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Humboldt-Universität zu Berlin - Statistik

Ladislaus von Bortkiewicz Lehrstuhl Statistik

 



 




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 Raum 402
 
Me in 2D:

 

 

 
"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, RePEc rank statistics and highly cited research

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

  • 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 or  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. Ass. 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.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

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the
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  • 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

 

  • 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

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  • 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



 

  • Härdle, W., Simar, L. (2012) Applied Multivariate Statistical Analysis. 3rd ed., Springer Verlag, Heidelberg. ISBN 978-3-642-17228-1, e-ISBN 978-3-642-17229-8 (539 p), DOI:10.1007/978-3-642-17229-8

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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

 

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  • 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)


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  • Franke, J., Härdle, W., and Hafner, C. (2011) Statistics of Financial Markets: an Introduction. 3rd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-16520-7 (599 p) DOI: 10.1007/978-3-642-16521-4

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  • Borak, S., Härdle, W. and Lopez Cabrera, B. (2010) Statistics of Financial Markets, Exercise and Solutions. Springer Verlag, Heidelberg. ISBN 978-3-642-11133-4, (200 p) DOI: 10.1007/978-3-642-11134-1
    Springer link


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  • 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

  • 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



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  • 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., Hlavka, Z.(2007) Multivariate Statistics: Exercises and Solutions, Springer Verlag, Heidelberg. ISBN  0-387-70784-6 (358 p)

    Springer link



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  • 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., Hlavka, 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.
  • 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)
  • 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.
  • Härdle, W., Hlavka, 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

  • 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)
  • 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)
  • Härdle, W. and Simar, L. (eds.) (1993) Computer Intensive Methods in Statistics. Physica Verlag. ISBN 3-7908-0677-3 (176 p)
  • Härdle, W. (1993) Prikladnaja Neparametricheskaya Regressija. Russian Translation of "Applied Nonparametric Regression", MIR Publishers Moscow. (348 p)
  • Härdle, W. (1991) Smoothing Techniques, with Implementation in S. Springer Verlag, Heidelberg New York. ISBN 3-540-97367-2 (261 p)
  • 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

  • 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

Papers

Publications

  • Härdle, W. and Wang, W. (2014) Principle Volatility Component Analysis (a Discussion). Journal of Business & Economic Statistics, accepted 21.02.2014
  • 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: 10.1016/j.csda.2014.01.002
  • Härdle, W., Hautsch, N. and Mihoci, A. (2014) Local Adaptive Multiplicative Error Models for High-Frequency Forecasts. Journal of Applied Econometrics, DOI: 10.1002/jae.2376
  • 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
  • Guo, M. M. and Härdle, W. (2011) Simultaneous Confidence Band for Expectile Function, Advances in Statistical Analysis, DOI: 10.1007/s10182-011-0182-1
  • Härdle, W. and Osipenko, M. (2011) Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity, Energy Journal Issues, 33(2), 149-170, DOI: 10.5547/01956574.33.2.7
  • Xia, C., Härdle, W. and Zhu, L. (2011) The EFM approach for single index models, Annals of Statistics , 39(3), 1658–1688 DOI: 10.1214/10-AOS871
  • Chen, S., Härdle, W. and Moro, R. (2011) Estimation of Default Probabilities with Support Vector Machines, Quantitative Finance, 11, 135-154, DOI: 10.1080/14697680903410015
  • Chen, Y., Härdle, W. and Pigorsch, U. (2011) Localized Realized Volatility, J. Amer. Stat. Assoc., 105(492), 1376-1393, DOI: 10.1198/jasa.2010.ap09039
  • Chen, S., Härdle, W. and Jeong, K. (2010) Forecasting Volatility with Support Vector Machine Based GARCH Model, J. Forecasting, 29, 406-433, 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. www.dma.unive.it/mmef
  • 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.
  • 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. DOI: 10.1016/j.csda.2009.11.022
  • 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, 77, 625 - 650, 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
  • Giacomoni, E., Härdle,W. and Krätschmer, V. (2009) Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation, AStA - Advances in Statistical Analysis, 93(4), 387-402, DOI: 10.1007/s10182-009-0115-4
  • Cizek, P., Härdle, W., and Spokoiny, V. (2009) Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models, Econometrics Journal, 12(2), 248 - 271, DOI: 10.1111/j.1368-423X.2009.00292.x
  • Tsay, W. J. and Härdle, W. (2009) A Generalized ARFIMA Process with Markov- Switching Fractional Differencing Parameter, J. Statistical Computation and Simulation, 79(5), 731-745, DOI: 10.1080/00949650801910239
  • Benko, M., Härdle, W. and Kneip, A. (2009) Common Functional Principal Components, Annals of Statistics, 37, 1-34. DOI: 10.1214/07-AOS516
  • Borak, S., Fengler, M. and Härdle,W. (2009) Does hedging with implied volatility factors improve the hedging efficiency of barrier options? The Journal of Risk Model Validation, 3(1), 73-92.
  • Härdle, W. and Hlavka, Z (2009) Dynamics of State Price Densities, J. Econometrics, 150(1), 1-15. DOI: 10.1016/j.jeconom.2009.01.005
  • Park, B., Mammen, E., Härdle,W., and. Borak, S., (2009) Time Series Modelling with Semiparametric Factor Dynamic. Journal of the American Statistical Association, 104(485), 284-298. DOI: 10.1198/jasa.2009.0105
  • Giacomini, E., Härdle, W. and Spokoiny, V. (2009) Inhomogeneous Dependency Modelling with Time Varying Copulae, J. Business and Economic Statistics, 27(2), 224-234. DOI: 10.1198/jbes.2009.0016
  • Härdle, W., Lee, Y.J., Schäfer, D. and Yeh, Y.R. (2009) Variable Selection and Oversampling in the Use of Smooth Support Vector Machines for Predicting the Default Risk of Companies. J. Forecasting, 28(6), 512-537. DOI: 10.1002/for.1109

Articles in Proceedings or Equivalent Publications

  • 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., Prastyo, D., and Hafner, C. (2014) Support Vector Machine with Evolutionary Model Selection for Default Prediction, in: The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, Ullah, A., Racine, J., and Su, L. (eds), Oxford University Press
  • 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 (ed), Springer Verlag, forthcoming
  • 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, Elseveier / 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
  • Härdle, W., Prastyo, D. D. and Hafner, Ch. (2012)  Support Vector Machines with evolutionary feature Selection for Default Prediction,  in: Handbook  of Applied Nonparametric and Semi-parametric Econometrics and Statistics, J. Racine, R. Su, and Aman Ullah (eds), Springer Verlag, forthcoming
  • 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.
  • Härdle, W. and Silyakova, E. (2010) Volatility Investing with Variance Swaps. In Handbook of Computational Finance, Duan, Gentle, Härdle, eds., Springer Verlag. also appeared as Härdle, W. and Silyakova, E. (2010) Variance Swaps. Statistical Tools in Finance and Insurance, Cizek, Härdle, Weron, Springer Verlag.
  • Klinke, S., Mihoci, A., Härdle, W. (2010) Exploratory factor analysis in Mplus, R and SPSS. ICOTS-8 Conference Proceedings on CD. Session 4F: Sensible use of multivariate software, ISBN 978-90-77713-54-9.
  • Härdle, W. and Kirchner, Ch. (2010) Quantifizierbarkeit von Risiken auf Finanzmärkten? In Sicherheit und Risiko. Über den Umgang mit Gefahr im 21. Jahrhundert, hrsg. v. H. Münkler, M. Bohlender, S. Meurer, Bielefeld: transcript, 171-184.
  • Choroś, B., Härdle, W. and Okhrin, O. (2009). CDO Pricing with Copulae. In Bulletin of the International Statistical Institute, 57th Session Durban Vol. 57. Bulletin of the International Statistical Institute
  • Härdle, W. and Mysickova, A. (2009) Numerics of Implied Binomial Trees, in Applied Quantitative Finance (2nd. Edition) W. Härdle, N. Hautsch, L. Overbeck (eds), Springer Verlag
  • Härdle, W. , Okhrin, O. and Okhrin, Y. (2009) Modeling Dependencies in Finance using Copulae,in Applied Quantitative Finance (2nd. Edition) W. Härdle, N. Hautsch, L. Overbeck (eds), Springer Verlag.
  • Härdle, W. , Hautsch, N. and Pigorsch, U. (2009) Measuring and Modeling Risk Using High-Frequency Data,in Applied Quantitative Finance (2nd. Edition) W. Härdle, N. Hautsch, L. Overbeck (eds), Springer Verlag.

All Publications

WISE (XMU)

 

It took some effort to teach this fish to say "statistics"                  Newspaper

 

 

Lectures & Presentations

 

 

Confidence Corridors for Multivariate Generalized Quantile Regression
TENET: Tail-Event-Driven Network Risk
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
Tail Event Driven Asset Allocation - TEDAS
alt Option Implied Stock Return Distributions
alt Pricing Chinese Rain
alt CDO Surface Dynamics
alt Adaptive Forward Intensities
alt Elliptical Distributions in High Dimensions
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 Estimating Pricing Kernel via Series Methods
alt Partial Linear Quantile Regression and Bootstrap Confidence Bands
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 Localized Realized Volatility Modeling
alt Time Varying Hierarchical Archimedean Copulae
alt Pensions,Lotteries,Financial Markets: Measuring Statistical Risk
alt Valuation of Collateralized Debt Obligations alt alt alt
alt Modern e-Learning Techniques for Statistics
alt Empirical Pricing Kernels and Investors' Preferences
alt The Stochastic Fluctuation of the Quantile Regression Curve
alt Using R, LaTeX and Wiki for an Arabic e-learning platform
alt Calibrating CAT Bonds for Mexican Earthquakes
alt Risk Premiums for CO2 Emission Allowances in the EEX Market alt
alt Variance Swap Dynamics
alt Was ist Statistik?