Wolfgang Karl Härdle

Biographic Data

ID5805583
NAMEWolfgang Karl Härdle
GIVEN NAMESWolfgang Karl
FAMILY NAMEHärdle
SIGNATUREHÄRDLE W K
AFFILIATIONSHumboldt-Universität zu Berlin
ORCID0000-0001-5600-3014
VERIFIEDYes
TOTAL WORKS12
TOTAL CITATIONS0
WORKS AS AUTHOR12
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1990
LATEST PUBLICATION YEAR2026
H-INDEX0

  • A Network View on Portfolio Risk

    Open AccessWolfgang Karl Härdle, Rui Ren et al.ARTICLEJournal of Business and Economic…2026

    Portfolio performance depends on interactions inside the network of assets. In high dimensions, these interactions are rare and sparse, therefore an inherent and indispensable portfolio risk, network risk, is difficult to quantify. Here a portfolio risk decomposition method is proposed that leads to analytical solutions that provide insights into the accounts for network and idiosyncratic risks. The technical platform is based on Dantzig-type est…

  • Shapley Curves

    Open AccessRatmir Miftachov, Georg Keilbar et al.ARTICLEJournal of Business and Economic…2025

    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 importance, determined by the conditional expectation function and the distribution of covariates.Having defined the estimand, we derive minimax convergence rates and asymptotic normality under general conditions for the…

  • Introduction to the Special Issue on Statistics of Dynamic Networks

    Wolfgang Karl Härdle, Wolfgang Härdle et al.ARTICLEJournal of Business and Economic…2024

    In many dynamic economic and financial systems interdependencies evolve over time and contain crucial information for individual, firm or regulatory decisions. Thus for the analysis of such dynamic

  • The common and specific components of inflation expectations across European countries

    Open AccessShi Chen, Wolfgang Karl Härdle et al.ARTICLEEmpirical Economics2022

  • Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models

    Wolfgang Karl Härdle, Li‐Shan HuangARTICLEJournal of Business and Economic…2019

    In this study, we develop nonparametric analysis of deviance tools for generalized partially linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit an additivity property that reduces to analysis of variance decompositions in the Gaussian case. Chi-square tests based on integrated likelihood functions are proposed to formally test whether the n…

  • Single-Index-Based CoVaR With Very High-Dimensional Covariates

    Yan Fan, Wolfgang Karl Härdle et al.ARTICLEJournal of Business and Economic…2018

    Systemic risk analysis reveals the interdependencies of risk factors especially in tail event situations. In applications the focus of interest is on capturing joint tail behavior rather than a variation around the mean. Quantile and expectile regression are used here as tools of data analysis. When it comes to characterizing tail event curves one faces a dimensionality problem, which is important for CoVaR (Conditional Value at Risk) determinati…

  • Confidence Corridors for Multivariate Generalized Quantile Regression

    Shih-Kang Chao, Katharina Proksch et al.ARTICLEJournal of Business and Economic…2017

    We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest, which follow after a series of approximation steps including a Bahadur representation, a new strong approximation theorem, and exponential tail inequalities for Gaussian …

  • Distillation of News Flow Into Analysis of Stock Reactions

    Junni L Zhang, Wolfgang Karl Härdle et al.ARTICLEJournal of Business and Economic…2016

    The gargantuan plethora of opinions, facts, and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical technology the informative elements of this prodigious and indeed colossal data source. Using mixed text sources from professional platforms, blog fora, and stock message boards, we distill via diffe…

  • Inhomogeneous Dependence Modeling with Time-Varying Copulae

    Enzo Giacomini, Wolfgang Karl Härdle et al.ARTICLEJournal of Business and Economic…2009

    Measuring dependence in multivariate time series is tantamount to modeling its dynamic structure in space and time. In risk management, the nonnormal behavior of most financial time series calls for non-Gaussian dependences. The correct modeling of non-Gaussian dependences is, therefore, a key issue in the analysis of multivariate time series. In this article we use copula functions with adaptively estimated time-varying parameters for modeling t…

  • Smoothed L-Estimation of Regression Function

    Open AccessPavel Čı́žek, Pavel Čižek et al.ARTICLESSRN Electronic Journal2006

  • Transactions that did not happen and their influence on prices

    Open AccessAlan Kirman, Rainer Schulz et al.ARTICLEJournal of Economic Behavior &…2005

  • Xplore 2.0-a Computing Environment for Exploratory Regression and Data Analysis

    Glenn Stone, T Broich et al.ARTICLEThe Economic Journal1990

    Journal Article Xplore 2.0-a Computing Environment for Exploratory Regression and Data Analysis Get access Glenn Stone Glenn Stone Bath University Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 100, Issue 403, 1 December 1990, Pages 1401–1403, https://doi.org/10.2307/2234016 Published: 01 December 1990