Direkt zum Inhalt Direkt zur Navigation

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: Di 14-16 Ziegelstr. 13a Raum
502

Research

My Erdös Number : 3 (Serfling -> Deheuvels -> Erdös)

Center for Applied Statistics and Economics

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

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., Simar, L. (2009) 应用多元统计分析, 第二版. Peking University Press
  • 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)

Download the quantlets
  • Franke, J., Härdle, W., and Hafner, C. (2008) Statistics of Financial Markets: an Introduction. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-76269-0 (501 p)

Download the quantlets
  • Chen, C.H., Härdle, W. and Unwin, A. (2008) Handbook of Data Visualization. Springer Verlag, Heidelberg. ISBN 3-540-33036-4 (936 p)
  • Härdle, W., Simar, L. (2007) Applied Multivariate Statistical Analysis. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 3-540-72243-4 (456 p)

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

Download the quantlets
  • 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)
  • Sperlich, St., Härdle, W. and Aydinli, G. (2006) The Art of Semiparametrics Springer Verlag, Heidelberg. ISBN 3-7908-1700-7 (178p)
  • Cizek, P., Härdle, W. and Weron, R.(2005) Statistical Tools in Finance and Insurance Springer Verlag, Heidelberg. ISBN 3-540-22189-1 (535 p)
  • Gentle, J. Härdle, W. and Mori, Y.(2004) Handbook of Computational Statistics, Concepts and Methods Springer Verlag, Heidelberg. ISBN 3-540-40464-3 (1078 p)
  • 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)
  • 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)
  • 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)
  • 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)
  • 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)
  • 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)
  • 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)
  • 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)

Papers

Publications

  • Cizek, P., Härdle, W., and Spokoiny, V. (2009) Statistical Inference for Timeinhomogeneous volatility models, Econometrics Journal, 12,2, 248 - 271, doi 10.1111/j. 1368-423X.2009.00292.x.
  • Chen, S., Jeong, K. and Härdle, W. (2009) Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns,J. Forecasting, forthcoming.
  • Chen, Y., Härdle, W. and Spokoiny, V. (2009) Risk Analysis with GH Distributions and Independent Components, Journal of Empirical Finance, forthcoming.
  • Chen, S., Härdle, W. and Moro, R. (2009) Estimation of Default Probabilities with Support Vector Machines, Quantitative Finance, forthcoming.
  • Detlefsen, K., Härdle, W. and Moro, R. (2009) Empirical Pricing Kernels and Investor Preference, Mathematical Methods in Economics and Finance (ISSN print edition: 1971-6419)
  • Ritov, Y and Härdle, W. (2009) From animal baits to investors preference: Estimating and demixing of the weight function in semiparametric models for biased samples, Statistica Sinica, forthcoming
  • Tsay, W. J. and Härdle, W. (2009) A Generalized ARFIMA Process with Markov- Switching Fractional Differencing Parameter, J. Statistical Computation and Simulation, forthcoming DOI: 10.1080/00949650801910239
  • Trück, St., Borak, S., Härdle, W. and Weron, R. (2009) Convenience Yields for CO2 Emission Allowance Futures Contracts, Energy Economics, tentatively accepted
  • Härdle, W. and Lopez Cabrera, B. (2009) Calibrating CAT bonds for Mexican earthquakes, J. Risk and Insurance, tent. accepted
  • Benko, M., Härdle, W. and Kneip, A. (2009) Common Functional Principal Components, Ann. Statist., 37, 1-34.
  • Borak, S., Fengler, M. and Härdle,W. (2009) Can factor hedging improve the hedging efficiency? The Journal of Risk Model Validation, forthcoming.
  • Härdle, W. and Hlavka, Z (2009) Dynamics of State Price Densities， J. Econometrics, forthcoming.
  • Park, B., Mammen, E., Härdle,W., and. Borak, S., (2009) Dynamic Semiparametric Factor Models. Journal of the American Statistical Association, forthcoming.
  • Giacomini, E., Härdle, W. and Spokoiny, V. (2009) Inhomogeneous Dependency Modelling with Time Varying Copulae, J. Business and Economic Statistics,forthcoming
  • 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, forthcoming.
  • Cizek, P., Härdle, W. and Tamine, J. (2008) Smoothed L-estimation of regression function, Computational Statistics and Data Analysis, 52, 5154–5162.
  • Härdle, W. and Lopez Cabrera, B. (2008) Methodology for calibration of CAT bonds, Schmollers Jahrbuch, Journal of Applied Social Science Studies, forthcoming
  • Brüggemann, R. Härdle, W., Mungo, J. and Trenkler, C. (2008) VAR modelling for Dynamic Semiparametric Factors of Volatility Strings, Journal of Financial Econometrics, forthcoming
  • Härdle, W. and Mungo, J. (2008) Long Memory Persistence in the Factor of Implied Volatility Dynamics, International Research Journal of Finance and Economics, forthcoming
  • Tsay, W. J. and Härdle, W. (2008) A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter, J. Statistical Computation and Simulation, forthcoming
  • Detlefsen, K. and Härdle, W. (2008) A Note on the Calibration Design of Implied Volatility Surfaces, Data Science, to appear
  • Borak, S., Härdle,W., Mammen, E. and Park, B. (2008) Dynamic Semiparametric Factor Models, Journal of the American Statistical Association, tentatively accepted
  • Chen, S. Härdle, W. and Moro, R. (2008) Estimation of Default Probabilities with Support Vector Machines, Quantitative Finance, tentatively accepted
  • Detlefsen, K. and Härdle, W. (2008) Forecasting the Term Structure of Variance Swap, Quantitative Finance, tentatively accepted
  • Benko, M., Härdle, W. and Kneip, A. (2008) Common Functional Principal Components, Ann. Statist., forthcoming
  • Chen, Y, Härdle, W., Seok-Oh Jeong (2008) (2008) Nonparametric Risk Management with Generalized Hyperbolic Distributions, Journal of the American Statistical Association, forthcoming
  • Benko, M, Fengler, M. Härdle, W. and Kopa, M. (2007) On extracting information implied in options, Computational Statistics, 22, 543 - 553.
  • Härdle, W., Klinke,S. and Ziegenhagen, U. (2007) On the utility of e-learning in statistics, International Statistical Review, 75, 355 – 364
  • Detlefsen, K. and Härdle, W. (2007) Calibration Risk for Exotic Options, Journal of Derivatives, 14, 4, 47-63. Also printed in "Trading Options: Exotic an Introduction to Types and Pricing", ICFAI University Press, Hyderabad, India.
  • Schulz, R., Brenner, St. and Härdle, W. (2007) Realoptionen und Immobilienbewertung : Eine Umsetzungsstudie Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, 59, 1002-1028.
  • Fengler, M., Härdle, W. and Mammen, E. (2007) A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics.Financial Econometrics, 5, 2, 189-218.
  • Chen, Y, Härdle, W., and Spokoiny, V. (2007) Portfolio Value at Risk based on Independent Components Analysis. Journal of Computational and Applied Mathematics (JCAM), 205, 594-607

Articles in Proceedings or Equivalent Publications

  • 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.
  • Giacomini, E., Handel, M. and Härdle, W. (2008) The Dynamics of Relative Risk Aversion,10. Karlsruher Ökonometrie-Workshop, Editor Bol., Physica Verlag.
  • Cizek, P. and Härdle, W. (2008) Robust Estimation in Econometrics,The New Palgrave Dictionary of Economics, 2nd edition, edited by Steven N. Durlauf and Lawrence E. Blume, Palgrave Macmillan (Basingstoke and New York), forthcoming.
  • Ahmad, T., Härdle, W., and Ziegenhagen, U. (2007) E-Learning interkulturell,Humboldt-Spektrum, 2007,3, 50-53.
  • Härdle, W., Klinke, S. and Ziegenhagen. (2007) Yxilon – A Client/Server Based Statistical Environment,In Bulletin of the International Statistical Institute, 56th Session Lisbon Vol. 56. Bulletin of the International Statistical Institute.
  • Giacomini, E., Härdle, W. (2007) Statistics of Risk Aversion,In Bulletin of the International Statistical Institute, 56th Session Lisbon Vol. 56. Bulletin of the International Statistical Institute.
  • Cizek, P. and Härdle, W. (2007) Robust Estimation in Econometrics,The New Palgrave Dictionary of Economics, 2nd edition, edited by Steven N. Durlauf and Lawrence E. Blume, Palgrave Macmillan (Basingstoke and New York), forthcoming.
  • Giacomini, E., Handel, M. and Härdle, W. (2007) The Dynamics of Relative Risk Aversion,5. Karlsruher ökonometrie-Workshop, Editor Bol., Physika Verlag.
  • Härdle, W., Moro, R. and Schäfer, D. (2007) Graphical Data Visualization in Banrcuptcy Analysis, In:Handbook of Data Visualization. Springer Verlag, Heidelberg.
  • Unwin, A., Theus, M. and Härdle, W. (2007) Exploratory Graphics of a Financial Dataset In:Handbook of Data Visualization. Springer Verlag, Heidelberg.
  • Unwin, A., Chen, Ch. H. and Härdle, W. (2007) Computational Statistics and Data Visualization. In:Handbook of Data Visualization. Springer Verlag, Heidelberg.

All Publications

WISE (XMU)

 

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

 

 

Lectures & Presentations

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
alt Statistical Analysis of Neuroeconomic Data
alt 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 Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics (Earthshaking Event - given during a real earthquake!)
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 Value-at-Risk and Expected Shortfall when there is Long Range Dependence
alt Using R, LaTeX and Wiki for an Arabic e-learning platform
alt Dynamic Semiparametric Factor Models alt alt alt
alt Weather Derivatives
alt Calibrating CAT Bonds for Mexican Earthquakes
alt Risk Premiums for CO2 Emission Allowances in the EEX Market alt
alt Empirical Pricing Kernels and Investor Preferences
alt Testing Monotonicity of Pricing Kernels
alt Variance Swap Dynamics
alt Inhomogenous Dependence Modeling with Time Varying Copulae
alt Rating Companies - A Support Vector Machine Alternative alt
alt Calibration Risk for Exotic Options in the Heston model
alt Measuring Statistical Risk. Extremes, joint extremes and copulae
alt Trend Detection in Car Manufacturing Processes
alt Was ist Statistik?




Artikelaktionen
zuletzt geändert: 30.12.09 songsong
Benutzerspezifische Werkzeuge