Publications

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
2017
Title Authors Published
Modeling Heaped Duration Data: An Application to Neonatal Mortality Arulampalam, W., Corradi ,V., Gutknecht, D. Journal of Econometrics, 200, 363-377
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts* Clark, T.E, Krüger, F., Ravazzolo, F. Journal of Business & Economic Statistics, 35, 470-485
Generalised Partially Linear Regression with Misclassified Data and an Application to Labour Market Transitions Dlugosz, S., Mammen, E., Wilke, R. A. Computational Statistics and Data Analysis, 110, 145-159
Bias-corrected Score Decomposition for Generalized Quantiles* Ehm, W., Ovcharov, E. Y. Biometrika, 104, 473-480
When Is the Mode Functional the Bayes Classifier? Gneiting, T. Stat, 6, 204-206
Survey-based Forecast Distributions for Euro Area Growth and Inflation: Ensembles versus Histograms* Krüger, F. Empirical Economics, 53, 235-246
Operational Time and In-Sample Density Forecasting Lee, Y. K., Mammen, E., Nielsen, J. P., Park, B. U. Annals of Statistics, 45, 1312-1341
Forecaster's Dilemma: Extreme Events and Forecast Evaluation Lerch, S., Thorarinsdottir, T. L., Ravazzolo, F., Gneiting, T. Statistical Science, 32, 106-127
Baxter's Inequality and Sieve Bootstrap for Random Fields Meyer, M., Jentsch, C., Kreiss, J.-P. Bernoulli, 23, 2988-3020
Robust Confidence Intervals for Average Treatment Effects under Limited Overlap Rothe, C. Econometrica, 85, 645-660
Discussion of "Elicitability and Backtesting: Perspectives for Banking Regulation"* Schmidt, P. Annals of Applied Statistics, 11, 1883-1885
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