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Dominik Wied

Personal Details

First Name:Dominik
Middle Name:
Last Name:Wied
Suffix:
RePEc Short-ID:pwi327
[This author has chosen not to make the email address public]
https://wisostat.uni-koeln.de/de/wied

Affiliation

Wirtschafts- und Sozialwissenschaftliche Fakultät
Universität zu Köln

Köln, Germany
http://www.wiso.uni-koeln.de/
RePEc:edi:wskoede (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alexander Mayer & Dominik Wied & Victor Troster, 2024. "Quantile Granger Causality in the Presence of Instability," Papers 2402.09744, arXiv.org.
  2. Alexander Mayer & Dominik Wied, 2024. "Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference," Papers 2408.06977, arXiv.org, revised Nov 2024.
  3. Jorg Breitung & Alexander Mayer & Dominik Wied, 2022. "Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations," Papers 2207.09246, arXiv.org, revised Nov 2023.
  4. Dominik Wied, 2022. "Semiparametric Distribution Regression with Instruments and Monotonicity," Papers 2212.03704, arXiv.org.
  5. Alexander Mayer & Dominik Wied, 2021. "Estimation and Inference in Factor Copula Models with Exogenous Covariates," Papers 2107.03366, arXiv.org, revised Dec 2022.
  6. Etienne Theising & Dominik Wied & Daniel Ziggel, 2021. "Reference Class Selection in Similarity-Based Forecasting of Sales Growth," Papers 2107.11133, arXiv.org, revised Nov 2022.
  7. Wagner, Martin & Wied, Dominik, 2014. "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100386, Verein für Socialpolitik / German Economic Association.
  8. Bucher, Axel & Jaschke, Stefan & Wied, Dominik, 2013. "Nonparametric tests for constant tail dependence with an application to energy and finance," LIDAM Discussion Papers ISBA 2013033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  9. Rothe, Christoph & Wied, Dominik, 2012. "Misspecification Testing in a Class of Conditional Distributional Models," IZA Discussion Papers 6364, Institute of Labor Economics (IZA).

Articles

  1. Tim Kutzker & Dominik Wied, 2024. "Testing the correct specification of a system of spatial dependence models for stock returns," Empirical Economics, Springer, vol. 66(5), pages 2083-2103, May.
  2. Wied, Dominik, 2024. "Semiparametric distribution regression with instruments and monotonicity," Labour Economics, Elsevier, vol. 90(C).
  3. Rafael Weißbach & Achim Dörre & Dominik Wied & Gabriele Doblhammer & Anne Fink, 2024. "Left-truncated health insurance claims data: theoretical review and empirical application," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 108(1), pages 31-68, March.
  4. Marvin Borsch & Alexander Mayer & Dominik Wied, 2024. "Consistent Estimation of Multiple Breakpoints in Dependence Measures," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 695-706, April.
  5. Etienne Theising & Dominik Wied & Daniel Ziggel, 2023. "Reference class selection in similarity‐based forecasting of corporate sales growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1069-1085, August.
  6. Mayer, Alexander & Wied, Dominik, 2023. "Estimation and inference in factor copula models with exogenous covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
  7. Fang Duan & Hans Manner & Dominik Wied, 2022. "Model and Moment Selection in Factor Copula Models [Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings]," Journal of Financial Econometrics, Oxford University Press, vol. 20(1), pages 45-75.
  8. Kaldorf Matthias & Wied Dominik, 2022. "Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 1-24, February.
  9. Rafael Weißbach & Dominik Wied, 2022. "Truncating the exponential with a uniform distribution," Statistical Papers, Springer, vol. 63(4), pages 1247-1270, August.
  10. Victor Troster & José Penalva & Abderrahim Taamouti & Dominik Wied, 2021. "Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1291-1309, November.
  11. Tim Kutzker & Florian Stark & Dominik Wied, 2021. "Testing for relevant dependence change in financial data: a CUSUM copula approach," Empirical Economics, Springer, vol. 60(4), pages 1875-1894, April.
  12. Manner Hans & Stark Florian & Wied Dominik, 2021. "A monitoring procedure for detecting structural breaks in factor copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(4), pages 171-192, September.
  13. Victor Troster & Dominik Wied, 2021. "A specification test for dynamic conditional distribution models with function-valued parameters," Econometric Reviews, Taylor & Francis Journals, vol. 40(2), pages 109-127, February.
  14. Rothe, Christoph & Wied, Dominik, 2020. "Estimating derivatives of function-valued parameters in a class of moment condition models," Journal of Econometrics, Elsevier, vol. 217(1), pages 1-19.
  15. Manner, Hans & Stark, Florian & Wied, Dominik, 2019. "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, vol. 208(2), pages 324-345.
  16. Peter N. Posch & Daniel Ullmann & Dominik Wied, 2019. "Detecting structural changes in large portfolios," Empirical Economics, Springer, vol. 56(4), pages 1341-1357, April.
  17. Matei Demetrescu & Dominik Wied, 2019. "Testing for constant correlation of filtered series under structural change," The Econometrics Journal, Royal Economic Society, vol. 22(1), pages 10-33.
  18. Fang Duan & Dominik Wied, 2018. "A residual-based multivariate constant correlation test," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 653-687, August.
  19. Dominik Wied, 2017. "A nonparametric test for a constant correlation matrix," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1157-1172, November.
  20. Martin Wagner & Dominik Wied, 2017. "Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 960-980, November.
  21. Dehling, Herold & Vogel, Daniel & Wendler, Martin & Wied, Dominik, 2017. "Testing For Changes In Kendall’S Tau," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1352-1386, December.
  22. Pedro Galeano & Dominik Wied, 2017. "Dating multiple change points in the correlation matrix," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 331-352, June.
  23. Thilo A. Schmitt & Rudi Schäfer & Dominik Wied & Thomas Guhr, 2016. "Spatial dependence in stock returns: local normalization and VaR forecasts," Empirical Economics, Springer, vol. 50(3), pages 1091-1109, May.
  24. Holger Dette & Dominik Wied, 2016. "Detecting relevant changes in time series models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 371-394, March.
  25. Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016. "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 121-132.
  26. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
  27. Dominik Wied, 2016. "J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition)," Statistical Papers, Springer, vol. 57(3), pages 845-845, September.
  28. Krämer, Walter & Wied, Dominik, 2015. "A simple and focused backtest of value at risk," Economics Letters, Elsevier, vol. 137(C), pages 29-31.
  29. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
  30. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
  31. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.
  32. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
  33. Matthias Arnold & Dominik Wied, 2014. "Improved GMM estimation of random effects panel data models with spatially correlated error components," Papers in Regional Science, Wiley Blackwell, vol. 93(1), pages 77-99, March.
  34. Matthias Borowski & Nikolaus Rudak & Birger Hussong & Dominik Wied & Sonja Kuhnt & Wolfgang Tillmann, 2014. "On- and offline detection of structural breaks in thermal spraying processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(5), pages 1073-1090, May.
  35. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
  36. Tobias Berens & Dominik Wied & Daniel Ziggel, 2014. "Automated Portfolio Optimization Based on a New Test for Structural Breaks," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 2(2), pages 243-264, April.
  37. Matthias Arnold & Sebastian Stahlberg & Dominik Wied, 2013. "Modeling different kinds of spatial dependence in stock returns," Empirical Economics, Springer, vol. 44(2), pages 761-774, April.
  38. Christoph Rothe & Dominik Wied, 2013. "Misspecification Testing in a Class of Conditional Distributional Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(501), pages 314-324, March.
  39. Dominik Wied, 2013. "CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 221-229, March.
  40. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 87-103, March.
  41. Dominik Wied & Daniel Ziggel & Tobias Berens, 2013. "On the application of new tests for structural changes on global minimum-variance portfolios," Statistical Papers, Springer, vol. 54(4), pages 955-975, November.
  42. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
  43. Dominik Wied & Rafael Weißbach, 2012. "Consistency of the kernel density estimator: a survey," Statistical Papers, Springer, vol. 53(1), pages 1-21, February.
  44. Wied, Dominik & Krämer, Walter & Dehling, Herold, 2012. "Testing For A Change In Correlation At An Unknown Point In Time Using An Extended Functional Delta Method," Econometric Theory, Cambridge University Press, vol. 28(3), pages 570-589, June.
  45. Dominik Wied, 2011. "Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction," Statistical Papers, Springer, vol. 52(3), pages 735-736, August.
  46. Arnold, Matthias & Wied, Dominik, 2010. "Improved GMM estimation of the spatial autoregressive error model," Economics Letters, Elsevier, vol. 108(1), pages 65-68, July.

More information

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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 8 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 (7) 2012-03-08 2015-02-22 2021-07-19 2022-08-29 2023-01-23 2024-03-25 2024-09-23. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2015-02-22 2024-03-25
  3. NEP-ENE: Energy Economics (1) 2024-03-25
  4. NEP-ISF: Islamic Finance (1) 2021-08-16
  5. NEP-ORE: Operations Research (1) 2021-07-19

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