SFB 649 Discussion Paper 2008-038 Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

SFB 649 Discussion Paper 2011-020 How Computational Statistics Became the Backbone of Modern Data Science

James E. Gentle
Wolfgang Karl Härdle
Yuichi Mori
Auer Straße
D- Berlin

August 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Multivariate semi-nonparametric distributions with dynamic conditional correlations

Del Brio, Esther B.
Ñíguez, Trino-Manuel
Perote, Javier

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporatin...

Dynamic semiparametric factor models

Borak, Szymon

July 2008

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen ...

SFB 649 Discussion Paper 2005-020 A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

Matthias R. Fengler
Wolfgang K. Härdle
Enno Mammen
Auer Straße
D- Berlin
Enno Mammen

January 2005

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

Enzo Giacomini A
Wolfgang Karl Härdle A
Volker Krätschmer A B

February 2016

Dimension reduction techniques for functional data analysis model and approximate smooth random func...

SFB 649 Discussion Paper 2005-047 Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

Lijian Yang
Byeong U. Park
Lan Xue
Wolfgang Härdle
Auer Straße
D- Berlin

January 2005

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Dynamic Semiparametric Factor Models in RiskNeutral Density Estimation

Giacomini, Enzo
Härdle, Wolfgang
Krätschmer, Volker

May 2008

Dimension reduction techniques for functional data analysis model and approximate smooth random func...

Forschungsgemeinschaft through the SFB 649 "Economic Risk".

Rafał Weron
Auer Straße
D- Berlin

March 2015

A semiparametric factor model for electricity forward curve dynamics Szymon Borak

SFB 649 Discussion Paper 2006-065 Forecasting Euro-Area Variables with German

Ralf Brüggemann
Massimiliano Marcellino
Auer Straße
D- Berlin

January 2006

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

SFB 649 Discussion Paper 2011-003 Mean Volatility Regressions

Lu Lin
Feng Li
Lixing Zhu
Wolfgang Karl Härdle Σ
Auer Straße
D- Berlin

August 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

SFB 649 Discussion Paper 2005-016 Common Functional Component Modelling

Alois Kneip
Michal Benko
Auer Straße
D- Berlin

February 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Nonparametric and Semiparametric Modeling and Estimation of Risk-Neutral Densities

Maria Grith
Melanie Schienle

July 2015

Summary. This chapter deals with nonparametric estimation of the risk neutral density. We present th...

Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization

October 2019

This dissertation focuses on developing new statistical methods for analyzing and modeling financial...

and Empirical Evidence

Nikolaus Hautsch
Mark Podolskij
Auer Straße
D- Berlin

January 2010

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Parametric estimation of risk neutral density functions

Grith, Maria
Krätschmer, Volker

September 2010

This chapter deals with the estimation of risk neutral distributions for pricing index options resul...

SFB 649 Discussion Paper 2011-020 How Computational Statistics Became the Backbone of Modern Data Science

James E. Gentle
Wolfgang Karl Härdle
Yuichi Mori
Auer Straße
D- Berlin

August 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Multivariate semi-nonparametric distributions with dynamic conditional correlations

Del Brio, Esther B.
Ñíguez, Trino-Manuel
Perote, Javier

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporatin...

Dynamic semiparametric factor models

Borak, Szymon

July 2008

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen ...

SFB 649 Discussion Paper 2005-020 A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

Matthias R. Fengler
Wolfgang K. Härdle
Enno Mammen
Auer Straße
D- Berlin
Enno Mammen

January 2005

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

Enzo Giacomini A
Wolfgang Karl Härdle A
Volker Krätschmer A B

February 2016

Dimension reduction techniques for functional data analysis model and approximate smooth random func...

SFB 649 Discussion Paper 2005-047 Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

Lijian Yang
Byeong U. Park
Lan Xue
Wolfgang Härdle
Auer Straße
D- Berlin

January 2005

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Dynamic Semiparametric Factor Models in RiskNeutral Density Estimation

Giacomini, Enzo
Härdle, Wolfgang
Krätschmer, Volker

May 2008

Dimension reduction techniques for functional data analysis model and approximate smooth random func...

Forschungsgemeinschaft through the SFB 649 "Economic Risk".

Rafał Weron
Auer Straße
D- Berlin

March 2015

A semiparametric factor model for electricity forward curve dynamics Szymon Borak

SFB 649 Discussion Paper 2006-065 Forecasting Euro-Area Variables with German

Ralf Brüggemann
Massimiliano Marcellino
Auer Straße
D- Berlin

January 2006

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

SFB 649 Discussion Paper 2011-003 Mean Volatility Regressions

Lu Lin
Feng Li
Lixing Zhu
Wolfgang Karl Härdle Σ
Auer Straße
D- Berlin

August 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

SFB 649 Discussion Paper 2005-016 Common Functional Component Modelling

Alois Kneip
Michal Benko
Auer Straße
D- Berlin

February 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Nonparametric and Semiparametric Modeling and Estimation of Risk-Neutral Densities

Maria Grith
Melanie Schienle

July 2015

Summary. This chapter deals with nonparametric estimation of the risk neutral density. We present th...

Statistical analysis of dynamic risk neutral density, dynamic cross-sectional distribution and portfolio optimization

October 2019

This dissertation focuses on developing new statistical methods for analyzing and modeling financial...

and Empirical Evidence

Nikolaus Hautsch
Mark Podolskij
Auer Straße
D- Berlin

January 2010

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Parametric estimation of risk neutral density functions

Grith, Maria
Krätschmer, Volker

September 2010

This chapter deals with the estimation of risk neutral distributions for pricing index options resul...

SFB 649 Discussion Paper 2011-020 How Computational Statistics Became the Backbone of Modern Data Science

James E. Gentle
Wolfgang Karl Härdle
Yuichi Mori
Auer Straße
D- Berlin

August 2015

This research was supported by the Deutsche Forschungsgemeinschaft through the SFB 649 "Economi...

Multivariate semi-nonparametric distributions with dynamic conditional correlations

Del Brio, Esther B.
Ñíguez, Trino-Manuel
Perote, Javier

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporatin...

Dynamic semiparametric factor models

Borak, Szymon

July 2008

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen ...

SFB 649 Discussion Paper 2008-038 Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

Abstract

Extracted data

SFB 649 Discussion Paper 2008-038 Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

Abstract

Extracted data

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