Browsing by Author "Härdle, Wolfgang"
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- ItemControlling Complexity for Strong Stochastic Dependencies(Oberwolfach-Walke : Mathematisches Forschungsinstitut Oberwolfach, 2000) Härdle, Wolfgang; Horowitz, Joel[no abstract available]
- ItemInhomogeneous dependence modelling with time varying copulae(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2007) Giacomini, Enzo; Härdle, Wolfgang; Spokoiny, VladimirMeasuring dependence in a multivariate time series is tantamount to modelling its dynamic structure in space and time. In the context of a multivariate normally distributed time series, the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of applications, though, requires a modelling framework different from the multivariate normal. In risk management the non-normal behaviour of most financial time series calls for non-Gaussian dependence. The correct modelling of non-Gaussian dependences is therefore a key issue in the analysis of multivariate time series. In this paper we use copulae functions with adaptively estimated time varying parameters for modelling the distribution of returns, free from the usual normality assumptions. Further, we apply copulae to estimation of Value-at-Risk (VaR) of portfolios and show their better performance over the RiskMetrics approach, a widely used methodology for VaR estimation.
- ItemMathematical Statistics of Partially Identified Objects(Zürich : EMS Publ. House, 2013) Härdle, Wolfgang; Horowitz, Joel; Ritov, Ya'acovThe workshop brought together leading experts in mathematical statistics, theoretical econometrics and bio-mathematics interested in mathematical objects occurring in the analysis of partially identified structures. The mathematical core of these ubiquitous structures has an impact on all three research areas and is expected to lead to the development of new algorithms for solving such problems.