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Alexander Heinemann

Personal Details

First Name:Alexander
Middle Name:
Last Name:Heinemann
Suffix:
RePEc Short-ID:phe664
[This author has chosen not to make the email address public]

Affiliation

Vakgroep Kwantitatieve Economie
School of Business and Economics
Maastricht University

Maastricht, Netherlands
http://www.maastrichtuniversity.nl/web/Faculties/SBE/Theme/Departments/QuantitativeEconomics.htm
RePEc:edi:dqmaanl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019. "A General Framework for Prediction in Time Series Models," Papers 1902.01622, arXiv.org.
  2. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
  3. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018. "A Residual Bootstrap for Conditional Value-at-Risk," Papers 1808.09125, arXiv.org, revised Aug 2023.
  4. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
  5. Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
  6. Heinemann, A., 2013. "Sieve bootstrapping in the Lee-Carter model," Research Memorandum 069, Maastricht University, Graduate School of Business and Economics (GSBE).

Articles

  1. Alexander Heinemann, 2017. "Efficient estimation of factor models with time and cross‐sectional dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1107-1122, September.

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. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.

    Cited by:

    1. Francq, Christian & Zakoian, Jean-Michel, 2024. "Finite moments testing in a general class of nonlinear time series models," MPRA Paper 121193, University Library of Munich, Germany.
    2. Francq, Christian & Zakoian, Jean-Michel, 2021. "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper 110511, University Library of Munich, Germany.
    3. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.

  2. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2018. "A Residual Bootstrap for Conditional Value-at-Risk," Papers 1808.09125, arXiv.org, revised Aug 2023.

    Cited by:

    1. Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
    2. Christian Francq & Jean-Michel Zakoian, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers 1909.04661, arXiv.org.
    3. Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.
    4. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    5. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
    6. Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
    7. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.
    8. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
    9. Heil, Thomas L.A. & Peter, Franziska J. & Prange, Philipp, 2022. "Measuring 25 years of global equity market co-movement using a time-varying spatial model," Journal of International Money and Finance, Elsevier, vol. 128(C).

  3. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.

    Cited by:

    1. Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
    2. Alexander Heinemann, 2019. "A Bootstrap Test for the Existence of Moments for GARCH Processes," Papers 1902.01808, arXiv.org, revised Jul 2019.

  4. Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).

    Cited by:

    1. Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2024. "A residual bootstrap for conditional Value-at-Risk," Journal of Econometrics, Elsevier, vol. 238(2).
    2. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2019. "A General Framework for Prediction in Time Series Models," Papers 1902.01622, arXiv.org.
    3. Christian Francq & Jean-Michel Zakoian, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers 1909.04661, arXiv.org.
    4. Alexander Heinemann & Sean Telg, 2018. "A Residual Bootstrap for Conditional Expected Shortfall," Papers 1811.11557, arXiv.org.
    5. Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017. "A Justification of Conditional Confidence Intervals," Papers 1710.00643, arXiv.org, revised Jan 2019.
    6. Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.

Articles

    Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2013-12-15 2017-10-08 2018-09-17 2018-12-17 2019-02-11 2019-02-11. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2013-12-15 2019-02-11 2019-02-11
  3. NEP-RMG: Risk Management (3) 2017-10-15 2018-09-17 2018-12-17
  4. NEP-ORE: Operations Research (1) 2017-10-15

Corrections

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