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Weining Wang

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  2. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Victor Chernozhukov & Chen Huang & Weining Wang, 2021. "Uniform Inference on High-dimensional Spatial Panel Networks," Papers 2105.07424, arXiv.org, revised Sep 2023.

  3. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).

  4. Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020. "Pricing Cryptocurrency Options," Papers 2009.11007, arXiv.org.

    Cited by:

    1. Brini, Alessio & Lenz, Jimmie, 2024. "Pricing cryptocurrency options with machine learning regression for handling market volatility," Economic Modelling, Elsevier, vol. 136(C).
    2. Häusler, Konstantin & Xia, Hongyu, 2021. "Indices on cryptocurrencies: An evaluation," IRTG 1792 Discussion Papers 2021-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Sep 2024.
    4. Zhang, Chuanhai & Ma, Huan & Liao, Xiaosai, 2023. "Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    5. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
    6. Bandi, Federico M. & Renò, Roberto, 2022. "β in the tails," Journal of Econometrics, Elsevier, vol. 227(1), pages 134-150.
    7. Lian, Yu-Min & Chen, Jun-Home, 2021. "Pricing virtual currency-linked derivatives with time-inhomogeneity," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 424-439.
    8. Min-Bin Lin & Kainat Khowaja & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020. "Blockchain mechanism and distributional characteristics of cryptos," Papers 2011.13240, arXiv.org, revised Aug 2021.
    9. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
    10. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
    11. Burda, Michael C., 2021. "Valuing cryptocurrencies: Three easy pieces," IRTG 1792 Discussion Papers 2021-011, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    12. Xia, Lan & Roggeveen, Anne L., 2022. "How collective stress affects price fairness perceptions: The role of nostalgia," Journal of Business Research, Elsevier, vol. 152(C), pages 361-371.
    13. S. Sapna & Biju R. Mohan, 2024. "Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 515-550, July.
    14. Matic, Jovanka Lili & Packham, Natalie & Härdle, Wolfgang Karl, 2021. "Hedging Cryptocurrency Options," MPRA Paper 110774, University Library of Munich, Germany.
    15. Konstantin Hausler & Wolfgang Karl Hardle, 2021. "Cryptocurrency Dynamics: Rodeo or Ascot?," Papers 2103.12461, arXiv.org, revised Jan 2022.
    16. Zuo Xiaorui & Chen Yao-Tsung & Härdle Wolfgang Karl, 2024. "Emoji driven crypto assets market reactions," Management & Marketing, Sciendo, vol. 19(2), pages 158-178.
    17. Wujun Lv & Tao Pang & Xiaobao Xia & Jingzhou Yan, 2023. "Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    18. Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022. "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    19. Felföldi-Szűcs, Nóra & Králik, Balázs & Váradi, Kata, 2024. "Put–call parity in a crypto option market — Evidence from Binance," Finance Research Letters, Elsevier, vol. 61(C).
    20. Melanie Cao & Batur Celik, 2021. "Valuation of bitcoin options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1007-1026, July.
    21. Abubakr Naeem, Muhammad & Iqbal, Najaf & Lucey, Brian M. & Karim, Sitara, 2022. "Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    22. Elisa Al`os & Eulalia Nualart & Makar Pravosud, 2023. "On the implied volatility of Inverse options under stochastic volatility models," Papers 2401.00539, arXiv.org, revised Sep 2024.
    23. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    24. Danial Saef & Yuanrong Wang & Tomaso Aste, 2022. "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing," Papers 2208.12614, arXiv.org, revised Sep 2022.
    25. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
    26. José Almeida & Tiago Cruz Gonçalves, 2022. "A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View," Risks, MDPI, vol. 10(5), pages 1-18, May.
    27. Carol Alexander & Ding Chen & Arben Imeraj, 2021. "Inverse and Quanto Inverse Options in a Black-Scholes World," Papers 2107.12041, arXiv.org, revised Oct 2022.
    28. Häusler, Konstantin & Härdle, Wolfgang, 2021. "Rodeo or ascot: Which hat to wear at the crypto race?," IRTG 1792 Discussion Papers 2021-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    29. Jimmy E. Hilliard & Julie T. D. Ngo, 2022. "Bitcoin: jumps, convenience yields, and option prices," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 2079-2091, November.
    30. Kuo-Shing Chen, 2024. "Investigating the Impact of Financial Reporting for Cryptocurrencies on Company Value," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(3), pages 1-6.

  5. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019. "LASSO-Driven Inference in Time and Space," CeMMAP working papers CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2019. "SONIC: SOcial Network with Influencers and Communities," IRTG 1792 Discussion Papers 2019-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Packham, Natalie, 2018. "Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present," IRTG 1792 Discussion Papers 2018-033, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure," Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
    5. Fan, Qingliang & Zhong, Wei, 2018. "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective," IRTG 1792 Discussion Papers 2018-052, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    6. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2022. "SONIC: SOcial Network analysis with Influencers and Communities," Journal of Econometrics, Elsevier, vol. 228(2), pages 177-220.
    7. Michael Kostmann & Wolfgang K. Härdle, 2019. "Forecasting in Blockchain-Based Local Energy Markets," Energies, MDPI, vol. 12(14), pages 1-27, July.
    8. Cai, Zongwu & Fang, Ying & Lin, Ming & Su, Jia, 2018. "Inferences for a Partially Varying Coefficient Model With Endogenous Regressors," IRTG 1792 Discussion Papers 2018-047, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    9. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019. "LASSO-Driven Inference in Time and Space," CeMMAP working papers CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Wang, Honglin & Yu, Fan & Zhou, Yinggang, 2018. "Property Investment and Rental Rate under Housing Price Uncertainty: A Real Options Approach," IRTG 1792 Discussion Papers 2018-051, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    11. Zbonakova, Lenka & Pio Monti, Ricardo & Härdle, Wolfgang Karl, 2018. "Towards the interpretation of time-varying regularization parameters in streaming penalized regression models," IRTG 1792 Discussion Papers 2018-059, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    12. Yan, Ji Gao, 2018. "Complete Convergence and Complete Moment Convergence for Maximal Weighted Sums of Extended Negatively Dependent Random Variables," IRTG 1792 Discussion Papers 2018-040, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    13. Davide Viviano, 2019. "Policy Targeting under Network Interference," Papers 1906.10258, arXiv.org, revised Apr 2024.
    14. Zhong, Wei & Liu, Xi & Ma, Shuangge, 2018. "Variable selection and direction estimation for single-index models via DC-TGDR method," IRTG 1792 Discussion Papers 2018-050, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    15. Chen, C. Y-H. & Härdle, W. K. & Klochkov, Y., 2019. "Influencers and Communities in Social Networks," Cambridge Working Papers in Economics 1998, Faculty of Economics, University of Cambridge.
    16. Guo, Li & Tao, Yubo & Härdle, Wolfgang Karl, 2018. "Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective," IRTG 1792 Discussion Papers 2018-032, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    17. Munday, Tim & Brookes, James, 2021. "Mark my words: the transmission of central bank communication to the general public via the print media," Bank of England working papers 944, Bank of England.
    18. Kalkbrener, Michael & Packham, Natalie, 2018. "Correlation Under Stress In Normal Variance Mixture Models," IRTG 1792 Discussion Papers 2018-035, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    19. Packham, Natalie & Woebbeking, Fabian, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," IRTG 1792 Discussion Papers 2018-034, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    20. Chiu, Hsin-Yu & Chiang, Mi-Hsiu & Kuo, Wei-Yu, 2018. "Predicative Ability of Similarity-based Futures Trading Strategies," IRTG 1792 Discussion Papers 2018-045, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    21. Guo, Shaojun & Li, Dong & Li, Muyi, 2018. "Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models," IRTG 1792 Discussion Papers 2018-049, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    22. Mihoci, Andrija & Althof, Michael & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2019. "FRM Financial Risk Meter," IRTG 1792 Discussion Papers 2019-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    23. Xiaojia Bao & Qingliang Fan, 2020. "The impact of temperature on gaming productivity: evidence from online games," Empirical Economics, Springer, vol. 58(2), pages 835-867, February.
    24. Smeekes, Stephan & Wijler, Etienne, 2021. "An automated approach towards sparse single-equation cointegration modelling," Journal of Econometrics, Elsevier, vol. 221(1), pages 247-276.
    25. Packham, Natalie & Kalkbrener, Michael & Overbeck, Ludger, 2018. "Default probabilities and default correlations under stress," IRTG 1792 Discussion Papers 2018-037, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    26. Dovì, Max-Sebastian & Koester, Gerrit & Nickel, Christiane, 2021. "Addressing the endogeneity of slack in Phillips Curves," Working Paper Series 2619, European Central Bank.
    27. Kuczmaszewska, Anna & Yan, Ji Gao, 2018. "On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables," IRTG 1792 Discussion Papers 2018-041, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    28. Panxu Yuan & Xiao Guo, 2022. "High-dimensional inference for linear model with correlated errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(1), pages 21-52, January.
    29. Koziuk, Andzhey & Spokoiny, Vladimir, 2018. "Toolbox: Gaussian comparison on Eucledian balls," IRTG 1792 Discussion Papers 2018-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    30. Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli, 2018. "A Regime Shift Model with Nonparametric Switching Mechanism," IRTG 1792 Discussion Papers 2018-048, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    31. Yatracos, Yannis G., 2018. "Residual'S Influence Index (Rinfin), Bad Leverage And Unmasking In High Dimensional L2-Regression," IRTG 1792 Discussion Papers 2018-060, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    32. Zbonakova, Lenka & Li, Xinjue & Härdle, Wolfgang Karl, 2018. "Penalized Adaptive Forecasting with Large Information Sets and Structural Changes," IRTG 1792 Discussion Papers 2018-039, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  6. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2019. "Inference of Break-Points in High-Dimensional Time Series," IRTG 1792 Discussion Papers 2019-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    2. Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  7. Keilbar, Georg & Wang, Weining, 2019. "Modelling Systemic Risk Using Neural Network Quantile Regression," IRTG 1792 Discussion Papers 2019-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. Jacob, Daniel & Härdle, Wolfgang Karl & Lessmann, Stefan, 2019. "Group Average Treatment Effects for Observational Studies," IRTG 1792 Discussion Papers 2019-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  8. Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018. "Using generalized estimating equations to estimate nonlinear models with spatial data," Papers 1810.05855, arXiv.org.

    Cited by:

    1. Zimu Chen & Zhanfeng Wang & Yuan‐chin Ivan Chang, 2020. "Sequential adaptive variables and subject selection for GEE methods," Biometrics, The International Biometric Society, vol. 76(2), pages 496-507, June.
    2. Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  9. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining, 2018. "Pricing Cryptocurrency options: the case of CRIX and Bitcoin," IRTG 1792 Discussion Papers 2018-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

    Cited by:

    1. da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gomes, Leonardo Lima, 2019. "Herding behavior and contagion in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 41-50.
    2. Christian Conrad & Anessa Custovic & Eric Ghysels, 2018. "Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis," JRFM, MDPI, vol. 11(2), pages 1-12, May.
    3. Chen, Cathy Yi-Hsuan & Després, Roméo & Guo, Li & Renault, Thomas, 2019. "What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble," IRTG 1792 Discussion Papers 2019-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Alessandra Cretarola & Gianna Figà-Talamanca & Cyril Grunspan, 2021. "Blockchain and cryptocurrencies: economic and financial research," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 781-787, December.
    5. Hongshen Yang & Avinash Malik, 2024. "Optimal market-neutral currency trading on the cryptocurrency platform," Papers 2405.15461, arXiv.org, revised Aug 2024.
    6. Hu, Junjie & Kuo, Weiyu & Härdle, Wolfgang Karl, 2019. "Risk of Bitcoin Market: Volatility, Jumps, and Forecasts," IRTG 1792 Discussion Papers 2019-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW Kiel).
    8. Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018. "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers 2018-056, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    9. Wolfgang Karl Härdle & Campbell R Harvey & Raphael C G Reule, 2020. "Understanding Cryptocurrencies," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 181-208.
    10. Fabian Woebbeking, 2021. "Cryptocurrency volatility markets," Digital Finance, Springer, vol. 3(3), pages 273-298, December.
    11. Alessandra Cretarola & Gianna Figà-Talamanca, 2021. "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, vol. 299(1), pages 459-479, April.
    12. Dilip B. Madan & Sofie Reyners & Wim Schoutens, 2019. "Advanced model calibration on bitcoin options," Digital Finance, Springer, vol. 1(1), pages 117-137, November.

  10. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2019. "Inference of Break-Points in High-Dimensional Time Series," IRTG 1792 Discussion Papers 2019-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  11. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2019. "Inference of Break-Points in High-Dimensional Time Series," IRTG 1792 Discussion Papers 2019-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  12. Zhu, Xuening & Wang, Weining & Wang, Hangsheng & Härdle, Wolfgang Karl, 2016. "Network quantile autoregression," SFB 649 Discussion Papers 2016-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Chen, Yu & Gao, Yu & Shu, Lei & Zhu, Xiaonan, 2023. "Network effects on risk co-movements: A network quantile autoregression-based analysis," Finance Research Letters, Elsevier, vol. 56(C).
    2. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    3. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2022. "SONIC: SOcial Network analysis with Influencers and Communities," Journal of Econometrics, Elsevier, vol. 228(2), pages 177-220.
    4. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    5. Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," FEEM Working Papers 336984, Fondazione Eni Enrico Mattei (FEEM).
    6. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019. "LASSO-Driven Inference in Time and Space," CeMMAP working papers CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
    8. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022. "Measuring systemic risk in the global banking sector: A cross-quantilogram network approach," Economic Modelling, Elsevier, vol. 109(C).
    9. Yiming Tang & Yang Bai & Tao Huang, 2021. "Network vector autoregression with individual effects," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(6), pages 875-893, August.
    10. Victor Chernozhukov & Chen Huang & Weining Wang, 2021. "Uniform Inference on High-dimensional Spatial Panel Networks," Papers 2105.07424, arXiv.org, revised Sep 2023.
    11. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
    12. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
    13. Guo, Hongfeng & Zhao, Xinyao & Yu, Hang & Zhang, Xin, 2021. "Analysis of global stock markets’ connections with emphasis on the impact of COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
    14. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema, 2017. "Tail event driven networks of SIFIs," SFB 649 Discussion Papers 2017-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Guo, Hongfeng & Xia, Shengxiang & An, Qiguang & Zhang, Xin & Sun, Weihua & Zhao, Xinyao, 2020. "Empirical study of financial crises based on topological data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    16. He, Zhipeng & Zhang, Shuguang, 2024. "Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 62(PB).
    17. Mihoci, Andrija & Althof, Michael & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2019. "FRM Financial Risk Meter," IRTG 1792 Discussion Papers 2019-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    18. Qian, Ya & Härdle, Wolfgang Karl & Chen, Cathy Yi-Hsuan, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers 2017-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    20. Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
    21. Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022. "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, vol. 46(PB).
    22. Hu, Junjie & Härdle, Wolfgang, 2021. "Networks of news and cross-sectional returns," IRTG 1792 Discussion Papers 2021-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    23. Chen, Elynn Y. & Fan, Jianqing & Zhu, Xuening, 2023. "Community network auto-regression for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1239-1256.
    24. Xiao, Xuan & Xu, Xingbai & Zhong, Wei, 2023. "Huber estimation for the network autoregressive model," Statistics & Probability Letters, Elsevier, vol. 203(C).
    25. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).

  13. Cui, Wei & Härdle, Wolfgang Karl & Wang, Weining, 2015. "Estimation of NAIRU with inflation expectation data," SFB 649 Discussion Papers 2015-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    2. Dana Kloudová, 2016. "Does Using Nairu In The Production Function Influence Estimation Of Potential Output And Output Gap?," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 5(2), pages 1-21, June.
    3. Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2018. "Inflation, real economic growth and unemployment expectations: an empirical analysis based on the ECB survey of professional forecasters," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4540-4555, September.

  14. Cui, Wei & Härdle, Wolfgang Karl & Wang, Weining, 2015. "Estimation of NAIRU with inflation expectation data," SFB 649 Discussion Papers 2015-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    2. Dana Kloudová, 2016. "Does Using Nairu In The Production Function Influence Estimation Of Potential Output And Output Gap?," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 5(2), pages 1-21, June.
    3. Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2018. "Inflation, real economic growth and unemployment expectations: an empirical analysis based on the ECB survey of professional forecasters," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4540-4555, September.

  15. Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014. "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers 2014-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
    2. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
    3. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
    4. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    5. Liu, Weiqiang, 2023. "A consistent nonparametric test for the structure change in quantile regression," Economics Letters, Elsevier, vol. 228(C).

  16. Franke, Jürgen & Mwita, Peter & Wang, Weining, 2014. "Nonparametric estimates for conditional quantiles of time series," SFB 649 Discussion Papers 2014-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
    2. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
    3. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
    4. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    5. Liu, Weiqiang, 2023. "A consistent nonparametric test for the structure change in quantile regression," Economics Letters, Elsevier, vol. 228(C).

  17. Härdle, Wolfgang Karl & Sirotko-Sibirskaya, Natalia & Wang, Weining, 2014. "TENET: Tail-Event driven NETwork risk," SFB 649 Discussion Papers 2014-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
    3. Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    4. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    5. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    6. Huang, Wenli & Zhu, Yuanhao & Li, Shi & Xu, Yueling, 2024. "Institutional investor heterogeneity and systemic financial risk: Evidence from China," Research in International Business and Finance, Elsevier, vol. 68(C).
    7. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    8. Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2022. "Financial Risk Meter for emerging markets," Research in International Business and Finance, Elsevier, vol. 60(C).
    9. Erick Treviño Aguilar, 2020. "The interdependency structure in the Mexican stock exchange: A network approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-31, October.
    10. Zhang, Xingmin & Zhang, Shuai & Lu, Liping, 2022. "The banking instability and climate change: Evidence from China," Energy Economics, Elsevier, vol. 106(C).
    11. Fan, Xinyan & Fang, Kuangnan & Pu, Dan & Qin, Ruixuan, 2024. "Generalized latent space model for one-mode networks with awareness of two-mode networks," Computational Statistics & Data Analysis, Elsevier, vol. 193(C).
    12. Wang, Ruting & Althof, Michael & Härdle, Wolfgang Karl, 2023. "A financial risk meter for China," Emerging Markets Review, Elsevier, vol. 56(C).
    13. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    14. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
    15. Zhou, Dong-hai & Liu, Xiao-xing, 2024. "Does systemic risk in the fund markets predict future economic downturns?," International Review of Financial Analysis, Elsevier, vol. 92(C).
    16. Huang, Mu-Nan & Lee, Han-Hsing, 2024. "Inter-industry network and credit risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 598-625.
    17. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    18. Du, Zaichao & Escanciano, Juan Carlos & Zhu, Guangwei, 2023. "The case for CASE: Estimating heterogeneous systemic effects," Journal of Banking & Finance, Elsevier, vol. 157(C).
    19. Beibei Zhang & Xuemei Xie & Chunmei Li, 2023. "How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis," Mathematics, MDPI, vol. 11(10), pages 1-19, May.
    20. Verma, Ramprasad & Ahmad, Wasim & Uddin, Gazi Salah & Bekiros, Stelios, 2019. "Analysing the systemic risk of Indian banks," Economics Letters, Elsevier, vol. 176(C), pages 103-108.
    21. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko, 2024. "Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives," Energy Economics, Elsevier, vol. 129(C).
    22. Wei, Zhengyuan & He, Qingxia & Zhou, Qili & Wang, Ge, 2023. "Measuring dependence structure and extreme risk spillovers in stock markets: An APARCH-EVT-DMC approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).
    23. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
    24. Gang-Jin Wang & Hui-Bin Si & Yang-Yang Chen & Chi Xie & Julien Chevallier, 2021. "Time domain and frequency domain Granger causality networks: Application to China’s financial institutions," Post-Print halshs-04250263, HAL.
    25. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
    26. Chen, Muzi & Li, Nan & Zheng, Lifen & Huang, Difang & Wu, Boyao, 2022. "Dynamic correlation of market connectivity, risk spillover and abnormal volatility in stock price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    27. Wen, Shigang & Li, Jianping & Huang, Chuangxia & Zhu, Xiaoqian, 2023. "Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 190-202.
    28. Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019. "LASSO-Driven Inference in Time and Space," CeMMAP working papers CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    29. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
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    33. Habibi, Hamidreza & Mohammadi, Hassan, 2022. "Return and volatility spillovers across the Western and MENA countries," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
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    38. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
    39. Bernardi, M. & Durante, F. & Jaworski, P., 2017. "CoVaR of families of copulas," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 8-17.
    40. Zbonakova, Lenka & Härdle, Wolfgang Karl & Wang, Weining, 2016. "Time varying quantile Lasso," SFB 649 Discussion Papers 2016-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    41. Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    42. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Measuring risk contagion in financial networks with CoVaR," Papers 2309.15511, arXiv.org, revised Jun 2024.
    43. Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
    44. Huang, Wei-Qiang & Wang, Dan, 2020. "Financial network linkages to predict economic output," Finance Research Letters, Elsevier, vol. 33(C).
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    46. Arreola Hernandez, Jose & Kang, Sang Hoon & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2020. "Spillovers and diversification potential of bank equity returns from developed and emerging America," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    47. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
    48. Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
    49. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
    50. Yu, Lining & Härdle, Wolfgang Karl & Borke, Lukas & Benschop, Thijs, 2017. "FRM: A financial risk meter based on penalizing tail events occurrence," SFB 649 Discussion Papers 2017-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    51. Liao, Yin & Pan, Zheyao, 2022. "Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    52. Nekhili, Ramzi & Foglia, Matteo & Bouri, Elie, 2023. "European bank credit risk transmission during the credit Suisse collapse," Finance Research Letters, Elsevier, vol. 58(PB).
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    54. Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
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    56. Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2022. "Crypto Asset Portfolio Selection," FinTech, MDPI, vol. 1(1), pages 1-9, February.
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    60. Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    61. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
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    110. Wang, Ze & Gao, Xiangyun & Huang, Shupei & Sun, Qingru & Chen, Zhihua & Tang, Renwu & Di, Zengru, 2022. "Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    111. Lang, Chunlin & Hu, Yang & Corbet, Shaen & Hou, Yang (Greg), 2024. "Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    112. Li, Xinjue & Zbonakova, Lenka & Härdle, Wolfgang Karl, 2017. "Penalized adaptive method in forecasting with large information set and structure change," SFB 649 Discussion Papers 2017-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    113. Zhao, Yingxiu & Goodell, John W. & Shen, Dehua, 2024. "Spillover effects according to classification of cryptocurrency," Finance Research Letters, Elsevier, vol. 65(C).
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    137. Zhu, Huiming & Li, Shuang & Huang, Zishan, 2023. "Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 1-30.
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    139. Fenghua Wen & Kaiyan Weng & Wei-Xing Zhou, 2020. "Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach," Risk Management, Palgrave Macmillan, vol. 22(4), pages 310-337, December.
    140. Chen, Huayi & Shi, Huai-Long & Zhou, Wei-Xing, 2024. "Carbon volatility connectedness and the role of external uncertainties: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 33(C).
    141. Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
    142. Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
    143. Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022. "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, vol. 46(PB).
    144. Lining Yu & Wolfgang Karl Hardle & Lukas Borke & Thijs Benschop, 2020. "An AI approach to measuring financial risk," Papers 2009.13222, arXiv.org.
    145. Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
    146. Zhu, Bo & Deng, Yuanyue & Lin, Renda & Hu, Xin & Chen, Pingshe, 2022. "Energy security: Does systemic risk spillover matter? Evidence from China," Energy Economics, Elsevier, vol. 114(C).
    147. Liu, Ruicheng & Pun, Chi Seng, 2022. "Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach," Journal of Banking & Finance, Elsevier, vol. 136(C).
    148. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost,Tomáš, 2020. "From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks," EconStor Preprints 218944, ZBW - Leibniz Information Centre for Economics.
    149. Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022. "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, vol. 84(C).
    150. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    151. Daniel Traian PELE & Alexandra Ioana CONDA & Raul Cristian BAG & Miruna MAZURENCU-MARINESCU-PELE & Vasile Alecsandru STRAT, 2023. "Financial Risk Meter for The Romanian Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-24, March.
    152. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).
    153. Ren, Rui & Lu, Meng-Jou & Li, Yingxing & Härdle, Wolfgang Karl, 2022. "Financial Risk Meter FRM based on Expectiles," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    154. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema, 2019. "Tail event driven networks of SIFIs," Journal of Econometrics, Elsevier, vol. 208(1), pages 282-298.
    155. Karim, Sitara & Shafiullah, Muhammad & Naeem, Muhammad Abubakr, 2024. "When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    156. Xie, Qichang & Fang, Tingwei & Rong, Xueyun & Xu, Xin, 2024. "Nonlinear behavior of tail risk resonance and early warning: Insight from global energy stock markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    157. Hu, Junjie & Härdle, Wolfgang, 2021. "Networks of news and cross-sectional returns," IRTG 1792 Discussion Papers 2021-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    158. Chen, Elynn Y. & Fan, Jianqing & Zhu, Xuening, 2023. "Community network auto-regression for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1239-1256.
    159. Zbonakova, L. & Härdle, W.K. & Wang, W., 2016. "Time Varying Quantile Lasso," Working Papers 16/07, Department of Economics, City University London.
    160. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    161. Muzi Chen & Nan Li & Lifen Zheng & Difang Huang & Boyao Wu, 2024. "Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price," Papers 2403.19363, arXiv.org.
    162. Wang, Gang-Jin & Chen, Yan & Zhu, You & Xie, Chi, 2024. "Systemic risk prediction using machine learning: Does network connectedness help prediction?," International Review of Financial Analysis, Elsevier, vol. 93(C).
    163. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    164. Ren, Rui & Althof, Michael & Härdle, Wolfgang Karl, 2020. "Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis," IRTG 1792 Discussion Papers 2020-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    165. Zhu, Xuening & Chang, Xiangyu & Li, Runze & Wang, Hansheng, 2019. "Portal nodes screening for large scale social networks," Journal of Econometrics, Elsevier, vol. 209(2), pages 145-157.
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    168. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).
    169. Ren, Yinghua & Tan, Anqi & Zhu, Huiming & Zhao, Wanru, 2022. "Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?," International Review of Financial Analysis, Elsevier, vol. 81(C).

  18. Fan, Yan & Härdle, Wolfgang Karl & Wang, Weining & Zhu, Lixing, 2013. "Composite quantile regression for the single-index model," SFB 649 Discussion Papers 2013-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Yazhao Lv & Riquan Zhang & Weihua Zhao & Jicai Liu, 2015. "Quantile regression and variable selection of partial linear single-index model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(2), pages 375-409, April.
    2. Poeschel, Friedrich, 2012. "Assortative matching through signals," IAB-Discussion Paper 201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    3. Yu, Lining & Härdle, Wolfgang Karl & Borke, Lukas & Benschop, Thijs, 2017. "FRM: A financial risk meter based on penalizing tail events occurrence," SFB 649 Discussion Papers 2017-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Kangning Wang & Lu Lin, 2017. "Robust and efficient direction identification for groupwise additive multiple-index models and its applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 22-45, March.
    5. Jing Sun, 2016. "Composite quantile regression for single-index models with asymmetric errors," Computational Statistics, Springer, vol. 31(1), pages 329-351, March.
    6. Lining Yu & Wolfgang Karl Hardle & Lukas Borke & Thijs Benschop, 2020. "An AI approach to measuring financial risk," Papers 2009.13222, arXiv.org.

  19. Fan, Yan & Härdle, Wolfgang Karl & Wang, Weining & Zhu, Lixing, 2013. "Composite quantile regression for the single-index model," SFB 649 Discussion Papers 2013-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Yazhao Lv & Riquan Zhang & Weihua Zhao & Jicai Liu, 2015. "Quantile regression and variable selection of partial linear single-index model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(2), pages 375-409, April.
    2. Poeschel, Friedrich, 2012. "Assortative matching through signals," IAB-Discussion Paper 201215, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    3. Yu, Lining & Härdle, Wolfgang Karl & Borke, Lukas & Benschop, Thijs, 2017. "FRM: A financial risk meter based on penalizing tail events occurrence," SFB 649 Discussion Papers 2017-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Kangning Wang & Lu Lin, 2017. "Robust and efficient direction identification for groupwise additive multiple-index models and its applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(1), pages 22-45, March.
    5. Jing Sun, 2016. "Composite quantile regression for single-index models with asymmetric errors," Computational Statistics, Springer, vol. 31(1), pages 329-351, March.
    6. Lining Yu & Wolfgang Karl Hardle & Lukas Borke & Thijs Benschop, 2020. "An AI approach to measuring financial risk," Papers 2009.13222, arXiv.org.

  20. Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012. "Quantile regression in risk calibration," SFB 649 Discussion Papers 2012-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Zevallos, Mauricio & Villarreal, Fernanda & Del Carpio, Carlos & Abbara, Omar, 2014. "Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano," Working Papers 2014-023, Banco Central de Reserva del Perú.
    2. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    3. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    4. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
    5. Marcelo Bianconi & Xiaxin Hua & Chih Ming Tan, 2013. "Determinants of Systemic Risk and Information Dissemination," Working Paper series 67_13, Rimini Centre for Economic Analysis.
    6. Dong, Xiyong & Yoon, Seong-Min, 2023. "Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets," Energy Economics, Elsevier, vol. 121(C).
    7. Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2021. "TrAffic LIght system for systemic Stress: TALIS3," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    8. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
    9. Lea Petrella & Alessandro G. Laporta & Luca Merlo, 2019. "Cross-Country Assessment of Systemic Risk in the European Stock Market: Evidence from a CoVaR Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 146(1), pages 169-186, November.
    10. Zhiwei Zhang & Dayong Zhang & Fei Wu & Qiang Ji, 2021. "Systemic risk in the Chinese financial system: A copula‐based network approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2044-2063, April.
    11. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    12. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
    13. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.

  21. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers 2012-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.

  22. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers 2012-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.

  23. Wang, Weining & Bobojonov, Ihtiyor & Härdle, Wolfgang Karl & Odening, Martin, 2011. "Increasing weather risk: Fact of fiction?," SFB 649 Discussion Papers 2011-077, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  24. Härdle, Wolfgang Karl & Schulz, Rainer & Wang, Weining, 2010. "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers 2010-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    4. Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    7. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  25. Härdle, Wolfgang Karl & Spokoiny, Vladimir & Wang, Weining, 2010. "Local quantile regression," SFB 649 Discussion Papers 2011-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers 2011-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Scheffel, Juliane, 2011. "Compensation of unusual working schedules," SFB 649 Discussion Papers 2011-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Mechtenberg, Lydia & Münster, Johannes, 2011. "A strategic mediator who is biased into the same direction as the expert can improve information transmission," SFB 649 Discussion Papers 2011-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Santiago Moreno-Bromberg & Luca Taschini, 2011. "Pollution Permits, Strategic Trading and Dynamic Technology Adoption," CESifo Working Paper Series 3399, CESifo.
    6. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Congbo Chen & Azhong Ye, 2021. "Heterogeneous Effects of ICT across Multiple Economic Development in Chinese Cities: A Spatial Quantile Regression Model," Sustainability, MDPI, vol. 13(2), pages 1-13, January.
    10. Stahlschmidt, Stephan & Tausendteufel, Helmut & Härdle, Wolfgang Karl, 2011. "Bayesian Networks and sex-related homicides," SFB 649 Discussion Papers 2011-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Raffaele Fiocco & Mario Gilli, 2011. "Bargaining and Collusion in a Regulatory Model," Working Papers 207, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    12. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Naujokat, Felix & Horst, Ulrich, 2011. "When to cross the spread: Curve following with singular control," SFB 649 Discussion Papers 2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    16. Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012. "Quantile regression in risk calibration," SFB 649 Discussion Papers 2012-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Gentle, James E. & Härdle, Wolfgang Karl & Mori, Yuichi, 2011. "How computational statistics became the backbone of modern data science," SFB 649 Discussion Papers 2011-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Zharova, Alona & Mihoci, Andrija & Härdle, Wolfgang Karl, 2016. "Academic ranking scales in economics: Prediction and imputation," SFB 649 Discussion Papers 2016-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Fiocco, Raffaele & Scarpa, Carlo, 2011. "The regulation of interdependent markets," SFB 649 Discussion Papers 2011-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    24. BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    25. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    26. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    27. Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    28. Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Yang, Linchuan & Chau, K.W. & Wang, Xu, 2019. "Are low-end housing purchasers more willing to pay for access to basic public services? Evidence from China," Research in Transportation Economics, Elsevier, vol. 76(C).
    31. Bindseil, Ulrich & König, Philipp Johann, 2011. "The economics of TARGET2 balances," SFB 649 Discussion Papers 2011-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    32. Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    34. Bibinger, Markus, 2011. "Asymptotics of asynchronicity," SFB 649 Discussion Papers 2011-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    36. Meyer-Gohde, Alexander, 2011. "Monetary policy, determinacy, and the natural rate hypothesis," SFB 649 Discussion Papers 2011-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. Hofmann, Dirk & Qari, Salmai, 2011. "The law of attraction bilateral search and horizontal heterogeneity," SFB 649 Discussion Papers 2011-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    39. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    40. Moreno-Bromberg, Santiago & Pirvu, Traian A. & Réveillac, Anthony, 2011. "CRRA utility maximization under risk constraints," SFB 649 Discussion Papers 2011-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    41. Lai, Yani & Zheng, Xian & Choy, Lennon H.T. & Wang, Jiayuan, 2017. "Property rights and housing prices: An empirical study of small property rights housing in Shenzhen, China," Land Use Policy, Elsevier, vol. 68(C), pages 429-437.
    42. Xiaoqi Zhang & Yanqiao Zheng & Lei Sun & Qiwen Dai, 2019. "Urban Structure, Subway Systemand Housing Price: Evidence from Beijing and Hangzhou, China," Sustainability, MDPI, vol. 11(3), pages 1-23, January.

  26. Härdle, Wolfgang Karl & Okhrin, Yarema & Wang, Weining, 2010. "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers 2010-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. Belomestny, Denis & Ma, Shujie & Härdle, Wolfgang Karl, 2014. "Pricing kernel modeling," SFB 649 Discussion Papers 2015-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Denis Belomestny & Wolfgang Karl Härdle & Ekaterina Krymova, 2017. "Sieve Estimation Of The Minimal Entropy Martingale Marginal Density With Application To Pricing Kernel Estimation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-21, September.
    4. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Grith, Maria & Karl Härdle, Wolfgang & Krätschmer, Volker, 2013. "Reference dependent preferences and the EPK puzzle," SFB 649 Discussion Papers 2013-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Brendan K. Beare & Lawrence D. W. Schmidt, 2016. "An Empirical Test of Pricing Kernel Monotonicity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 338-356, March.
    7. Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
    9. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    10. Ulrich Horst & Santiago Moreno-Bromberg, 2011. "Efficiency and Equilibria in Games of Optimal Derivative Design," Papers 1107.0839, arXiv.org.
    11. Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    14. Härdle, Wolfgang Karl & Moro, Rouslan A. & Hoffmann, Linda, 2010. "Learning machines supporting bankruptcy prediction," SFB 649 Discussion Papers 2010-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
    16. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Yuri Golubev & Wolfgang Härdle & Roman Timofeev, 2014. "Testing monotonicity of pricing kernels," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(4), pages 305-326, October.
    22. Audrino, Francesco & Meier, Pirmin, 2012. "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series 1210, University of St. Gallen, School of Economics and Political Science.
    23. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    24. Dietmar P. J. Leisen, 2017. "The shape of small sample biases in pricing kernel estimations," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 943-958, June.

  27. Härdle, Wolfgang Karl & Schulz, Rainer & Wang, Weining, 2010. "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers 2010-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    4. Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    7. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  28. Härdle, Wolfgang Karl & Okhrin, Yarema & Wang, Weining, 2010. "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers 2010-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. Belomestny, Denis & Ma, Shujie & Härdle, Wolfgang Karl, 2014. "Pricing kernel modeling," SFB 649 Discussion Papers 2015-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Denis Belomestny & Wolfgang Karl Härdle & Ekaterina Krymova, 2017. "Sieve Estimation Of The Minimal Entropy Martingale Marginal Density With Application To Pricing Kernel Estimation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-21, September.
    4. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Grith, Maria & Karl Härdle, Wolfgang & Krätschmer, Volker, 2013. "Reference dependent preferences and the EPK puzzle," SFB 649 Discussion Papers 2013-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Brendan K. Beare & Lawrence D. W. Schmidt, 2016. "An Empirical Test of Pricing Kernel Monotonicity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 338-356, March.
    7. Baranovski, Alexander L., 2010. "Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling," SFB 649 Discussion Papers 2010-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
    9. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121, December.
    10. Ulrich Horst & Santiago Moreno-Bromberg, 2011. "Efficiency and Equilibria in Games of Optimal Derivative Design," Papers 1107.0839, arXiv.org.
    11. Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    14. Härdle, Wolfgang Karl & Moro, Rouslan A. & Hoffmann, Linda, 2010. "Learning machines supporting bankruptcy prediction," SFB 649 Discussion Papers 2010-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
    16. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Hecht, Carolin & Hanewald, Katja, 2010. "Sociodemographic, economic, and psychological drivers of the demand for life insurance: Evidence from the German Retirement Income Act," SFB 649 Discussion Papers 2010-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Yuri Golubev & Wolfgang Härdle & Roman Timofeev, 2014. "Testing monotonicity of pricing kernels," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(4), pages 305-326, October.
    22. Audrino, Francesco & Meier, Pirmin, 2012. "Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines," Economics Working Paper Series 1210, University of St. Gallen, School of Economics and Political Science.
    23. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    24. Dietmar P. J. Leisen, 2017. "The shape of small sample biases in pricing kernel estimations," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 943-958, June.

  29. Härdle, Wolfgang Karl & Spokoiny, Vladimir & Wang, Weining, 2010. "Local quantile regression," SFB 649 Discussion Papers 2011-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers 2011-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Scheffel, Juliane, 2011. "Compensation of unusual working schedules," SFB 649 Discussion Papers 2011-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Mechtenberg, Lydia & Münster, Johannes, 2011. "A strategic mediator who is biased into the same direction as the expert can improve information transmission," SFB 649 Discussion Papers 2011-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Santiago Moreno-Bromberg & Luca Taschini, 2011. "Pollution Permits, Strategic Trading and Dynamic Technology Adoption," CESifo Working Paper Series 3399, CESifo.
    6. Chen, Ying & Han, Qian & Niu, Linlin, 2018. "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers 2018-046, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Congbo Chen & Azhong Ye, 2021. "Heterogeneous Effects of ICT across Multiple Economic Development in Chinese Cities: A Spatial Quantile Regression Model," Sustainability, MDPI, vol. 13(2), pages 1-13, January.
    10. Stahlschmidt, Stephan & Tausendteufel, Helmut & Härdle, Wolfgang Karl, 2011. "Bayesian Networks and sex-related homicides," SFB 649 Discussion Papers 2011-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Raffaele Fiocco & Mario Gilli, 2011. "Bargaining and Collusion in a Regulatory Model," Working Papers 207, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    12. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Naujokat, Felix & Horst, Ulrich, 2011. "When to cross the spread: Curve following with singular control," SFB 649 Discussion Papers 2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    16. Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012. "Quantile regression in risk calibration," SFB 649 Discussion Papers 2012-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Gentle, James E. & Härdle, Wolfgang Karl & Mori, Yuichi, 2011. "How computational statistics became the backbone of modern data science," SFB 649 Discussion Papers 2011-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Zharova, Alona & Mihoci, Andrija & Härdle, Wolfgang Karl, 2016. "Academic ranking scales in economics: Prediction and imputation," SFB 649 Discussion Papers 2016-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Fiocco, Raffaele & Scarpa, Carlo, 2011. "The regulation of interdependent markets," SFB 649 Discussion Papers 2011-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    24. BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    25. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    26. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    27. Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    28. Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Yang, Linchuan & Chau, K.W. & Wang, Xu, 2019. "Are low-end housing purchasers more willing to pay for access to basic public services? Evidence from China," Research in Transportation Economics, Elsevier, vol. 76(C).
    31. Bindseil, Ulrich & König, Philipp Johann, 2011. "The economics of TARGET2 balances," SFB 649 Discussion Papers 2011-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    32. Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    34. Bibinger, Markus, 2011. "Asymptotics of asynchronicity," SFB 649 Discussion Papers 2011-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    36. Meyer-Gohde, Alexander, 2011. "Monetary policy, determinacy, and the natural rate hypothesis," SFB 649 Discussion Papers 2011-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. Hofmann, Dirk & Qari, Salmai, 2011. "The law of attraction bilateral search and horizontal heterogeneity," SFB 649 Discussion Papers 2011-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    39. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    40. Moreno-Bromberg, Santiago & Pirvu, Traian A. & Réveillac, Anthony, 2011. "CRRA utility maximization under risk constraints," SFB 649 Discussion Papers 2011-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    41. Lai, Yani & Zheng, Xian & Choy, Lennon H.T. & Wang, Jiayuan, 2017. "Property rights and housing prices: An empirical study of small property rights housing in Shenzhen, China," Land Use Policy, Elsevier, vol. 68(C), pages 429-437.
    42. Xiaoqi Zhang & Yanqiao Zheng & Lei Sun & Qiwen Dai, 2019. "Urban Structure, Subway Systemand Housing Price: Evidence from Beijing and Hangzhou, China," Sustainability, MDPI, vol. 11(3), pages 1-23, January.

  30. Härdle, Wolfgang Karl & López Cabrera, Brenda & Okhrin, Ostap & Wang, Weining, 2010. "Localising temperature risk," SFB 649 Discussion Papers 2011-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers 2011-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Scheffel, Juliane, 2011. "Compensation of unusual working schedules," SFB 649 Discussion Papers 2011-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers 2014-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Mechtenberg, Lydia & Münster, Johannes, 2011. "A strategic mediator who is biased into the same direction as the expert can improve information transmission," SFB 649 Discussion Papers 2011-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Santiago Moreno-Bromberg & Luca Taschini, 2011. "Pollution Permits, Strategic Trading and Dynamic Technology Adoption," CESifo Working Paper Series 3399, CESifo.
    7. Cao, Xiaofeng & Okhrin, Ostap & Odening, Martin & Ritter, Matthias, 2014. "Modelling spatiotemporal variability of temperature," SFB 649 Discussion Papers 2014-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers 2011-071, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011. "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers 2011-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Stahlschmidt, Stephan & Tausendteufel, Helmut & Härdle, Wolfgang Karl, 2011. "Bayesian Networks and sex-related homicides," SFB 649 Discussion Papers 2011-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Raffaele Fiocco & Mario Gilli, 2011. "Bargaining and Collusion in a Regulatory Model," Working Papers 207, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    12. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2011. "Financial network systemic risk contributions," SFB 649 Discussion Papers 2011-072, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Shen, Zhiwei, 2016. "Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking," 156th Seminar, October 4, 2016, Wageningen, The Netherlands 249984, European Association of Agricultural Economists.
    16. Naujokat, Felix & Horst, Ulrich, 2011. "When to cross the spread: Curve following with singular control," SFB 649 Discussion Papers 2011-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Gentle, James E. & Härdle, Wolfgang Karl & Mori, Yuichi, 2011. "How computational statistics became the backbone of modern data science," SFB 649 Discussion Papers 2011-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Bertrand, Aurelie & Hafner, Christian, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Discussion Papers ISBA 2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Hautsch, Nikolaus & Huang, Ruihong, 2011. "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers 2011-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Fiocco, Raffaele & Scarpa, Carlo, 2011. "The regulation of interdependent markets," SFB 649 Discussion Papers 2011-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    22. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013. "Multivariate volatility modeling of electricity futures," LIDAM Reprints CORE 2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    24. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    25. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    26. Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011. "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers 2011-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    27. Grochowicz, Aleksander & Benth, Fred Espen & Zeyringer, Marianne, 2024. "Spatio-temporal smoothing and dynamics of different electricity flexibility options for highly renewable energy systems—Case study for Norway," Applied Energy, Elsevier, vol. 356(C).
    28. Kratz, Peter & Schöneborn, Torsten, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers 2011-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Härdle, Wolfgang Karl & Osipenko, Maria, 2011. "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers 2011-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    30. Bindseil, Ulrich & König, Philipp Johann, 2011. "The economics of TARGET2 balances," SFB 649 Discussion Papers 2011-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    31. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
    32. Cebiroğlu, Gökhan & Horst, Ulrich, 2011. "Optimal display of Iceberg orders," SFB 649 Discussion Papers 2011-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    33. Tischer, Sven & Hildebrandt, Lutz, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers 2011-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    34. Bibinger, Markus, 2011. "Asymptotics of asynchronicity," SFB 649 Discussion Papers 2011-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    35. Bibinger, Markus, 2011. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers 2011-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    36. Meyer-Gohde, Alexander, 2011. "Monetary policy, determinacy, and the natural rate hypothesis," SFB 649 Discussion Papers 2011-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. López Cabrera, Brenda & Schulz, Franziska, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers 2013-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    38. Hofmann, Dirk & Qari, Salmai, 2011. "The law of attraction bilateral search and horizontal heterogeneity," SFB 649 Discussion Papers 2011-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    39. Melzer, Awdesch & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2017. "Pricing Green Financial Products," SFB 649 Discussion Papers 2017-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    40. Schneider, Dorothee, 2011. "The labor share: A review of theory and evidence," SFB 649 Discussion Papers 2011-069, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    41. Moreno-Bromberg, Santiago & Pirvu, Traian A. & Réveillac, Anthony, 2011. "CRRA utility maximization under risk constraints," SFB 649 Discussion Papers 2011-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

Articles

  1. Usman, M. & Hamid, M. & Zubair, T. & Haq, R.U. & Wang, W. & Liu, M.B., 2020. "Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials," Applied Mathematics and Computation, Elsevier, vol. 372(C).

    Cited by:

    1. Usman, Muhammad & Hamid, Muhammad & Liu, Moubin, 2021. "Novel operational matrices-based finite difference/spectral algorithm for a class of time-fractional Burger equation in multidimensions," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    2. Zubair, Tamour & Lu, Tiao & Usman, Muhammad, 2021. "Higher dimensional semi-relativistic time-fractional Vlasov-Maxwell code for numerical simulation based on linear polarization and 2D Landau damping instability," Applied Mathematics and Computation, Elsevier, vol. 401(C).
    3. Bukhari, Ayaz Hussain & Raja, Muhammad Asif Zahoor & Rafiq, Naila & Shoaib, Muhammad & Kiani, Adiqa Kausar & Shu, Chi-Min, 2022. "Design of intelligent computing networks for nonlinear chaotic fractional Rossler system," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
    4. Dehestani, H. & Ordokhani, Y. & Razzaghi, M., 2020. "Application of fractional Gegenbauer functions in variable-order fractional delay-type equations with non-singular kernel derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    5. Jaradat, Imad & Alquran, Marwan & Sulaiman, Tukur A. & Yusuf, Abdullahi, 2022. "Analytic simulation of the synergy of spatial-temporal memory indices with proportional time delay," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
    6. Usman, Muhammad & Hamid, Muhammad & Khan, Zafar Hayat & Haq, Rizwan Ul, 2021. "Neuronal dynamics and electrophysiology fractional model: A modified wavelet approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).

  2. Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020. "Pricing Cryptocurrency Options," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 250-279.
    See citations under working paper version above.
  3. Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019. "Network quantile autoregression," Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
    See citations under working paper version above.
  4. Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu, 2018. "Single-Index-Based CoVaR With Very High-Dimensional Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 212-226, April.

    Cited by:

    1. Jun Jin & Tiefeng Ma & Jiajia Dai & Shuangzhe Liu, 2021. "Penalized weighted composite quantile regression for partially linear varying coefficient models with missing covariates," Computational Statistics, Springer, vol. 36(1), pages 541-575, March.
    2. Anna Denkowska & Stanisław Wanat, 2020. "A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector," Risks, MDPI, vol. 8(2), pages 1-22, April.
    3. Kangning Wang & Mengjie Hao & Xiaofei Sun, 2021. "Robust and efficient estimating equations for longitudinal data partial linear models and its applications," Statistical Papers, Springer, vol. 62(5), pages 2147-2168, October.
    4. Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    5. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
    6. Wang, Kangning & Li, Shaomin & Zhang, Benle, 2021. "Robust communication-efficient distributed composite quantile regression and variable selection for massive data," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).
    7. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    8. Bei, Zeyun & Lin, Juan & Zhou, Yinggang, 2024. "No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic," Journal of International Money and Finance, Elsevier, vol. 143(C).
    9. Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    10. Rong Jiang & Mengxian Sun, 2022. "Single-index composite quantile regression for ultra-high-dimensional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(2), pages 443-460, June.
    11. Kangning Wang & Wen Shan, 2021. "Copula and composite quantile regression-based estimating equations for longitudinal data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 441-455, June.
    12. Yunquan Song & Hang Su & Minmin Zhan, 2024. "Local Walsh-average-based Estimation and Variable Selection for Spatial Single-index Autoregressive Models," Networks and Spatial Economics, Springer, vol. 24(2), pages 313-339, June.
    13. Eliana Christou & Michael Grabchak, 2022. "Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 725-753, August.
    14. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).

  5. Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2016. "Localizing Temperature Risk," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1491-1508, October.
    See citations under working paper version above.
  6. Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
    See citations under working paper version above.
  7. Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2015. "Hidden Markov Structures For Dynamic Copulae," Econometric Theory, Cambridge University Press, vol. 31(5), pages 981-1015, October.

    Cited by:

    1. Shih-Feng Huang & Hsin-Han Chiang & Yu-Jun Lin, 2021. "A network autoregressive model with GARCH effects and its applications," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-18, July.
    2. Xiaoning Kang & Xinwei Deng & Kam‐Wah Tsui & Mohsen Pourahmadi, 2020. "On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices," International Statistical Review, International Statistical Institute, vol. 88(3), pages 616-641, December.
    3. Marius Ötting & Roland Langrock & Antonello Maruotti, 2023. "A copula-based multivariate hidden Markov model for modelling momentum in football," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(1), pages 9-27, March.
    4. Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
    5. Marius Ötting & Dimitris Karlis, 2023. "Football tracking data: a copula-based hidden Markov model for classification of tactics in football," Annals of Operations Research, Springer, vol. 325(1), pages 167-183, June.
    6. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    7. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    8. Costanza Naguib & Patrick Gagliardini, 2023. "A Semi-nonparametric Copula Model for Earnings Mobility," Diskussionsschriften dp2302, Universitaet Bern, Departement Volkswirtschaft.
    9. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    10. Naumzik, Christof & Feuerriegel, Stefan & Nielsen, Anne Molgaard, 2023. "Data-driven dynamic treatment planning for chronic diseases," European Journal of Operational Research, Elsevier, vol. 305(2), pages 853-867.

  8. Jürgen Franke & Peter Mwita & Weining Wang, 2015. "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.
    See citations under working paper version above.
  9. Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015. "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 129-145.

    Cited by:

    1. Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
    2. Zhang, Junni L. & Härdle, Wolfgang Karl & Chen, Cathy Y. & Bommes, Elisabeth, 2015. "Distillation of news flow into analysis of stock reactions," SFB 649 Discussion Papers 2015-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  10. Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015. "Uniform Confidence Bands for Pricing Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 376-413.
    See citations under working paper version above.
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