Members - Wolfgang Härdle

POSITION AT CILS

PI

 

DISCIPLINES / RESEARCH AREAS

Statistics, Econometrics

 

FELLOWSHIPS / AWARDS

  • Visiting Professor, CentER (Center for Economic Research), Tilburg University (1992)
  • Professeur Ordinaire, CORE (Center for Operations Research and Econometrics), Universite Catholique de Louvain (1990-1992)
  • Visiting Professor, CORE (Center for Operations Research and Econometrics), Universite Catholique de Louvain (1989-1990)

(I) DAAD Scholarship for a Research Exchange in the department of 'Filosophie, Geschiedenis en Etiek', Erasmus M.C. Rotterdam (2002), Max Planck Scholarship for participating in the 'Multicenter Schiziphrenie Querschnittserhebung' in the Max Planck Institute for Experimental Medicine (2007)

SELECTED PUBLICATIONS

  • Borak, S., Härdle, W. and Lopez Cabrera, B. (2010). Solutions to Statistics of Financial Markets Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)
  • 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)
  • Chen, S., Jeong, K. and Härdle, W. (2010). Forecasting Volatility with Support Vector Machine Based GARCH Model, J. Forecasting, forthcoming, doi: 10.1002/for.1134.
  • Detlefsen, K., Härdle, W. and Moro, R. (2010). Empirical Pricing Kernels and Investor Preference, Mathematical Methods in Economics and Finance (ISSN print edition: 1971-6419), 3(1), 19-48.
  • Ritov, Y and Härdle, W. (2010). Investors' preference: Estimating and demixing of the weight function in semiparametric models for biased samples, Statistica Sinica, 20, 771-785.
  • Chen, S., Härdle, W. and Moro, R. (2010). Estimation of Default Probabilities with Support Vector Machines, Quantitative Finance, forthcoming.
  • Zhang, J. L. and Härdle, W. (2010). The Bayesian Additive Classification Tree Applied to Credit Risk Modelling, Computational Statistics and Data Analysis, 54, 1197-1205.
  • Chen, Y., Härdle, W. and Spokoiny, V. (2010). GHICA - Risk Analysis with GH Distributions and Independent Components, Journal of Empirical Finance, 17(2), 255-269, DOI:10.1016/j.jempfin.2009.09.005 .
  • Härdle, W. and Lopez Cabrera, B. (2010). Calibrating CAT bonds for Mexican earthquakes, J. Risk and Insurance, DOI: 10.1111/j.1539-6975.2010.01355.x.
  • Härdle, W. and Okhrin, O. (2010). De Copulis non est disputandum. Copulae: an overview, AStA - Advances in Statistical Analysis, 94(1), 1-31, DOI: 10.1007/s10182-009-0118-1.
  • Härdle, W., and Song, S. (2010). Confidence Bands in Quantile Regression, Econometric Theory, 26, 1-22, DOI:10.1017/S0266466609990491.