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  • HU Berlin  (337)
  • MPI Bildungsforschung  (1)
  • ÖB Kleinmachnow
  • Akademie d. Wiss.
  • SB Eisenhüttenstadt
  • Härdle, Wolfgang Karl  (338)
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  • HU Berlin  (337)
  • MPI Bildungsforschung  (1)
  • ÖB Kleinmachnow
  • Akademie d. Wiss.
  • SB Eisenhüttenstadt
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  • 1
    UID:
    gbv_1028034571
    Format: Online-Ressource (VIII, 538 p. 147 illus., 109 illus. in color, online resource)
    Edition: Springer eBook Collection. Mathematics and Statistics
    ISBN: 9783319182841
    Series Statement: Springer Handbooks of Computational Statistics
    Content: Addressing a broad range of big data analytics in cross-disciplinary applications, this essential handbook focuses on the statistical prospects offered by recent developments in this field. To do so, it covers statistical methods for high-dimensional problems, algorithmic designs, computation tools, analysis flows and the software-hardware co-designs that are needed to support insightful discoveries from big data. The book is primarily intended for statisticians, computer experts, engineers and application developers interested in using big data analytics with statistics. Readers should have a solid background in statistics and computer science
    Content: Preface -- Statistics, Statisticians, and the Internet of Things (John M. Jordan and Dennis K. J. Lin) -- Cognitive Data Analysis for Big Data (Jing Shyr, Jane Chu and Mike Woods) -- Statistical Leveraging Methods in Big Data (Xinlian Zhang, Rui Xie and Ping Ma) -- Scattered Data and Aggregated Inference (Xiaoming Huo, Cheng Huang and Xuelei Sherry Ni) -- Nonparametric Methods for Big Data Analytics (Hao Helen Zhang) -- Finding Patterns in Time Series (James E. Gentle and Seunghye J. Wilson) -- Variational Bayes for Hierarchical Mixture Models (Muting Wan, James G. Booth and Martin T. Wells) -- Hypothesis Testing for High-Dimensional Data (Wei Biao Wu, Zhipeng Lou and Yuefeng Han) -- High-Dimensional Classification (Hui Zou) -- Analysis of High-Dimensional Regression Models Using Orthogonal Greedy Algorithms (Hsiang-Ling Hsu, Ching-Kang Ing and Tze Leung Lai) -- Semi-Supervised Smoothing for Large Data Problems (Mark Vere Culp, Kenneth Joseph Ryan and George Michailidis) -- Inverse Modeling: A Strategy to Cope with Non-Linearity (Qian Lin, Yang Li and Jun S. Liu) -- Sufficient Dimension Reduction for Tensor Data (Yiwen Liu, Xin Xing and Wenxuan Zhong) -- Compressive Sensing and Sparse Coding (Kevin Chen and H. T. Kung) -- Bridging Density Functional Theory and Big Data Analytics with Applications (Chien-Chang Chen, Hung-Hui Juan, Meng-Yuan Tsai and Henry Horng-Shing Lu) -- Q3-D3-LSA: D3.js and generalized vector space models for Statistical Computing (Lukas Borke and Wolfgang Karl Härdle) -- A Tutorial on Libra: R Package for the Linearized Bregman Algorithm in High-Dimensional Statistics (Jiechao Xiong, Feng Ruan and Yuan Yao) -- Functional Data Analysis for Big Data: A Case Study on California Temperature Trends (Pantelis Zenon Hadjipantelis and Hans-Georg Müller) -- Bayesian Spatiotemporal Modeling for Detecting Neuronal Activation via Functional Magnetic Resonance Imaging (Martin Bezener, Lynn E. Eberly, John Hughes, Galin Jones and Donald R. Musgrove) -- Construction of Tight Frames on Graphs and Application to Denoising (Franziska Göbel, Gilles Blanchard and Ulrike von Luxburg) -- Beta-Boosted Ensemble for Big Credit Scoring Data (Maciej Zięba and Wolfgang Karl Härdle) --
    Additional Edition: ISBN 9783319182834
    Additional Edition: Erscheint auch als Druck-Ausgabe Handbook of big data analytics Cham, Switzerland : Springer, 2018 ISBN 9783319182834
    Additional Edition: ISBN 3319182838
    Additional Edition: Printed edition ISBN 9783319182834
    Language: English
    Subjects: Computer Science , Mathematics
    RVK:
    RVK:
    Keywords: Statistik ; Data Science ; Big Data ; Lehrbuch
    URL: Cover
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  • 2
    UID:
    edochu_18452_22245
    Format: 1 Online-Ressource (57 Seiten)
    Content: Simulierte Hedge Missspezifikation zu Risikomanagementzwecken von Cryptocurrencies.
    Content: The market for cryptocurrencies is a very dynamic market with highly volatile movements and discontinuities from large jumps. We investigate the risk-management perspective when selling securities written on cryptocurrencies. To this day, options written on cryptocurrencies are not officially exchange-traded. This study mimics the dynamics of cryptocurrency markets in a simulation study. We assume that the asset follows the stochastic volatility with correlated jumps model as presented in Duffie et al. ( 2000 ) and price options with parameters calibrated on the CRIX, a cryptocurrency index that serves as a representative of market movements. We investigate on risk- management opportunities of hedging options written on cryptocurrencies and evaluate the hedge performance under model misspecification. The hedge models are misspecified in the manner that they include fewer sources of randomness than the nother the ment the ment the industry-standard Black-Scholes option pricing model, the Heston Stochastic volatility model, and the Merton jump-diffusion model. We present different hedging strategies and perform an empirical study on delta-hedging. We report poor hedging results when calibration is poor. The results show good performances of the Black-Scholes and the Heston model and outline the poor hedging performance of the Merton model. Lastly, we observe large unhedgeable losses in the left tail. These losses potentially result from large jumps.
    Note: Masterarbeit Humboldt-Universität zu Berlin 2019
    Language: English
    URL: Volltext  (kostenfrei)
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  • 3
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4565
    Format: 1 Online-Ressource (44 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,47
    Content: We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical results are derived under the fairly general conditions of absolute regularity (beta-mixing). Application of the test procedure to the West German real GNP data reveals that a partially linear varying coefficient model is best parsimonious in fitting the data dynamics, a fact that is also confirmed with residual diagnostics
    Language: English
    URL: Volltext  (kostenfrei)
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  • 4
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4581
    Format: 1 Online-Ressource (12 Seiten)
    ISSN: 1860-5664
    Series Statement: 2006,2
    Content: The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of our method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options.
    Language: English
    URL: Volltext  (kostenfrei)
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  • 5
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4578
    Format: 1 Online-Ressource (25 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,60
    Content: Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A principle component based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here we propose and analyze a technology that is based on Independent Component Analysis (ICA). We study the proposed ICVaR methodology in an extensive simulation study and apply it to a high dimensional portfolio situation. Our analysis yields very accurate VaRs.
    Language: English
    URL: Volltext  (kostenfrei)
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  • 6
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4526
    Format: 1 Online-Ressource (28 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,8
    Language: English
    URL: Volltext  (kostenfrei)
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  • 7
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4519
    Format: 1 Online-Ressource (33 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,1
    Content: In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more appropriately. The nonparametric adaptive methodology has the desirable property of estimating homogeneous volatility in a short time interval. For DEM/USD exchange rate data and a German bank portfolio data the proposed GHADA model provides more accurate value at risk calculation than the traditional model based on the normal distribution. All calculations and simulations are done with XploRe.
    Language: English
    URL: Volltext  (kostenfrei)
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  • 8
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4530
    Format: 1 Online-Ressource (22 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,12
    Content: Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that the volatilities implied by observed market prices exhibit patterns known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the other hand, the IV is a function of two parameters: the strike price and the time to maturity and it is desirable in practice to reduce the dimension of this object and characterize the IV surface through a small number of factors. Clearly, a dimension reduced pricing-model that should reflect the dynamics of the IV surface needs to contain factors and factor loadings that characterize the IV surface itself and their movements across time.
    Language: English
    URL: Volltext  (kostenfrei)
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  • 9
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4695
    Format: 1 Online-Ressource (25 Seiten)
    ISSN: 1860-5664
    Series Statement: 2007,24
    Content: We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of individual utility functions in the DAX market.
    Language: English
    URL: Volltext  (kostenfrei)
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  • 10
    Online Resource
    Online Resource
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    UID:
    edochu_18452_4632
    Format: 1 Online-Ressource (33 Seiten)
    ISSN: 1860-5664
    Series Statement: 2006,50
    Content: Econometrics often deals with data under, from the statistical point of view, non-standard conditions such as heteroscedasticity or measurement errors and the estimation methods need thus be either adopted to such conditions or be at least insensitive to them. The methods insensitive to violation of certain assumptions, for example insensitive to the presence of heteroscedasticity, are in a broad sense referred to as robust (e.g., to heteroscedasticity). On the other hand, there is also a more specific meaningof the word `robust`, which stems from the field of robust statistics. This latter notion defines robustness rigorously in terms of behavior of an estimator both at the assumed (parametric) model and in its neighborhood in the space of probability distributions. Even though the methods of robust statistics have been used only in the simplest setting such as estimation of location, scale, or linear regression for a long time, they motivated a range of new econometric methods recently, which we focus on in this chapter.
    Language: English
    URL: Volltext  (kostenfrei)
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