Search Results - "Karl, Wolfgang"

TENET: Tail-Event driven NETwork risk by Härdle, Wolfgang Karl, Wang, Weining, Yu, Lining

“…CoVaR is a measure for systemic risk of the networked financial system conditional on institutions being under distress. The analysis of systemic risk is the…”
Get full text

CRIX an Index for cryptocurrencies by Trimborn, Simon, Härdle, Wolfgang Karl

Get full text

Network quantile autoregression by Zhu, Xuening, Wang, Weining, Wang, Hansheng, Härdle, Wolfgang Karl

“…The complex tail dependency structure in a dynamic network with a large number of nodes is an important object to study. We propose a network quantile…”
Get full text

Antisocial online behavior detection using deep learning by Zinovyeva, Elizaveta, Härdle, Wolfgang Karl, Lessmann, Stefan

“…Digitalization shifts human communication to online platforms, which has many benefits but also builds up a space for antisocial online behavior (AOB) such as…”
Get full text

VCRIX — A volatility index for crypto-currencies by Kim, Alisa, Trimborn, Simon, Härdle, Wolfgang Karl

“…Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While…”
Get full text

Data-driven support for policy and decision-making in university research management: A case study from Germany by Zharova, Alona, Härdle, Wolfgang Karl, Lessmann, Stefan

“…•We examine the relationship between funds, publications, citations and academic age.•We analyze individual-level data from a German university from 2001 to…”
Get full text

LASSO-driven inference in time and space by Chernozhukov, Victor, Karl Härdle, Wolfgang, Huang, Chen, Wang, Weining

“…We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in…”
Get full text

Improving crime count forecasts using Twitter and taxi data by Vomfell, Lara, Härdle, Wolfgang Karl, Lessmann, Stefan

“…Crime prediction is crucial to criminal justice decision makers and efforts to prevent crime. The paper evaluates the explanatory and predictive value of human…”
Get full text

Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach by Trimborn, Simon, Li, Mingyang, Härdle, Wolfgang Karl

“…Abstract Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low…”
Get full text

A Time-Varying Network for Cryptocurrencies by Guo, Li, Härdle, Wolfgang Karl, Tao, Yubo

“…Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these…”
Get full text

Single-Index-Based CoVaR With Very High-Dimensional Covariates by Fan, Yan, Härdle, Wolfgang Karl, Wang, Weining, Zhu, Lixing

“…Systemic risk analysis reveals the interdependencies of risk factors especially in tail event situations. In applications the focus of interest is on capturing…”
Get full text

Tail event driven networks of SIFIs by Chen, Cathy Yi-Hsuan, Härdle, Wolfgang Karl, Okhrin, Yarema

“…The interdependence, dynamics and riskiness of financial institutions are the key features frequently tackled in financial econometrics. We propose a Tail…”
Get full text

Toxic or Otherwise Harmful Algae and the Built Environment by Hofbauer, Wolfgang Karl

“…This article gives a comprehensive overview on potentially harmful algae occurring in the built environment. Man-made structures provide diverse habitats where…”
Get full text

Shapley Curves: A Smoothing Perspective by Miftachov, Ratmir, Keilbar, Georg, Härdle, Wolfgang Karl

Get full text

Investing with cryptocurrencies - evaluating their potential for portfolio allocation strategies by Petukhina, Alla, Trimborn, Simon, Härdle, Wolfgang Karl, Elendner, Hermann

“…Cryptocurrencies (CCs) have risen rapidly in market capitalization over the past years. Despite striking volatility, their high average returns and low…”
Get full text

Imputed quantile tensor regression for near-sited spatial-temporal data by Liang, Jinwen, Härdle, Wolfgang Karl, Tian, Maozai

“…Modern spatial temporal data are collected from sensor networks. Missing data problems are common for this kind of data. Making robust and accurate imputation…”
Get full text

SONIC: SOcial Network analysis with Influencers and Communities by Chen, Cathy Yi-Hsuan, Härdle, Wolfgang Karl, Klochkov, Yegor

“…The integration of social media characteristics into an econometric framework requires modeling a high dimensional dynamic network with dimensions of parameter…”
Get full text

Financial Risk Meter for emerging markets by Ben Amor, Souhir, Althof, Michael, Härdle, Wolfgang Karl

“…•We select the 25 biggest FIs in the BRIMST according to their market capitalization.•The FRM captures the tail event co-movements between the FIs and the…”
Get full text

Robustifying Markowitz by Petukhina, Alla, Klochkov, Yegor, Härdle, Wolfgang Karl, Zhivotovskiy, Nikita

“…Markowitz mean–variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample…”
Get full text

Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics by Chen, Cathy Yi-Hsuan, Chiang, Thomas C., Härdle, Wolfgang Karl

“…Any risk-return tradeoff analysis in aggregate equity markets relies on appropriate measures of risk, in most studies based on (co-)variance relations…”
Get full text