Wolfgang Karl Härdle : Citation Profile


Are you Wolfgang Karl Härdle?

Humboldt-Universität Berlin (20% share)
Humboldt-Universität Berlin (20% share)
Humboldt-Universität Berlin (20% share)
Humboldt-Universität Berlin (20% share)

26

H index

71

i10 index

2757

Citations

RESEARCH PRODUCTION:

111

Articles

374

Papers

1

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   34 years (1984 - 2018). See details.
   Cites by year: 81
   Journals where Wolfgang Karl Härdle has often published
   Relations with other researchers
   Recent citing documents: 274.    Total self citations: 174 (5.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phr5
   Updated: 2019-02-13    RAS profile: 2018-09-12    
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Relations with other researchers


Works with:

Mihoci, Andrija (5)

Chao, Shih-Kang (5)

López Cabrera, Brenda (4)

Trimborn, Simon (3)

Yang, Lijian (3)

Grith, Maria (3)

Choros-Tomczyk, Barbara (3)

Burdejová, Petra (3)

Stahlschmidt, Stephan (3)

Borke, Lukas (3)

Heekeren, Hauke (2)

Wang, Weining (2)

Prastyo, Dedy (2)

Nasekin, Sergey (2)

Song, Song (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wolfgang Karl Härdle.

Is cited by:

Weron, Rafał (70)

LINTON, OLIVER (69)

GUPTA, RANGAN (54)

GAO, Jiti (37)

Fengler, Matthias (36)

Sperlich, Stefan (35)

Balcilar, Mehmet (34)

Horst, Ulrich (34)

Hafner, Christian (33)

Schienle, Melanie (32)

Climent Hernández, José (30)

Cites to:

Engle, Robert (46)

Diebold, Francis (45)

Ait-Sahalia, Yacine (43)

Lo, Andrew (35)

Bollerslev, Tim (35)

Fengler, Matthias (33)

Mammen, Enno (33)

Hautsch, Nikolaus (32)

LINTON, OLIVER (30)

Fan, Jianqing (23)

López Cabrera, Brenda (23)

Main data


Where Wolfgang Karl Härdle has published?


Journals with more than one article published# docs
Journal of Multivariate Analysis11
Computational Statistics & Data Analysis8
Journal of Econometrics8
Journal of the American Statistical Association6
Econometric Theory6
Computational Statistics6
AStA Advances in Statistical Analysis5
Journal of Financial Econometrics5
Journal of Empirical Finance3
Statistics & Risk Modeling3
Quantitative Finance3
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Psychometrika2
Scandinavian Journal of Statistics2
Journal of Applied Statistics2
International Statistical Review2
Journal of Forecasting2
Journal of Business & Economic Statistics2
Metrika: International Journal for Theoretical and Applied Statistics2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany182
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes92
Working Papers / Department of Economics, City University London4
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística4
Papers / Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)4
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2
HSC Research Reports / Hugo Steinhaus Center, Wroclaw University of Technology2

Recent works citing Wolfgang Karl Härdle (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2018Liquid milk: Cash Constraints and Recurring Savings among Dairy Farmers in Kenya. (2018). Janssens, Wendy ; Kramer, Berber ; Geng, Xin. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273823.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2017Zipfs law for share price and company fundamentals. (2017). Kaizoji, Taisei ; Miyano, Michiko . In: Papers. RePEc:arx:papers:1702.00144.

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2018News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2018Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Zeng, Yaxiong ; Klabjan, Diego. In: Papers. RePEc:arx:papers:1706.01833.

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2017Forecasting the U.S. Real House Price Index. (2017). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis. In: Papers. RePEc:arx:papers:1707.04868.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Bechler, Kyle ; Ludkovski, Michael. In: Papers. RePEc:arx:papers:1708.02715.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2018Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904.

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2018State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248.

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2018Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2018An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions. (2018). van Zyl, Martin J. In: Papers. RePEc:arx:papers:1811.00476.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2018Nonparametric Analysis of Finite Mixtures. (2018). Kitamura, Yuichi ; Laage, Louise. In: Papers. RePEc:arx:papers:1811.02727.

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2018The Price of BitCoin: GARCH Evidence from High Frequency Data. (2018). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Papers. RePEc:arx:papers:1812.09452.

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2019A Probabilistic Approach to Nonparametric Local Volatility. (2019). Tegn, Martin ; Roberts, Stephen. In: Papers. RePEc:arx:papers:1901.06021.

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2018PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:74-87.

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2017Quantile Regression on Quantile Ranges – A Threshold Approach. (2017). Kuan, Chung-Ming ; Xiao, Zhijie ; Michalopoulos, Christos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:99-119.

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2017Adaptive Estimation in Multiple Time Series With Independent Component Errors. (2017). Rao, Tata Subba ; Taylor, L ; Robinson, P M ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:191-203.

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2018Testing the CVAR in the Fractional CVAR Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849.

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2017Estimation and Inference Procedures for Semiparametric Distribution Models with Varying Linear-Index. (2017). Huang, Ming-Yueh ; Chiang, Chin-Tsang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:2:p:396-424.

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2017A Semiparametric Regression Model for Longitudinal Data with Non-stationary Errors. (2017). Li, Rui ; You, Jinhong ; Leng, Chenlei. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:4:p:932-950.

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2018A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter. (2018). Heni, Boubaker. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:1:p:20:n:1.

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2018High Dimensional Semiparametric Moment Restriction Models. (2018). Dong, C ; Linton, O ; Gao, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1881.

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2017Likelihood inference on semiparametric models: Average derivative and treatment effect. (2017). Otsu, Taisuke ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:592.

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2018Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7137.

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2018ECB interventions in distressed sovereign debt markets: The case of Greek bonds. (2018). Trebesch, Christoph ; Zettelmeyer, Jeromin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12635.

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2018Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13020.

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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017Forecasting the distributions of hourly electricity spot prices. (2017). Pape, Christian ; Weber, Christoph ; Woll, Oliver ; Vogler, Arne . In: EWL Working Papers. RePEc:dui:wpaper:1705.

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2018Foreign-law bonds: can they reduce sovereign borrowing costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: Working Paper Series. RePEc:ecb:ecbwps:20182162.

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2017Pricing and simulating catastrophe risk bonds in a Markov-dependent environment. (2017). Shao, Jia ; Pantelous, Athanasios A ; Papaioannou, Apostolos D. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:309:y:2017:i:c:p:68-84.

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2018Empirical likelihood based inference for generalized additive partial linear models. (2018). Yu, Zhuoxi ; Parmar, Milan ; Yang, Kai. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:339:y:2018:i:c:p:105-112.

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2017A Modelica library for the agent-based control of building energy systems. (2017). Bunning, Felix ; Muller, Dirk ; Sangi, Roozbeh. In: Applied Energy. RePEc:eee:appene:v:193:y:2017:i:c:p:52-59.

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2017Model free feature screening for ultrahigh dimensional data with responses missing at random. (2017). Lai, Peng ; Wan, YI ; Liu, Zhi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:201-216.

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2017Robust estimation in partially linear errors-in-variables models. (2017). Bianco, Ana M ; Spano, Paula M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:46-64.

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2017Partial projective resampling method for dimension reduction: With applications to partially linear models. (2017). Hilafu, Haileab ; Wu, Wenbo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:1-14.

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2017Inference for biased transformation models. (2017). ZHU, LI XING ; Wang, Tao ; Zhao, Junlong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:105-120.

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2017An SVM-like approach for expectile regression. (2017). Steinwart, Ingo ; Farooq, Muhammad. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:159-181.

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2017D-vine copula based quantile regression. (2017). Kraus, Daniel ; Czado, Claudia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:1-18.

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2017Generalized partially linear regression with misclassified data and an application to labour market transitions. (2017). Wilke, Ralf ; Dlugosz, Stephan ; Mammen, Enno. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:145-159.

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2017Parsimonious and powerful composite likelihood testing for group difference and genotype–phenotype association. (2017). Huang, Zhendong ; Qian, Guoqi ; Ferrari, Davide . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:37-49.

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2017Estimation and hypothesis test on partial linear models with additive distortion measurement errors. (2017). Zhang, Jun ; Yu, Yao ; Lin, Bingqing ; Zhou, Yan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:114-128.

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2017T-optimal discriminating designs for Fourier regression models. (2017). Dette, Holger ; Shpilev, Petr ; Melas, Viatcheslav B. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:113:y:2017:i:c:p:196-206.

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2017Robust estimators under a functional common principal components model. (2017). Bali, Juan Lucas ; Boente, Graciela. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:113:y:2017:i:c:p:424-440.

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2017Estimation of partially linear regression models under the partial consistency property. (2017). CUI, XIA ; Peng, Heng ; Lu, Ying. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:103-121.

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2018Optimal QR-based estimation in partially linear regression models with correlated errors using GCV criterion. (2018). Roozbeh, Mahdi . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:117:y:2018:i:c:p:45-61.

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2018Time-dynamic varying coefficient models for longitudinal data. (2018). Lee, Kyeong Eun ; Yang, Seong J ; Park, Byeong U. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:123:y:2018:i:c:p:50-65.

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2018Semiparametric double robust and efficient estimation for mean functionals with response missing at random. (2018). Guo, XU ; Zhu, Lixing ; Xu, Wangli ; Fang, Yun . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:325-339.

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2018Estimation and hypothesis test for partial linear multiplicative models. (2018). Zhang, Jun ; Peng, Heng ; Feng, Zhenghui. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:87-103.

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2019Two-step estimation of time-varying additive model for locally stationary time series. (2019). Hu, Lixia ; You, Jinhong ; Huang, Tao. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:130:y:2019:i:c:p:94-110.

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2017The welfare gains from macro-insurance against natural disasters. (2017). Jeanne, Olivier ; Cavallo, Eduardo ; Borensztein, Eduardo. In: Journal of Development Economics. RePEc:eee:deveco:v:124:y:2017:i:c:p:142-156.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2018Local volatility and the recovery rate of credit default swaps. (2018). Jansen, Jeroen ; Fabozzi, Frank J ; Das, Sanjiv R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:1-29.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2018Binary choice model with interactive effects. (2018). Xue, Sen ; Zhou, Qiankun ; Yang, Thomas Tao . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:338-350.

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2017A comparison study of pricing credit default swap index tranches with convex combination of copulae. (2017). Okhrin, Ostap ; Fei, YA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:193-217.

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2018OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach. (2018). GUPTA, RANGAN ; Yoon, Seong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:206-214.

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2017What drives the sensitivity of limit order books to company announcement arrivals?. (2017). Siikanen, Milla ; Luoma, Arto ; Kanniainen, Juho. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:65-68.

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2018Forecasting the yield curve using a dynamic natural cubic spline model. (2018). Feng, Pan ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Tauchen, George ; Li, Jia ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Additive nonparametric models with time variable and both stationary and nonstationary regressors. (2018). LINTON, OLIVER ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:212-236.

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2019Tail event driven networks of SIFIs. (2019). Chen, Cathy Yi-Hsuan ; Okhrin, Yarema ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:282-298.

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2017Change point and trend analyses of annual expectile curves of tropical storms. (2017). Xiong, Q ; Burdejova, P ; Kokoszka, P ; Hardle, W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:101-117.

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2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

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2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

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2018Covariates missing at random under signed-rank inference. (2018). Bindele, Huybrechts F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:78-93.

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2018Geopolitical risks and stock market dynamics of the BRICS. (2018). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bonato, Matteo. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:2:p:295-306.

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2018Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18.

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2018Systemic risk network of Chinese financial institutions. (2018). Fang, Libing ; Yu, Honghai ; Li, Huijing ; Sun, Boyang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:190-206.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Modelling market implied ratings using LASSO variable selection techniques. (2018). Sermpinis, Georgios ; Zhang, Ping ; Tsoukas, Serafeim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:19-35.

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2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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2018CRIX an Index for cryptocurrencies. (2018). Trimborn, Simon ; Hardle, Wolfgang Karl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:107-122.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2017Electricity price modeling with stochastic time change. (2017). Borovkova, Svetlana ; Schmeck, Maren Diane . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:51-65.

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2018Oil returns and volatility: The role of mergers and acquisitions. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Risk spillover of international crude oil to Chinas firms: Evidence from granger causality across quantile. (2018). Peng, Cheng ; Chen, Xiuyun ; Guo, Yawei ; Zhu, Huiming. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:188-199.

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2018A Markov switching long memory model of crude oil price return volatility. (2018). Di Sanzo, Silvestro . In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:351-359.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2017A meta-analysis on the price elasticity of energy demand. (2017). Labeaga, Jose ; Lopez-Otero, Xiral ; Labandeira, Xavier. In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:549-568.

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2017Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test. (2017). Balcilar, Mehmet ; Babalos, Vassilios. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:126-131.

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2017Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic. (2017). Siikanen, Milla ; Valli, Jaakko ; Kanniainen, Juho. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:264-271.

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2018On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach. (2018). Shahbaz, Muhammad ; Das, Debojyoti ; Hasim, Haslifah M ; Tiwari, Aviral Kumar ; Kumar, Surya Bhushan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:169-174.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2018Cooperation in partly observable networked markets. (2018). Fainmesser, Itay P ; Goldberg, David A. In: Games and Economic Behavior. RePEc:eee:gamebe:v:107:y:2018:i:c:p:220-237.

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2018Foreign-law bonds: Can they reduce sovereign borrowing costs?. (2018). Chamon, Marcos ; Trebesch, Christoph ; Schumacher, Julian. In: Journal of International Economics. RePEc:eee:inecon:v:114:y:2018:i:c:p:164-179.

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2018Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133.

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2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

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2017Robust estimators in semi-functional partial linear regression models. (2017). Vahnovan, Alejandra ; Boente, Graciela. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:59-84.

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2017Improved estimation of fixed effects panel data partially linear models with heteroscedastic errors. (2017). Zhou, Xian ; Hu, Jianhua ; You, Jinhong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:96-111.

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More than 100 citations found, this list is not complete...

Wolfgang Karl Härdle has edited the books:


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Works by Wolfgang Karl Härdle:


YearTitleTypeCited
2008Calibration of Parametric CAT bonds. A case study of Mexican earthquakes In: Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften.
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article0
2007Calibrating CAT bonds for Mexican earthquakes In: 101st Seminar, July 5-6, 2007, Berlin Germany.
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paper12
2010Calibrating CAT Bonds for Mexican Earthquakes.(2010) In: Journal of Risk & Insurance.
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article
2007Calibrating CAT bonds for Mexican earthquakes.(2007) In: SFB 649 Discussion Papers.
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paper
2006Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration In: Journal of the American Statistical Association.
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article9
2005Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration.(2005) In: SFB 649 Discussion Papers.
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paper
2002Estimation and testing for varying coefficients in additive models with marginal integration.(2002) In: SFB 373 Discussion Papers.
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paper
2008Nonparametric Risk Management With Generalized Hyperbolic Distributions In: Journal of the American Statistical Association.
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article14
2009Time Series Modelling With Semiparametric Factor Dynamics In: Journal of the American Statistical Association.
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article27
2007Time Series Modelling with Semiparametric Factor Dynamics.(2007) In: SFB 649 Discussion Papers.
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2010Localized Realized Volatility Modeling In: Journal of the American Statistical Association.
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article20
2009Localized Realized Volatility Modelling.(2009) In: SFB 649 Discussion Papers.
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paper
2001Structural Tests in Additive Regression In: Journal of the American Statistical Association.
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article6
2000Structural tests in additive regression.(2000) In: DES - Working Papers. Statistics and Econometrics. WS.
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paper
2004Semiparametric Regression Analysis With Missing Response at Random In: Journal of the American Statistical Association.
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article45
2003Semiparametric regression analysis with missing response at random.(2003) In: CeMMAP working papers.
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paper
2009Inhomogeneous Dependence Modeling with Time-Varying Copulae In: Journal of Business & Economic Statistics.
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article36
2006Inhomogeneous Dependency Modelling with Time Varying Copulae.(2006) In: SFB 649 Discussion Papers.
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paper
2007On the Utility of E-Learning in Statistics In: International Statistical Review.
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article1
2007On the Utility of E-Learning in Statistics.(2007) In: SFB 649 Discussion Papers.
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paper
2015Ladislaus von Bortkiewicz—Statistician, Economist and a European Intellectual In: International Statistical Review.
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article0
2014Ladislaus von Bortkiewicz - statistician, economist, and a European intellectual.(2014) In: SFB 649 Discussion Papers.
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paper
2003An empirical likelihood goodness-of-fit test for time series In: Journal of the Royal Statistical Society Series B.
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article26
2000An empirical likelihood goodness-of-fit test for time series.(2000) In: SFB 373 Discussion Papers.
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paper
1999Testing a Regression Model When We Have Smooth Alternatives in Mind In: Scandinavian Journal of Statistics.
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article2
1998Testing a Regression Model when we Have Smooth Alternatives in Mind.(1998) In: Catholique de Louvain - Institut de statistique.
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paper
2016An Extended Single-index Model with Missing Response at Random In: Scandinavian Journal of Statistics.
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article1
2014An Extended Single Index Model with Missing Response at Random.(2014) In: SFB 649 Discussion Papers.
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paper
2013Dynamic structured copula models In: Statistics & Risk Modeling.
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article1
2016Implied basket correlation dynamics In: Statistics & Risk Modeling.
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article1
2012Implied Basket Correlation Dynamics.(2012) In: SFB 649 Discussion Papers.
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2017Company rating with support vector machines In: Statistics & Risk Modeling.
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article0
2003Semiparametric Regression Analysis under Imputation for Missing Response Data In: STICERD - Econometrics Paper Series.
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paper0
2003Semiparametric regression analysis under imputation for missing response data.(2003) In: LSE Research Online Documents on Economics.
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2002Semiparametric regression analysis under imputation for missing response data.(2002) In: SFB 373 Discussion Papers.
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2009Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator In: STICERD - Econometrics Paper Series.
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paper0
2009Optimal smoothing for a computationally and statistically efficient single index estimator.(2009) In: LSE Research Online Documents on Economics.
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paper
2009Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator.(2009) In: SFB 649 Discussion Papers.
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paper
1989BOOTSTRAP SIMULTANEOUS ERROR BARS FOR NONPARAMETRIC REGRESSION In: CORE Discussion Papers.
[Citation analysis]
paper11
1989SIMPLE FORMULAE FOR STEPS AND LIMITS IN THE BACKFITTING ALGORITHM In: CORE Discussion Papers.
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paper0
1990Regression smoothing parameters that are not far from their optimum In: CORE Discussion Papers.
[Citation analysis]
paper5
1992Regression smoothing parameters that are not far from their optimum.(1992) In: CORE Discussion Papers RP.
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paper
1990Kernel estimation: the equivalent spline smoothing method In: CORE Discussion Papers.
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paper0
1994Kernel Estimation: the Equivalent Spline-Smoothing Method.(1994) In: SFB 373 Discussion Papers.
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paper
1990Cross section Engel curves over time In: CORE Discussion Papers.
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paper17
1991Cross section Engel curves over time.(1991) In: CORE Discussion Papers RP.
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paper
1991Cross section Engel Curves over Time.(1991) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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paper
1990Remarks on sliced inverse regression In: CORE Discussion Papers.
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paper0
1990Robust locally adaptive nonparametric regression In: CORE Discussion Papers.
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paper1
1992Robust locally adaptive non-parametric regression.(1992) In: CORE Discussion Papers RP.
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1990Kernel regression smoothing of time series In: CORE Discussion Papers.
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paper7
1992Kernel regression smoothing of time series.(1992) In: CORE Discussion Papers RP.
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1990Bootstrap confidence bands In: CORE Discussion Papers.
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paper0
1990Bootstrap confidence bands.(1990) In: CORE Discussion Papers RP.
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1990Smoothing by weighted averaging of rounded points In: CORE Discussion Papers.
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paper3
1992Smoothing by weighted averaging of rounded points.(1992) In: CORE Discussion Papers RP.
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1990Bootstarp Methods in Nonparametric Regression In: CORE Discussion Papers.
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paper3
1991Bootstrap methods in nonparametric regression.(1991) In: CORE Discussion Papers RP.
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1990A bootstrap test for positive definiteness of income effect matrices In: CORE Discussion Papers.
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paper4
1992A bootstrap test for positive definiteness of income effect matrices.(1992) In: CORE Discussion Papers RP.
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paper
1992A Bootstrap Test for Positive Definiteness of Income Effect Matrices.(1992) In: Econometric Theory.
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article
1990On bootstrapping kernel spectralestimates In: CORE Discussion Papers.
[Citation analysis]
paper7
1990Comparing nonparametric versus parametric regression fits. In: CORE Discussion Papers.
[Citation analysis]
paper60
1990How many terms should be added into an additive model ? In: CORE Discussion Papers.
[Citation analysis]
paper0
1990Optimal Median Smoothing. In: CORE Discussion Papers.
[Citation analysis]
paper0
1994Optimal Median Smoothing.(1994) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1991Optimal smoothing in single index models. In: CORE Discussion Papers.
[Citation analysis]
paper15
1991On teh inconsistency of bootstrap distribution estimators. In: CORE Discussion Papers.
[Citation analysis]
paper7
1993On the inconsistency of bootstrap distribution estimators.(1993) In: CORE Discussion Papers RP.
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paper
1993On the inconsistency of bootstrap distribution estimators.(1993) In: Computational Statistics & Data Analysis.
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article
1991Iterated bootstrap with applications to frontier models. In: CORE Discussion Papers.
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paper5
1995Iterated bootstrap with applications to frontier models.(1995) In: CORE Discussion Papers RP.
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paper
1993Iterated bootstrap with applications to frontier models..(1993) In: Statistic und Oekonometrie.
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paper
1991On the choice of Kernel regression estimators : a discussion In: CORE Discussion Papers.
[Citation analysis]
paper0
1991On an efficient smoothing parameter selector proposed by Hall and Johnstone In: CORE Discussion Papers.
[Citation analysis]
paper0
1991Fast and simple scatterplot smoothing In: CORE Discussion Papers.
[Citation analysis]
paper4
1995Fast and simple scatterplot smoothing.(1995) In: Computational Statistics & Data Analysis.
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article
1993Fast and simple scatterplot smoothing..(1993) In: Statistic und Oekonometrie.
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paper
1994Fast and Simple Scatterplot Smoothing.(1994) In: SFB 373 Discussion Papers.
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paper
1991How sensitive are average derivates ? In: CORE Discussion Papers.
[Citation analysis]
paper17
1993How sensitive are average derivatives?.(1993) In: Journal of Econometrics.
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article
1992How Sensitive are Average Derivatives?.(1992) In: Tilburg - Center for Economic Research.
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paper
1992How sensitive are average derivatives?.(1992) In: Discussion Paper.
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paper
1991Bandwidth choice for average derivative estimation In: CORE Discussion Papers.
[Citation analysis]
paper9
1992Bandwith choice for average derivative estimation.(1992) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
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paper
1991Better Bootstrap Confidence Intervals for Regression Curve Estimation. In: CORE Discussion Papers.
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paper2
1992Applied nonparametric methods In: CORE Discussion Papers.
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paper268
1994Applied Nonparametric Methods.(1994) In: Cowles Foundation Discussion Papers.
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paper
1986Applied nonparametric methods.(1986) In: Handbook of Econometrics.
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chapter
1992Applied Nonparametric Methods..(1992) In: Catholique de Louvain - Institut de statistique.
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paper
1992Applied Nonparametric Methods..(1992) In: Tilburg - Center for Economic Research.
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paper
1992Applied Nonparametric Methods.(1992) In: Discussion Paper.
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paper
1992Testing increasing dispersion In: CORE Discussion Papers.
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1995Testing increasing dispersion.(1995) In: Computational Statistics & Data Analysis.
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article
1993Testing increasing dispersion..(1993) In: Statistic und Oekonometrie.
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paper
1994Testing increasing dispersion.(1994) In: SFB 373 Discussion Papers.
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1992Nonparametric approaches to generalized linear models In: CORE Discussion Papers.
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paper1
1993A Bootstrap Test for Single Index Models In: CORE Discussion Papers.
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paper1
2005A Bootstrap Test for Single Index Models.(2005) In: Econometrics.
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2000A bootstrap test for single index models.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 1
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1997Discrete time option pricing with flexible volatility estimation In: CORE Discussion Papers.
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paper19
2000Discrete time option pricing with flexible volatility estimation.(2000) In: CORE Discussion Papers RP.
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paper
2000Discrete time option pricing with flexible volatility estimation.(2000) In: Finance and Stochastics.
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article
1997Discrete time option pricing with flexible volatility estimation.(1997) In: SFB 373 Discussion Papers.
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1994On efficient estimation of an averaged derivative In: CORE Discussion Papers RP.
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paper0
1990Semiparametric comparison of regression curves In: CORE Discussion Papers RP.
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paper12
1991Biased crossvalidation for a kernel regression estimator and its derivatives In: CORE Discussion Papers RP.
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1990Bandwith choice for density derivatives In: CORE Discussion Papers RP.
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paper2
1991Bootstrap simultaneous error for nonparametric regression In: CORE Discussion Papers RP.
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paper0
1991Empirical evidence on the law of demand In: CORE Discussion Papers RP.
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paper44
1991Empirical Evidence on the Law of Demand..(1991) In: Econometrica.
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1991COment on Choosing a kernel regression estimator, by C.K. Ghu and J.S. Marron In: CORE Discussion Papers RP.
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2000Bootstrap inference in semiparametric generalized additive models In: DES - Working Papers. Statistics and Econometrics. WS.
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paper24
2001Bootstrap Inference in Semiparametric Generalized Additive Models..(2001) In: Finance Working Papers.
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2000Derivative estimation and testing in generalized additive models In: DES - Working Papers. Statistics and Econometrics. WS.
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1998Integration and Backfitting methods in additive models: finite sample properties and comparison In: DES - Working Papers. Statistics and Econometrics. WS.
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1999Integration and backfitting methods in additive models-finite sample properties and comparison.(1999) In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2016Estimation of NAIRU with In ation Expectation Data In: Working Papers.
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2015Estimation of NAIRU with Inflation Expectation Data.(2015) In: SFB 649 Discussion Papers.
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2016Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach In: Working Papers.
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2015Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach.(2015) In: SFB 649 Discussion Papers.
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2016Time Varying Quantile Lasso In: Working Papers.
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2016Time Varying Quantile Lasso.(2016) In: SFB 649 Discussion Papers.
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2018LASSO-Driven Inference in Time and Space In: Working Papers.
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1992Applied Nonparametric Regression In: Cambridge Books.
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1994Testing a Parametric Model Against a Semiparametric Alternative In: Econometric Theory.
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1992Testing a Parametric Model Against a Semiparametric Alternative.(1992) In: Discussion Paper.
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1992Testing a Parametric Model Against a Semiparametric Alternative..(1992) In: Working Papers.
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2010CONFIDENCE BANDS IN QUANTILE REGRESSION In: Econometric Theory.
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2012CONFIDENCE BANDS IN QUANTILE REGRESSION–Corrigendum In: Econometric Theory.
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2012A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE In: Econometric Theory.
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2008A Consistent Nonparametric Test for Causality in Quantile.(2008) In: SFB 649 Discussion Papers.
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2015HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE In: Econometric Theory.
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2004Support Vector Machines: eine neue Methode zum Rating von Unternehmen In: DIW Wochenbericht.
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2004Rating Companies with Support Vector Machines In: Discussion Papers of DIW Berlin.
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2007The Default Risk of Firms Examined with Smooth Support Vector Machines In: Discussion Papers of DIW Berlin.
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2008The Default Risk of Firms Examined with Smooth Support Vector Machines.(2008) In: SFB 649 Discussion Papers.
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2003Transactions That Did Not Happen and Their Influence on Prices In: Royal Economic Society Annual Conference 2003.
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2005Transactions that did not happen and their influence on prices.(2005) In: Journal of Economic Behavior & Organization.
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2002Transactions that did not happen and their influence on prices.(2002) In: SFB 373 Discussion Papers.
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2000Time Inhomogeneous Multiple Volatility Modelling In: Econometric Society World Congress 2000 Contributed Papers.
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2003Time Inhomogeneous Multiple Volatility Modeling.(2003) In: Journal of Financial Econometrics.
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2001Time inhomogeneous multiple volatility modelling.(2001) In: SFB 373 Discussion Papers.
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2009Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models In: Econometrics Journal.
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2018Multivariate factorizable expectile regression with application to fMRI data In: Computational Statistics & Data Analysis.
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2006Robust estimation of dimension reduction space In: Computational Statistics & Data Analysis.
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2005Robust estimation of dimension reduction space.(2005) In: SFB 649 Discussion Papers.
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2005Robust Estimation of Dimension Reduction Space.(2005) In: Discussion Paper.
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2008Smoothed L-estimation of regression function In: Computational Statistics & Data Analysis.
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2006Smoothed L-estimation of Regression Function.(2006) In: Discussion Paper.
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2002Smoothed L-estimation of regression function.(2002) In: SFB 373 Discussion Papers.
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2010The Bayesian Additive Classification Tree applied to credit risk modelling In: Computational Statistics & Data Analysis.
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2008The Bayesian Additive Classification Tree Applied to Credit Risk Modelling.(2008) In: SFB 649 Discussion Papers.
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2014TVICA—Time varying independent component analysis and its application to financial data In: Computational Statistics & Data Analysis.
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2011TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data.(2011) In: SFB 649 Discussion Papers.
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2006Nonparametric state price density estimation using constrained least squares and the bootstrap In: Journal of Econometrics.
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2009Dynamics of state price densities In: Journal of Econometrics.
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2005Dynamics of State Price Densities.(2005) In: SFB 649 Discussion Papers.
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2016TENET: Tail-Event driven NETwork risk In: Journal of Econometrics.
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2014TENET: Tail-Event driven NETwork risk.(2014) In: SFB 649 Discussion Papers.
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1993Nonparametric and semiparametric approaches to discrete response analysis In: Journal of Econometrics.
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1995Nonclassical demand : A model-free examination of price-quantity relations in the Marseille fish market In: Journal of Econometrics.
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