WG1 Research Articles

Khowaja, K., Saef, D., Sizov, S., & Härdle, W. K. (2020). Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition. Available at arXiv: arXiv:2012.06577
Ben Amor, S., Althof, M., & Härdle, W. K. (2021). FRM Financial Risk Meter for Emerging Markets. Available at arXiv: https://arxiv.org/abs/2102.05398
Ren, R., Lu, M., Li Y., & Härdle, W. K. (2021). Financial Risk Meter Based on Expectiles. Available at SSRN: http://dx.doi.org/10.2139/ssrn.3809329;
Eccles, P., Grout, P., Siciliani, P., & Zalewska, A. A. (2021). The impact of machine learning and big data on credit markets. Available at SSRN: 3890364
Paraschiv, F., Schmid, M., & Wahlstrøm, R. R. (2021). Bankruptcy Prediction of Privately Held SMEs Using Feature Selection Methods. Available at SSRN 3911490.
Wahlstrøm, Ranik Raaen, Florentina Paraschiv, and Michael Schürle (2021) "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions." Computational Economics: 1-38. https://link.springer.com/article/10.1007/s10614-021-10113-w
Jalan, A., Matkovskyya, R., Potì, V. (2021) Shall the winning last? A study of recent bubbles and persistence. https://doi.org/10.1016/j.frl.2021.102162
Klochkov Y, Härdle WK, Petukhina A, Zhivotovskiy N, (2021) Robustifying Markowitz, IRTG 1792 Discussion Paper 2021-018. https://www.wiwi.hu-berlin.de/de/forschung/irtg/results/discussion-papers/discussion-papers-2017-1/irtg1792dp2021-018/view
Liu, F., Packham, N., Lu, M. J., & Härdle, W. (2021). Hedging cryptos with Bitcoin futures (No. 2022-001). IRTG 1792 Discussion Paper.
https://www.wiwi.hu-berlin.de/de/forschung/irtg/results/discussion-papers/discussion-papers-2017-1/irtg1792dp2022-001.pdf
Hu, J., & Härdle, W. K. (2021). Networks of News and the Cross-Sectional Returns. Available at SSRN 3904012.
Wang, R., Althof, M., & Härdle, W. K. (2021). A financial risk meter for China. Available at SSRN 3965498.
Matic, J. L., Packham, N., & Härdle, W. K. (2021). Hedging cryptocurrency options. Available at SSRN 3968594.
Saef, D., Nagy, O., Sizov, S., & Härdle, W. K. (2021). Understanding jumps in high frequency digital asset markets. Available at SSRN 3944865.
M.Azzone, E.Barucci, G.Giuffra Moncayo, D.Marazzina (2022), A machine learning model for lapse prediction in life insurance contracts, Expert Systems with Application, Vol. 191: 116261. https://doi.org/10.1016/j.eswa.2021.116261.