93 citations · 284 across the 23 of their papers we have counts for
14 papers · 1 filter
Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition
Kainat Khowaja, Danial Saef, Sergej Sizov +1
Strategic planning in a corporate environment is often based on experience and intuition, although internal data is usually available and can be a valuable source of information. P…
Blockchain mechanism and distributional characteristics of cryptos
Min-Bin Lin, Kainat Khowaja, Cathy Yi-Hsuan Chen +1
We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasise on using actu…
Copula-Based Factor Model for Credit Risk Analysis
Meng-Jou Lu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula mo…
Towards the interpretation of time-varying regularization parameters in streaming penalized regression models
Lenka Zboňáková, Ricardo Pio Monti, Wolfgang Karl Härdle
High-dimensional, streaming datasets are ubiquitous in modern applications. Examples range from finance and e-commerce to the study of biomedical and neuroimaging data. As a result…
Distillation of News Flow into Analysis of Stock Reactions
Junni L. Zhang, Wolfgang Karl Härdle, Cathy Y. Chen +1
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 st…
Implied Basket Correlation Dynamics
Wolfgang Karl Härdle, Elena Silyakova
Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the…