2019-0272
Chen S, Härdle WK, Lopez Cabrera B (2019) Regularization Approach for Network Modeling of German Power Derivative Market, Energy Economics, DOI: https://doi.org/10.1016/j.eneco.2019.06.021
Kostmann M, Härdle WK(2019) Forecasting in Blockchain-Based Local Energy Markets, Energies, DOI: https://doi.org/10.3390/en12142718
Zbonakova L, Monti RP, Härdle WK (2019) Towards the interpretation of time-varying regularization parameters in streaming penalized regression models, Pattern Recognition Letters, DOI: https://doi.org/10.1016/j.patrec.2019.06.021
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 CYH, Härdle WK, Okhrin Y (2019) Tail event driven networks of SIFIs, Journal of Econometrics, DOI: https://doi.org/10.1016/j.jeconom.2018.09.016
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, DOI: https://doi.org/10.1016/j.jeconom.2019.04.034
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

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

All Publications

Lectures & Presentations

	FRM financialriskmeter for Cryptos
	CRIX the Coin
	VCRIX
	Realized Cryptocurrency Volatility Forecasting
	LASSO-Driven Inference in Time and Space
	Crypto volatility forecasting: ML vs GARCH
	Dynamic Crypto Networks
	FRM financialriskmeter
	SONIC: Social Networks with Influencers and Communities
	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
	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
	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
	Credit Risk Calibration based on CDS spreads
	Copula Dynamics in Collateralized Debt Obligations
	Valuation of Collateralized Debt Obligations with Hierarchical Archimedean Copulae
	CDO Surface Dynamics
	Pricing Chinese Rain
	Localising Forward Intensities for Multiperiod Default
	Quantile Regression with High Dimensional Single-Index Models
	Portfolio Credit Risk Contribution
	Increasing Weather Risk: Fact or Fiction?

Participating Institutes