2023 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
Intercept Estimation in Nonlinear Selection Models* | Arulampalan, W., Corradi, V., Gutknecht, D. | Econometric Theory, forthcoming | ||
Expectation dispersion, uncertainty, and the reaction to news* | Born, B., Dovern, J., Enders, Z. | European Economic Review, 154, 104440 | ||
Learning to Forecast: The Probabilistic Time Series Forecasting Challenge | Bracher, J., Koster, N., Krüger, F., Lerch, S. | The American Statistician, forthcoming | ||
Large Spillover Networks of Nonstationary Systems | Chen, S., Schienle, M. | Journal of Business & Economic Statistics, forthcoming | ||
Testing for quantile sample selection* | Corradi, V., Gutknecht, D. | The Econometrics Journal, 26(2), 147-173 | ||
Honest calibration assessment for binary outcome predictions | Dimitriadis, T., Dümbgen, L., Henzi, A., Puke, M., Ziegel, J. | Biometrika, forthcoming | ||
Characterizing M-estimators | Dimitriadis, T., Fissler, T., Ziegel, J. | Biometrika, forthcoming | ||
Osband’s principle for identification functions | Dimitriadis, T., Fissler, T., Ziegel, J. | Statistical Papers, forthcoming | ||
Eliciting Expectation Uncertainty from Private Households* | Dovern, J. | International Journal of Forecasting, forthcoming | ||
Local Information and Firm Expectations about Aggregates* | Dovern, J., Müller, L., Wohlrabe, K. | Journal of Monetary Economics, forthcoming, forthcoming | ||
Probabilistic solar forecasting: Benchmarks, post-processing, verification | Gneiting, T., Lerch, S., Schulz, B. | Solar Energy, 252, 72 – 80 | ||
Model Diagnostics and Forecast Evaluation for Quantiles | Gneiting, T., Wolffram, D., Resin, J., Kraus, K., Bracher, J., Dimitriadis, T., Hagenmeyer, V., Jordan, A.I., Lerch, S., Phipps, K., Schienle, M. | Annual Review of Statistics and Its Application, 10, 597 – 621 | ||
Inference in regression discontinuity designs with high-dimensional covariates | Kreiss, A., Rothe, C. | The Econometrics Journal, 26(2), 105 - 123 | ||
Predicting the Global Minimum Variance Portfolio* | Reh, L., Krüger, F., Liesenfeld, R. | Journal of Business & Economic Statistics 41, 440 - 452 | ||
Partial Autocorrelation Diagnostics for Count Time Series* | Weiß, C.H., Aleksandrov, B., Faymonville, M., Jentsch, C. | Entropy 2023, 25(1), 105 |
2022 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
Novel Goodness-of-Fit Tests for Binomial Count Time Series* | Aleksandrov, B., Weiß, C.H., Jentsch, C., Faymonville, M. | Novel Goodness-of-Fit Tests for Binomial Count Time Series. Statistics, 56(5), 957-990 | ||
National and subnational short-term forecasting of COVID-19 in Germany and Poland during early 2021 | Bracher, J., Wolffram, D., Deuschel, J., Görgen, K., Ketterer, J.L., Ullrich, A., Abbott, S., Barbarossa, M.V., Bertsimas, D., Bhatia, S., Bodych, M., Bosse, N.I., Burgard, J.P., Castro, L., Fairchild, G., Fiedler, J., Fuhrmann, J., Funk, S., Gambin, A., Gogolewski, K., Heyder, S., Hotz, T., Kheifetz, Y., Kirsten, H., Krueger, T., Krymova, E., Leithäuser, N., Li, M.L., Meinke, J.H., Miasojedow, B., Michaud, I.J., Mohring, J., Nouvellet, P., Nowosielski, J.M., Ozanski, T., Radwan, M., Rakowski, F., Scholz, M., Soni, S., Srivastava, A., Gneiting, T., Schienle, M. | Communications Medicine, 2, 136 | ||
Analyzing Intraday Financial Data in R: The highfrequency Package* | Boudt, K., Kleen, O., Sjoerup, E. | Journal of Statistical Software, 104(8) | ||
Sentiment and Firm Behavior During the COVID-19 Pandemic* | Buchheim, L., Dovern, J., Krolage, C., Link, S. | Journal of Economic Behavior & Organization, 195, 186 - 198 | ||
Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best? | Buse, R., Schienle, M., Urban, J. | Journal of International Economics, 139, 103673 | ||
The role of information and experience for households' inflation expectations | Conrad, C., Enders, Z., Glas, A. | European Economic Review, 143, 104015 | ||
Evaluation of individual and ensemble probabilistic forecasts of COVID-19 mortality in the United States | Cramer, E.Y., Ray, E.L., Lopez, V.K., Bracher, J., Brennen, A., Castro Rivadeneira, A.J., Gerding, A., Gneiting, T., (282 further coauthors) , Walker, J.W., Slayton, R.B., Johansson, M.A., Biggerstaff, M., Reich, N.G. | Proceedings of the National Academy of Sciences, 119(15):e2113561119 | ||
Semiparametric Estimation of INAR Models using Roughness Penalization* | Faymonville, M., Jentsch, C., Weiß, C.H., Aleksandrov, B. | Stats Models Applications | ||
Uncertainty Measures from Partially Rounded Probabilistic Forecast Surveys | Glas, A., Hartmann, M. | Quantitative Economics, 13(3), 979-1022 | ||
Receiver operating characteristic (ROC) curves: equivalences, beta model, and minimum distance estimation | Gneiting, T., Vogel, P. | Machine Learning, 111, 2147 – 2159 | ||
Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA) | Gneiting, T., Walz, E. | Machine Learning, 111, 2769 – 2797 | ||
From Point Forecasts to Multivariate Probabilistic Forecasts: The Schaake Shuffle for Day-Ahead Electricity Price Forecasting* | Grothe, O., Kächele, F., Krüger, F. | Energy Economics 120, 106602 | ||
On Testing Equal Conditional Predictive Ability Under Measurement Error | Hoga, Y., Dimitriadis, T. | Journal of Business & Economic Statistics, 41(2), 364 - 376 | ||
Which factors were behind Germany's labour market upswing? A data-driven approach | Hutter, C., Carbonero, F., Klinger, S., Trenkler, C., Weber, E. | Oxford Bulletin of Economics and Statistics, forthcoming | ||
Structural inference in sparse high-dimensional vector autoregressions | Krampe, J., Paparoditis, E., Trenkler, C. | Journal of Econometrics, 234(1), 276-300 | ||
Semi-parametric estimation of incubation and generation times by means of Laguerre polynomials* | Kreiss, A., van Keilegom, I. | Journal of Nonparametric Statistics, 34(3), 570 - 606 | ||
Forecast Uncertainty, Disagreement, and the Linear Pool* | Knüppel, M., Krüger, F. | Journal of Applied Econometrics 37, 23-41 | ||
Backfitting Tests in Generalized Structured Models | Mammen, E., Sperlich, S. | Biometrika, 109(1), 137 - 152 | ||
Collaborative Hubs: Making the Most of Predictive Epidemic Modeling | Reich, N. G., Lessler, J., Funk, S., Viboud, C., Vespignani, A., Tibshirani, R.J., Shea, K., Schienle, M., Runge, M.C., Rosenfeld, R., Ray, E.L., Niehus, R., Johnson, H.C., Johansson, M.A., Hochheiser, H., Gardner, L., Bracher, J., Borchering, R., Biggerstaff, M., | American Journal of Public Health, Volume 112, No 6, 839-842 | ||
Asymptotic Theory for Mack's Model* | Steinmetz, J., Jentsch, C. | Insurance: Mathematics and Economics, 107, 223-268 |
2021 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
Goodness-Of-Fit Tests for Poisson Count Time Series Based on the Stein-Chen Identity* | Aleksandrov, B., Weiß, C.H., Jentsch, C. | Statistica Neerlandica, 76(1), 35-64 | ||
Vorhersagen sind schwer, vor allem die Zukunft betreffend: Kurzzeitprognosen in der Pandemie | Bracher, J., Wolffram, D., Gneiting, T., Schienle, M. | Mitteilungen der Deutschen Mathematiker-Vereinigung, 29(4):186–190 | ||
Short-Term Forecasting of COVID-19 in Germany and Poland During the Second Wave - a Preregistered Study | Bracher, J., Wolffram, D., Deuschel, J., Görgen, K., Ketterer, J.L., Ullrich, A., Abbott, S., Barbarossa, M.V.,Bertsimas, D., Bhatia, S., Bodych, M., Bosse, N.I., Burgard, J.P, Castro, L., Fairchild, G., Fuhrmann, J., Funk, S., Gogolewski, K., Gu, Q., Heyder, S., Hotz, T., Kheifetz, Y., Kirsten, H., Krueger, T., Krymova, E., Li, M.L., Meinke, J.H. , Michaud, I.J. , Niedzielewski, K., Ożański, T., Rakowski, F., Scholz, M., Soni, S., Srivastava, A., Zieliński, J., Zou, D., Gneiting, T., Schienle, M. | Nature Communications, 12, 5173 | ||
Evaluating Epidemic Forecasts in an Interval Format | Bracher, J., Ray, E.L., Gneiting, T., Reich, N.G. | PLOS Computational Biology, 17(2), e1008618 | ||
Scoring Interval Forecasts: Equal-tailed, Shortest, and Modal Interval | Brehmer, J., Gneiting, T. | Bernoulli, 27(3), 1993 - 2010 | ||
Realized Quantiles | Dimiatridis, T., Halbleib, R. | Journal of Business and Economic Statistics, 40(2), 1346 - 1361 | ||
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary | Dimiatridis, T., Liu, X., Schnaitmann, J. | Journal of Financial Econometrics, 21(2), 412 - 444 | ||
Forecast Encompassing Tests for the Expected Shortfall | Dimitriadis, T., Schnaitmann, J. | International Journal of Forecasting, 37 (2), 604 - 622 | ||
Stable Reliability Diagrams for Probabilistic Classifiers | Dimitriadis, T., Gneiting, T., Jordan, A.I. | Proceedings of the National Academy of Sciences (PNAS), 118 (8), e2016191118 | ||
Change Detection in Dynamic Networks Using Network Characteristics* | Flossdorf, J., Jentsch, C. | IEEE Transactions on Signal and Information Processing over Networks, 7, 451 - 464 | ||
Horizon Confidence Sets* | Fosten, J., Gutknecht, D. | Empirical Economics, 61, 667 - 692 | ||
Optimal Estimation of Sparse High-Dimensional Additive Models | Gregory, K., Mammen, E., Wahl, M. | Annals of Statistics, 49(3), 1514 - 1536 | ||
Isotonic Distributional Regression | Henzi, A., Ziegel, J.F., Gneiting, T. | Journal of the Royal Statistical Society: Series B (Statistical Methodology), 83(5):963–993 | ||
Poisson Reduced Rank Models with an Application to Political Text Data | Jentsch, C., Lee, E. R., Mammen, E. | Biometrika, 108 (2), 455 - 468 | ||
Bootstrapping Hill Estimator and Tail Array Sums for Regular Varying Time Series* | Jentsch, C., Kulik, R. | Bernoulli, 27(2), 1409 - 1439 | ||
Asymptotically Valid Bootstrap Inference for Proxy SVARs* | Jentsch, C., Lunsford, K. | Journal of Business and Economic Statistics 40(3) | ||
On the Validity of Akaike's Identity for Random Fields* | Jentsch, C., Meyer, M. | Journal of Econometrics, 222 (1), 676- 687 | ||
Generalized Binary Vector Autoregressive Processes* | Jentsch, C., Reichmann, L. | Journal of Time Series Analysis, 43(2) | ||
Predictive Inference Based on Markov Chain Monte Carlo Output | Krüger, F., Lerch, S., Thorarinsdottir, T., Gneiting, T. | International Statistical Review, 89(2):274–301 | ||
Generic Conditions for Forecast Dominance* | Krüger, F., Ziegel, J.F. | Journal of Business & Economic Statistics 39, 972-983 | ||
Calendar Effect and In-Sample Forecasting | Mammen, E., Martínez-Miranda, M.D., Nielsen, J.P., Vogt, M. | Insurance: Mathematics and Economics, 96, 31 - 52 | ||
RollingLDA: An Update Algorithm of Latent Dirichlet Allocation to Construct Consistent Time Series from Textual Data* | Rieger, J., Jentsch, C. und Rahnenführer, J. | Findings of the Association for Computational Linguistics: EMNLP 2021, 2337-2347 | ||
Interpretation of Point Forecasts with Unknown Directive | Schmidt, P., Katzfuss, M., Gneiting, T. | Journal of Applied Econometrics, 36(6), 728 - 743 | ||
A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models | van den Berg, G. J., Janys, L., Mammen, E., Nielsen, J. P. | Journal of Econometrics, 221 (1), 43 - 67 | ||
Statistical Forecasts for the Occurence of Precipitation Outperform Global Models over Northern Tropical Africa | Vogel, P., Knippertz, P., Gneiting, T., Fink, A.H., Klar, M., Schlueter, A. | Geophysical Research Letters, 48(3), e2020GL091022 |
2020 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
A Nonparametric Approach to Identify Age, Time, and Cohort Effects | Antonczyk, D., Fitzenberger, B., Mammen, E., Yu, K. | Journal of Statistical Planning and Inference, 204, 96 - 115 | ||
Regression Based Expected Shortfall Backtesting | Bayer, S., Dimitriadis, T. | Journal of Financial Econometrics, 20(3), 437 - 471 | ||
Detecting Structural Differences in Tail Dependence of Financial Time Series | Bormann, C., Schienle, M. | Journal of Business and Economic Statistics, 38(2), 380 - 392 | ||
Properization: Constructing Proper Scoring Rules via Bayes Act | Brehmer, J.T., Gneiting, T. | Annals of the Institute of Statistical Mathematics, 72, 659 - 673 | ||
Ill-Posed Estimation in High-Dimensional Models with Instrumental Variables | Breunig, C., Mammen, E., Simoni, A. | Journal of Econometrics, 219, 171 - 200 | ||
Two are Better than One: Volatility Forecasting using Multiplicative Component GARCH-MIDAS Models | Conrad, C., Kleen, O. | Journal of Applied Econometrics, 35, 19-45 | ||
Testing for an Omitted Multiplicative Long-term Component in GARCH Models | Conrad, C., Schienle, M. | Journal of Business and Economic Statistics, 38 (2), 229 - 242 | ||
Forecast Encompassing Tests for the Expected Shortfall | Dimitriadis, T., Schnaitmann, J. | International Journal of Forecasting, 37 (2), 604 - 622 | ||
Anchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area* | Dovern, J., Kenny, G. | International Journal of Central Banking, 16(5), 309 - 347 | ||
Order-Invariant Tests for Proper Calibration of Multivariate Density Forecasts* | Dovern, J., Manner, H. | Journal of Applied Econometrics, 35(4), 440 - 456 | ||
How Economic Crises Damage Potential Output - Evidence from the Great Recession* | Dovern, J., Zuber, C. | Journal of Macroeconomics, 65, 103239 | ||
Recessions and Potential Output: Disentangling Measurement Errors, Supply Shocks, and Hysteresis Effects* | Dovern, J., Zuber, C. | Scandinavian Journal of Economics, 122(4), 1431 - 1466 | ||
Horizon confidence sets | Fosten, J., Gutknecht, D. | Empirical Economics, 61, 667–692 | ||
Bounds on Treatment Effects in Regression Discontinuity Designs with a Manipulated Running Variable | Gerard, F., Rokkanen, M., Rothe, C. | Quantitative Economics, 11 (3), 839 - 870 | ||
Five Dimensions of the Uncertainty-Disagreement Linkage* | Glas, A. | International Journal of Forecasting, 36(2), 607 - 627 | ||
Smooth Backfitting of Proportional Hazards with Multiplicative Components | Hiabu, M., Mammen, E., Martìnez Miranda, M. D., Nielsen, J. P. | Journal of the American Statistical Association, forthcoming | ||
Time-Dependent Poisson Reduced Rank Models for Political Text Data Analysis | Jentsch, C., Lee, E. R., Mammen, E. | Computational Statistics and Data Analysis, 142, 106813 | ||
Predictive Inference based on Markov Chain Monte Carlo Output | Krüger, F., Lerch, S., Thorarinsdottir, T., Gneiting, T. | International Statistic Review, 89 (2), 274 - 301 | ||
Generic Conditions for Forecast Dominance | Krüger, F., Ziegel, J.F. | Journal of Business and Economic Statistics, forthcoming | ||
Nonparametric Regression with Parametric Help | Lee, Y. K., Mammen, E., Nielsen, J. P., Park, B. U. | Electronic Journal of Statistics, 14, 3845-3868 | ||
A Nested Copula Duration Model for Competing Risks with Multiple Spells | Lo, S. M. S., Mammen, E., Wilke, R. A. | Computational Statistics and Data Analysis, 150, 106986 | ||
Calendar Effect and In-Sample Forecasting | Mammen, E., Martìnez Miranda, M. D., Nielsen, J. P., Vogt, M. | Insurance: Mathematics and Economics, 96, 31-52 | ||
Estimating Derivatives of Function-Valued Parameters in a Class of Moment Condition Models | Rothe, C., Wied, D. | Journal of Econometrics, 217, 1-19 | ||
Identifying Shocks to Business Cycles with Asychronous Propagation | Trenkler, C., Weber, E. | Empirical Economics, 58(4), 1815 - 1836 | ||
Nonparametric Instrumental Variable Methods for Dynamic Treatment Evaluation | van den Berg, G. J., Bonev, P., Mammen, E. | Review of Economics and Statistics, 102, 355-367 | ||
A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models | van den Berg, G. J., Janys, L., Mammen, E., Nielsen, J. P. | Journal of Econometrics, 221 (1), 43 - 67 | ||
heap: A command for fitting discrete outcome variable models in the presence of heaping at known points* | Yan, Z., Arulampalam, W., Corradi, V., Gutknecht, D. | Stata Journal, 20, 435-467 |
2019 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
A Comparison of In-Sample Forecasting Methods | Bischofberger, S. M., Hiabu, M., Mammen, E., Nielsen, J. P. | Computational Statistics and Data Analysis, 137, 133-154 | ||
Properization: Constructing Proper Scoring Rules via Bayes Acts | Brehmer, J., Gneiting, T. | Annals of the Institute of Statistical Mathematics, 72, 659-673 | ||
Measuring Connectedness of Euro Area Sovereign Risk | Buse, R., Schienle, M. | International Journal of Forecasting, 35, 25-44 | ||
On the Determinants of Long-run Inflation Uncertainty: Evidence from a Panel of 17 Developed Economies | Conrad, C., Hartmann, M. | European Journal of Political Economy, 56, 233-250 | ||
A Joint Quantile and Expected Shortfall Regression Framework | Dimitriadis, T., Bayer, S. | Electronic Journal of Statistics 13, 1823-1871 | ||
Evaluating Probabilistic Forecasts with scoringRules* | Jordan, A., Krüger, F., Lerch, S. | Journal of Statistical Software, 90 | ||
Nonparametric Inference for Continuous-Time Event Counting and Link-Based Dynamic Network Models | Kreiß, A., Mammen, E., Polonik, W. | Electronic Journal of Statistics, 13, 2764-2829 | ||
Generalised Additive Dependency Inflated Models Including an Aggregated Covariate | Lee, Y. K., Mammen, E., Nielsen, J. P., Park, B. U. | Electronic Journal of Statistics, 13, 67-93 | ||
Determination of Vector Error Correction Models in High Dimensions | Liang, C., Schienle, M. | Journal of Econometrics, 208, 418-441 | ||
Conditional Variance Forecasts for Long-Term Stock Returns | Mammen, E., Nielsen, J. P., Scholz, M., Sperlich, S. | Risks, 7, 113 | ||
Expansions for Moments of Regression Quantiles with Applications to Nonparametric Testing | Mammen, E., Van Keilegom, I., Yu, K. | Bernoulli, 25, 793-827 | ||
Robust Forecast Evaluation of Expected Shortfall* | Ziegel, J.F., Krüger, F., Jordan, A., Fasciati, F. | Journal of Financial Econometrics, 18, 95-120 |
2018 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
Detecting Structural Differences in Tail Dependence of Financial Time Series | Bormann, C., Schienle, M. | Journal of Business and Economic Statistics, 38, 380-392 | ||
Nonparametric Estimation in case of Endogenous Selection | Breunig, C., Mammen, E., Simoni, A. | Journal of Econometrics, 202, 268-285 | ||
Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis | Conrad, C., Custovic, A., Ghysels, E. | Journal of Risk and Financial Management, 11, 23 | ||
Testing for an Omitted Long-Term Component in Multiplicative GARCH Models | Conrad, C., Schienle, M. | Journal of Business and Economic Statistics, 38, 229-242 | ||
Forecast Dominance Testing via Sign Randomization* | Ehm, W., Krüger, F. | Electronic Journal of Statistics, 12, 3758-3793 | ||
Properties of Doubly Robust Estimators when Nuisance Functions are Estimated Nonparametrically | Firpo, S., Rothe, C. | Econometric Theory, 35, 1048-1087 | ||
Inference in Regression Discontinuity Designs with a Discrete Running Variable | Kolesar, M., Rothe, C. | American Economic Review, 108, 2277-2304 | ||
In-Sample Forecasting: A Brief Review and New Algorithms | Lee, Y. K., Mammen, E., Park, B. P. | ALEA - Latin American Journal of Probability and Mathematical Statistics, 15, 875-895 | Identifying Shocks to Business Cycles with Asynchronous Propagation | Trenkler, C., Weber, E. | Empirical Economics, 58, 1815-1836 |
2016 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
A Spectral Domain Test for Stationarity of Spatio-temporal Data* | Bandyopadhyay, S., Jentsch, C., Subba Rao, S. | Journal of Time Series Analysis, 38, 326-351 | ||
Systemic Risk Spillovers in the European Banking and Sovereign Network working paper version | Betz, F., Hautsch, N., Peltonen, T., Schienle, M. | Journal of Financial Stability, 25, 206-224 | ||
Beyond Dimension Two: A test for Higher-order Tail Risk working paper version | Bormann, C., Schaumburg, J., Schienle, M. | Journal of Financial Econometrics, 14, 552-580 | ||
Inference in VARs with Conditional Heteroskedasticity of Unknown Form | Brüggemann, R., Jentsch, C., Trenkler, C | Journal of Econometrics, 191, 69-85 | ||
Asymptotics for Parametric GARCH-in-mean Models | Conrad, C., Mammen, E. | Journal of Econometrics, 194, 319-329 | ||
The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis | Conrad, C., Zumbach, K. | Journal of Empirical Finance, 39, 209-214 | ||
Forecasting Conditional Probabilities of Binary Outcomes under Misspecification* | Elliott, G, Ghanem, D. Krüger, F. | Review of Economics and Statistics, 98, 742-755 | ||
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings | Ehm, W., Gneiting, T., Jordan, A., Krüger, F. | Journal of the Royal Statistical Society (Series B), 78, 505-562 | ||
Testing for Monotonicity under Endogeneity: An application to the Reservation Wage Function* | Gutknecht, D. | Journal of Econometrics, 190, 100-114 | ||
How Much Information Does Dependence between Wavelet Coefficients Contain?* R Code | Jentsch, C., Kirch, C. | Journal of the American Statistical Association, 111, 1330-1345 | ||
A Connectedness Analysis of German Financial Institutions during the Financial Crisis in 2008* | Jentsch, C., Steinmetz, J. | Banks and Bank Systems, 11, No. 4. | ||
Bootstrapping Sample Quantiles of Discrete Data* | Jentsch, C., Leucht, A. | Annals of the Institute of Statistical Mathematics, 68, 491-539. | ||
Disagreement versus Uncertainty: Evidence from Distribution Forecasts* working paper version | Krüger, F , Nolte, I., A. | Journal of Banking & Finance, 72, 172-186 | ||
Semiparametric Estimation with Generated Covariates working paper version | Mammen, E., Rothe, C., Schienle, M. | Econometric Theory, 32, 1140-1177 | ||
On the Identification of Multivariate Uncorrelated Unobserved Components Models | Trenkler, C., Weber, E. | Economics Letters, 168, 15-18 |
2015 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
Bootstrap Co-integration Rank Testing: The Effect of Bias-correcting Parameter Estimates | Cavaliere, G., Taylor, A.M.R., Trenkler, C. | Oxford Bulletin of Economics and Statistics, 77, 740-759 | ||
Anticipating Long-term Stock Market Volatility | Conrad, C., Loch, K. | Journal of Applied Econometrics, 30, 1090-1114 | ||
The Variance Risk Premium and Fundamental Uncertainty | Conrad, C., Loch, K. | Economics Letters, 132, 56-60 | ||
On the Transmission of Memory in GARCH-in-mean Models | Conrad, C., Karanasos, M. | Journal of Time Series Analysis, 36, 706-720 | ||
Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel | Conrad, C., Karanasos, M. | Scottish Journal of Political Economy, 62, 431-453 | ||
Financial Network Systemic Risk Contributions | Hautsch, N., Schaumburg, J., Schienle, M. | Review of Finance, 19, 685-738 | ||
Block Bootstrap Theory for Multivariate Integrated and Cointegrated Time Series* | Jentsch, C., Paparoditis, E., Politis, D. N. | Journal of Time Series Analysis, 36, 416-441 | ||
Covariance Matrix Estimation and Linear Process Bootstrap for Multivariate Time Series of Possibly Increasing Dimension* supplement R code | Jentsch, C., Politis, D. N. | The Annals of Statistics, 43, 1117-1140 | ||
Testing Equality of Spectral Densities Using Randomization Techniques* supplement | Jentsch, C., Pauly, M. | Bernoulli, 21, 697-739 | ||
A Test for Second Order Stationarity of a Multivariate Time Series* | Jentsch, C., Subba Rao, S. | Journal of Econometrics, 185, 124-161 | ||
Simple Identification and Specification of Cointegrated VARMA Models | Kascha, C., Trenkler, C. | Journal of Applied Econometrics, 30, 675-702 |
2014 | ||||
---|---|---|---|---|
Title | Authors | Published | ||
On the Macroeconomic Determinants of Long-term Volatilities and Correlations in U.S. Stock and Crude Oil Markets | Conrad, C., Loch, K., Rittler, D. | Journal of Empirical Finance, 29, 26-40 | ||
Forecasting Systemic Impact in Financial Networks working paper version | Hautsch, N., Schaumburg, J., Schienle, M. | International Journal of Forcasting, 30, 781-794 | ||
Nonparametric Kernel Density Estimation Near the Boundary, Computational Statistics and Data Analysis working paper version | Malec, P., Schienle, M. | Computational Statistics & Data Analysis, 72, 57-72 |