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Where are the nuggets ?. Wolfgang Karl Härdle. future research. energy & real estate time varying stat brain and behavior dynamic curves demography social networks default intensities. Energy & real estate. Electricity demand Real estate. t = monthly temperature

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where are the nuggets
Where are the nuggets ?
  • Wolfgang Karl Härdle
future research
future research
  • energy & real estate
  • time varying stat
  • brain and behavior
  • dynamic curves
  • demography
  • social networks
  • default intensities
energy real estate
Energy & real estate
  • Electricity demand
  • Real estate

t = monthly temperature

x1, x2, = linear effect

x3- x13 = mont dummy

This needs to be done

1. for different cities, locations

2. for different tail curves

Hae Rit Son (2012) is not sufficient here

time varying stat
time varying stat

SIM = single Index Models,

they can be penalized as well in a Lasso or SCAD context.

Applications to CoVar

The parameter \lambda varies with time it corresponds to the relative size of nonzero to zero coefficients

  • time varying Lasso
  • SIMs in high dim
brain and behavior
Brain and behavior
  • RPID tasks
  • behavior location
  • activity identification
  • cross sections

cross section of probands

recording of actions

FPCA

dynamic curves
Dynamic Curves
  • implied corr smile
  • RC < MFIC

realized correlation RHO_t

Model free Implied Corr

MFIX RHO_WIGGLE_t

Sell RV of Basket

buy RV of constituents

demography
Demography

many stat questions

significance

trend?

economic model

  • growth and population
  • adaptivity
  • bootstrap
  • China
  • Asia

Figure 2 presents the scatterplot of initial size of each age group against its change in the

period 1960-1990, together with a regression line. The negative slope of all estimated lines

implies convergence within each age group across EU-15 countries. Those countries that

started with low proportions of a given age group tended to increase the size of that group,

while the opposite is true for countries that started with a high proportion, thus leading to a

homogeneisation of the demographic structure across European nations.

default intensities
default intensities

Lehmann Brothers Default Proba

  • How many firms belly up?
  • RMI Cooperation
  • adaptive techniques
  • data bases
social networks
Social Networks
  • Quantlet topography
  • Which code helps me?
  • visualisation
  • minimal spanning tree
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