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Humboldt-Universität zu Berlin - Statistik

Wolfgang Karl Härdle

 

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欢迎来到我的网页 hu.berlin/93629

 

我叫沃夫冈, 是柏林洪堡大学经济商学院统计计

量研究所的终身教授, 也是数据研究中心主任。 

我现在还是IRTG项目的总负责人, 是厦门大学的

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 2093-5631
FAX: +49 30 2093-5649
E-Mail: stat@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

  • 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, W., 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

Introduction to Statistics.jpg Download the quantlets
  • Härdle, W., 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

SMS2_frontcover.jpg Download the quantlets
  • Härdle, W., 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

MVA4_FrontCover.jpg Download the quantlets
  • Franke, J., Härdle, W., and 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

SFE4_FrontCover.jpg Download the quantlets
  • Härdle, W.K., 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

mse_book.jpg

Download
the
quantlets

  • Jaworski, P., Durante, F., Härdle, W. K. (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, W. K., 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

SFS2.jpg

Download the quantlets

  • Duan, J.C., Gentle, J.E. and Härdle, W. (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, W. and 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, W., Weron, R. (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN 978-3-642-18061-3 (420 p)

Springer link

stf.jpg Download the quantlets

 

  • Härdle, W., 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)
MVA.jpg Download the quantlets
     
  • Jaworski, P., Durante, F., Härdle, W. and 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

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

Sringer link

Download the quantlets
  • Chen, C.H., Härdle, W. and Unwin, A. (2008) Handbook of Data Visualization. Springer Verlag, Heidelberg. ISBN 3-540-33036-4 (936 p)

Springer link

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

Springer link

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

Springer link

  • Härdle, W., Müller, M., Sperlich, St. and Werwatz, A.(2004) Nonparametric and Semiparametric Models Springer Verlag, Heidelberg. ISBN 3-540-20722-8 (340 p)
   
  • Härdle, W., Hlávka, Z. and 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, W., Rönz, B.(2002) COMPSTAT 2002 Proceedings. Physika Verlag, Heidelberg. ISBN 3-7908-1517-9 ( 648 p)
   
  • Härdle, W. and Rönz, B.(2001) MM*Stat - eine interaktive Einführung in die Welt der Statistik. Springer Verlag, Heidelberg. ISBN 3-540-14893-0 (CD ROM + software)
mmstat
  • Härdle, W., Klinke, S. and 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, W., Hlávka, Z. and Klinke, S.(2000) XploRe Application Guide. Springer Verlag, Heidelberg. ISBN 3-540-67545-0 , (525 p)

Springer link

  • Härdle, W., Liang, H and 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, W. and 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, W., Klinke, S. and 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

xplore
  • Härdle, W., Kerkyiacharian, G., Picard, D. and 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, W. and 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, W., Klinke, S. and Turlach, B. (1995) XploRe - an interactive statistical computing environment. Springer Verlag, New York. ISBN 0-387-94429-X (387 p)
xpisae
  • Härdle, W. and Simar, L. (eds.) (1993) Computer Intensive Methods in Statistics. Physica Verlag. ISBN 3-7908-0677-3 (176 p)
cims
  • Härdle, W. (1993) Prikladnaja Neparametricheskaya Regressija. Russian Translation of "Applied Nonparametric Regression", MIR Publishers Moscow. (348 p)
russian
  • Härdle, W. (1991) Smoothing Techniques, with Implementation in S. Springer Verlag, Heidelberg New York. ISBN 3-540-97367-2 (261 p)
smoothingt
  • Härdle, W. (1990) Applied Nonparametric Regression. Econometric Society Monograph Series 19, Cambridge University Press. ISBN 0-521-42950-1 (333 p)
  • Györfi, L., Härdle, W., Sarda, P. and 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

ncets
  • Franke, J., Härdle, W. and 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

rntsa

Papers

Publications (last 5 years)

  • Härdle, W. and 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, W., Yu, L. and Wang, W. (2016) TENET - Tail Event driven NETwork risk, Journal of Econometrics, DOI: 10.1016/j.jeconom.2016.02.013
  • Härdle, W. and Silyakova, E. (2016) Implied basket Correlation Dynamics, Statistics and Risk Modelling, DOI: 10.1515/strm-2014-1176
  • Choros, B. Härdle, W. and 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, W. and Krätschmer, V. (2015) Reference Dependent Preferences and the EPK Puzzle, Review of Finance, DOI: 10.1093/rof/rfv062
  • Zheng, S., Liu, R. Yang, L. and Härdle, W. (2015) Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection, TEST, DOI: 10.1007/s11749-016-0480-8
  • Chao, S. K., Proksch, K., Dette, H.and Härdle, W. (2015) Confidence Corridors for Multivariate Generalized Quantile Regression, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2015.1054493
  • Härdle, W., Hautsch, N. and 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, W., Lopez Cabrera, B. and Teng, H. W. (2015) State Price Densities implied from weather derivatives, Insurance: Mathematics and Economics, DOI: 10.1016/j.insmatheco.2015.05.001
  • Zhang, J. Z., Härdle, W. K., Chen, Y. C. and Bommes, E. (2015) Distillation of News Flow into Analysis of Stock Reactions, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2015.1110525
  • Chen, Y. H. and Härdle, W. (2015) Common Factors in credit default swap markets, Computational Statistics, 30(3), 845-863, DOI: 10.1007/s00180-015-0578-6
  • Stahlschmidt, St., Härdle, W. and 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, P.N.C., Heekeren, H.R. and Härdle, W. (2015) Portfolio Decisions and Brain Reactions via the CEAD method, Psychometrika, DOI: 10.1007/s11336-015-9441-5
  • Chen, R.B., Guo, M.H., Härdle, W. and Huang, S.F. (2015) COPICA - Independent Component Analysis Via Copula Techniques, Statistics and Computing, 25(2), 273-288, DOI: 10.1007/s11222-013-9431-3
  • Härdle, W., Ritov, Y and 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
  • Wang, W., Okhrin, O. and Härdle, W. (2014) Hidden Markov Structures for dynamic copulae, J. Econometric Theory, DOI: 10.1017/S0266466614000607
  • Härdle, W. and 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, W. and Yang, L. (2014) A simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data, TEST, DOI: 10.1007/s11749-014-0392-4
  • Härdle, W. and 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. and Härdle, W. (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, W. and 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, W. and Wang, W. (2014) Principle Volatility Component Analysis (a Discussion), Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2014.898585
  • Golubev, Y., Härdle, W. and Timofeev, R. (2014) Testing Monotonicity of Pricing Kernels, AStA - Advances in Statistical AnalysisDOI: 10.1007/s10182-014-0225-5
  • Härdle, W., Okhrin, Y. and Wang, W. (2014) Uniform confidence bands for pricing kernels, Journal of Financial Econometrics, DOI: 10.1093/jjfinec/nbu002
  • Chen, R.B., Chen, Y. and Härdle, W. (2014) TVICA - Time varying independent component analysis, Computational Statistics and Data Analysis, 74, 95-109, DOI: 10.1007/s10182-014-0225-5
  • Honda, T., Härdle, W.(2013) Variable selection in Cox regression models with varying coefficients, Journal of Statistical Planning and InferenceDOI: 10.1016/j.jspi.2013.12.002
  • Zheng, Sh. , Yang, L., and Härdle, W.K. (2013) A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data, Journal of the American Statistical AssociationDOI: 10.1080/01621459.2013.866899
  • Chen, R.B., Guo, M.H., Härdle, W. and Huang, S.F. (2013) COPICA - Independent Component Analysis Via Copula Techniques, Statistics and Computing, DOI: 10.1007/s11222-013-9431-3
  • Guo, M.M., Zhou, L, Huang, J.Z. and Härdle, W. (2013) Functional Data Analysis of Generalized Regression Quantiles, Statistics and Computing, DOI: 10.1007/s11222-013-9425-1
  • Choroś, B.,  Härdle, W. and Overbeck, L. (2013) Copula Dynamics in CDOs, Quantitative Finance, published online 19.11.2013, DOI: 10.1080/14697688.2013.847280
  • Härdle, W. Okhrin, Y. and Okhrin, O. (2013) Dynamic structured Copula Models,  Statistics and Risk Modelling, 30(4), 361–388, DOI: 10.1524/strm.2013.2004
  • Choroś-Tomczyk, B., Härdle, W. and Okhrin, O.(2013) Valuation of Collateralized Debt Obligations with Hierarchical Archimedean Copulae, Journal of Empirical Finance, 24, 42-62. DOI: 10.1016/j.jempfin.2013.08.001
  • Stahlschmidt, St. , Tausendteufel, H and Härdle, W. (2013) Bayesian Networks and Sex related Homicides, Journal of Applied Statistics, DOI: 10.1080/02664763.2013.780235
  • Liu,R., Yang, L.Y. and Härdle, W. (2013) Oracally Efficient Two-Step Estimation of Generalized Additive Model, Journal of the American Statistical Association, 108(502), 619-631, DOI:10.1080/01621459.2013.763726
  • van Bömmel, A., Song, S., Majer, P., Mohr, P.N.C., Heekeren, H.R. and Härdle, W.K. (2013) Risk Patterns and correlated brain activities.  Multidimensional Statistical Analysisof fMRI Data in Economics Decision making Study, Psychometrika,  DOI: 10.1007/s11336-013-9352-2
  • Spokoiny, V., Wang, W.  and Härdle, W. (2013) Local Quantile Regression (with discussion), Journal Statistical Planning and Inference, 143, 1109–1129, DOI: 10.1016/j.jspi.2013.03.008
  • Detlefsen, K. and Härdle, W. (2013) Variance Swap Dynamics, Quantitative Finance, 13(5), 675-685, DOI:10.1080/14697688.2012.749420
  • Wang, W., Bobojonov, I., Härdle, W. and Odening, M. (2013) Testing for increasing weather risk, Stochastic Environmental Research and Risk Assessment, 27(7), 1565-1574, DOI: 10.1007/s00477-013-0692-3
  • Grith, M., Härdle, W. and Park, J. (2012) Shape invariant modelling pricing kernels and risk aversion, Journal of Financial Econometrics, 11(2):370-399. DOI: 10.1093/jjfinec/nbs019
  • Härdle, W., Hautsch, N. and Mihoci, A. (2012) Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Journal of Empirical Finance, 19, 610-625. DOI: 10.1016/j.jempfin.2012.04.002
  • Härdle, W. Ritov, J. and Song, R. (2012)  Bootstrap Confidence Bands and Partial Linear Quantile Regression, J. Multivariate Analysis, 107, 244-262. DOI: 10.1016/j.jmva.2012.01.020
  • Duran, E.A., Härdle, W. and Osipenko, M. (2012) Difference based Ridge and Liu type Estimators in Semiparametric Regression Models, Journal of Multivariate Analysis, 105, 164-175. DOI:10.1016/j.jmva.2011.08.018
  • Härdle, W., Jeong, K. and Song, R. (2012) A consistent nonparametric test for causality in quantile, Econometric Theory, 28, 861-887. DOI: 10.1017/S0266466611000685
  • Härdle, W. and Lopez Cabrera, B. (2012) The Implied Market Price of Weather Risk, Journal Applied Mathematical Finance, 19(1), DOI:  10.1080/1350486X.2011.591170
  • Härdle, W. and Osipenko, M. (2012) Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity, Energy Journal, 33(2) 149-170, DOI: 10.5547/01956574.33.2.7
  • Ahmad, T., Härdle, W., Klinke, S. and Al Awadhi, S. (2012) Using Wiki to build an e-learning system in statistics in the Arabic language, Computational Statistics, DOI: 10.1007/s00180-012-0312-6

Articles in Proceedings or Equivalent Publications

  • Härdle, W. K., Huang, C. and Chao, S. K. (2016) Factorisable Sparse Tail Event Curves with Expectiles, Oberwolfach Report No. 12/2016 „New Developments in Functional and Highly Multivariate Statistical Methodology“, DOI:10.4171/OWR/2016/12
  • Härdle, W. and 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, W. (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
  • Härdle, W., Lopez Cabrera, B. and 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, W., Prastyo, D. D. and Hafner, Ch. (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, W. , Wang, W.  and Zhu, L. (2014) Composite Quantile Regression for the Single Index Model, Oberwolfach Reports, 48/2013, 27 - 30  DOI: 10.4171/OWR/2013/48
  • Chao, S. K., Härdle, W. and 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, W. and D. Prastyo (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 FundsLee D. and Greg N. Gregoriou (eds), Elseveier / Academic Press, p 131-148.
  • Härdle, W. and D. Prastyo (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, W., Horowitz, J and Ritov, Y. (2013) Mathematical Statistics of partially identified objects, Oberwolfach Reports,  DOI: 10.4171/OWR/2013/19
  • Härdle, W., Okhrin, O. and 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, W. and 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, W., Mori, Y. and Symanzik, J. (2012) Computational Statistics, the Journal History, Wiley Interdisciplinary Reviews (WIREs) : Computational Statistics, DOI:
    http://dx.doi.org/10.1002/wics.1206
  • Härdle, W., Schulz, R. and Wang, W. (2012) Prognose mit nichtparametrischen Verfahren. in: Prognoserechnung, 7. Auflage ed. Mertens, Physica Verlag. p.167-181
  • Benth, F.E., Härdle, W. and Lopez Cabrera, B. (2011) Pricing of Asian temperature risk. in: Statistical Tools in Finance and Insurance (2nd ed.), Cizek, Härdle, Weron, Springer Verlag.
  • Härdle, W., Hoffmann, L. and 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, W. and Schienle, M. (2011) Nonparametric Estimation of Risk neutral Densities. in: Handbook of Computational Finance, Duan, Gentle, Härdle, eds., Springer Verlag.
  • Gentle, J. and Härdle, W. (2011) Modelling Asset Prices. in: Handbook of Computational Finance, Duan, Gentle, Härdle, eds., Springer Verlag.

All Publications

 

 

 

 

Lectures & Presentations

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
Portfolio Decisions and Brain Reactions via the CEAD Method
Confidence Corridors for Multivariate Generalized Quantile Regression
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 High Dimensional Nonstationary Time Series Modeling
alt Localizing Temperature Risk
alt Uniform Confidence for Pricing Kernels
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 Empirical Pricing Kernels and Investors' Preferences
alt The Stochastic Fluctuation of the Quantile Regression Curve
alt Calibrating CAT Bonds for Mexican Earthquakes
alt Was ist Statistik?