Wolfgang Karl Härdle
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View article: Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach
Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach Open
Modeling stock returns and option pricing in the presence of jumps remains a central challenge in financial economics. This paper employs a novel score-driven GARCH-jump model to analyze SSE (Shanghai Stock Exchange) 50 ETF returns and opt…
View article: Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach
Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach Open
Modeling stock returns and option prices in the presence of jumps remains a central challenge in financial economics. This paper employs a novel score-driven GARCH-jump model to analyze SSE 50 ETF returns and option pricing. The main findi…
View article: Cryptocurrencies in a Changing Financial Landscape: A Systematic Review
Cryptocurrencies in a Changing Financial Landscape: A Systematic Review Open
2024 marks a significant milestone in integrating digital finance into the global financial landscape. The U.S. Securities and Exchange Commission’s approval of Bitcoin and Ethereum ETFs signaled wider mainstream adoption. Shortly thereaft…
View article: On SGX's Voyage to corporate sustainability: Exploring emerging topics in multi-industry corpora
On SGX's Voyage to corporate sustainability: Exploring emerging topics in multi-industry corpora Open
Topic modeling, particularly latent Dirichlet allocation (LDA), is widely recognized as a valuable technique for identifying key topics and trends across dynamic content in various fields. LDA’s strength lies in its ability to efficiently …
View article: A machine learning based regulatory risk index for cryptocurrencies
A machine learning based regulatory risk index for cryptocurrencies Open
Cryptocurrency markets are highly sensitive to regulatory changes, often experiencing sharp price fluctuations in response to new policies and government interventions. Despite this, existing market indices fail to adequately capture the r…
View article: Cryptos have rough volatility and correlated jumps
Cryptos have rough volatility and correlated jumps Open
Contrary to expectations some years ago, the crypto market has matured and gives the impression of an established financial eco-system. Certainly, some deviations from robustness, typically reflected in event related volatility bursts and …
View article: ETF construction on CRIX
ETF construction on CRIX Open
We construct an exchange-traded fund (ETF) based on the CRyptocurrency IndeX (CRIX), which closely maps nonstationary cryptocurrency (CC) dynamics by adapting the weights of its constituents dynamically. Our scenario analysis considers the…
View article: Regime switching forecasting for cryptocurrencies
Regime switching forecasting for cryptocurrencies Open
There are many ways to model complex time series. The simplest approach is to increase the complexity, and thus, the flexibility of the model, for the entire time series. As an example, one could use a neural network. Another solution woul…
View article: Leveraged ETF options' implied volatility paradox: a statistical study
Leveraged ETF options' implied volatility paradox: a statistical study Open
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrep…
View article: Scenario based merger & acquisition forecasting
Scenario based merger & acquisition forecasting Open
While there is no doubt that M&A activity in the corporate sector follows wave-like patterns, there is no uniquely accepted definition of such a “merger wave” in a time series context. Count-data time series models are often employed to me…
View article: Regime switching forecasting for cryptocurrencies
Regime switching forecasting for cryptocurrencies Open
There are many ways to model complex time series. The simplest approach is to increase the complexity, and thus, the flexibility of the model, for the entire time series. As an example, one could use a neural network. Another solution woul…
View article: Localizing Multivariate CAViaR
Localizing Multivariate CAViaR Open
Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with…
View article: Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data Open
Cryptocurrency markets have recently attracted significant attention due to their potential for high returns; however, their underlying dynamics, especially those concerning price jumps, continue to be explored. Building on previous resear…
View article: Quantinar: a blockchain peer-to-peer ecosystem for modern data analytics
Quantinar: a blockchain peer-to-peer ecosystem for modern data analytics Open
The power of data and correct statistical analysis has never been more prevalent. Academics and practitioners require nowadays an accurate application of quantitative methods. Yet many branches are subject to a crisis of integrity, which i…
View article: Shapley Curves: A Smoothing Perspective
Shapley Curves: A Smoothing Perspective Open
This article fills the limited statistical understanding of Shapley values as a variable importance measure from a nonparametric (or smoothing) perspective. We introduce population-level Shapley curves to measure the true variable importan…