Title Authors Published
Modeling Heaped Duration Data: An Application to Neonatal Mortality Arulampalam, W., Corradi ,V., Gutknecht, D. Journal of Econometrics, 200, No. 2, 363-377
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts Clark, T.E , Krüger, F. and Ravazzolo, F. Journal of Business & Economic Statistics, 35, 470-485
Survey-based Forecast Distributions for Euro Area Growth and Inflation: Ensembles versus Histograms Krüger, F. Empirical Economics, 53, 235-246
Baxter's Inequality and Sieve Bootstrap for Random Fields Meyer, M., Jentsch, C. and Kreiss, J.-P. Bernoulli 23, No. 4B, 2988-3020
Title Authors Published
A spectral domain test for stationarity of spatio-temporal data Bandyopadhyay, S., Jentsch, C. and Subba Rao, S. Journal of Time Series Analysis, 38, no. 2, 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, Vol.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, Vol. 14, No 3, 552-580
Inference in VARs with conditional heteroskedasticity of unknown form Brüggemann, R., Jentsch, C., and Trenkler, C Journal of Econometrics, 191, 69-85
Asymptotics for parametric GARCH-in-mean models Conrad, C., and Mammen, E. Journal of Econometrics, 194, 319-329
The effect of political communication on European financial markets during the sovereign debt crisis Conrad, C., and 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, vol. 190, pp. 100-114
How much information does dependence between wavelet coefficients contain?
R Code
Jentsch, C. and Kirch, C. Journal of the American Statistical Association, 111, no. 515, 1330-1345
A Connectedness Analysis of German Financial Institutions during the Financial Crisis in 2008 Jentsch, C. and Steinmetz, J. Banks and Bank Systems, 11, No. 4.
Bootstrapping sample quantiles of discrete data Jentsch, C. and Leucht, A. Annals of the Institute of Statistical Mathematics 68, No. 3, 491-539.
Disagreement versus Uncertainty: Evidence from Distribution Forecasts
working paper version
Krüger, F , Nolte, I., A. Journal of Banking & Finance, 72, S172-S186, 2016
Semiparametric Estimation with Generated Covariates
working paper version
Mammen, E. , Rothe, C. , Schienle, M. Econometric Theory, 2016, Vol. 32, No.5, 1140-1177
On the identification of multivariate uncorrelated unobserved components models Trenkler, C. and Weber, E. Economics Letters, 168, 15-18
Title Authors Published
Anticipating long-term stock market volatility Conrad, C., and Loch, K. Journal of Applied Econometrics, 30, 1090-1114
The variance risk premium and fundamental uncertainty Conrad, C., and Loch, K. Economics Letters, 132, 56-60
On the transmission of memory in GARCH-in-mean models Conrad, C, and 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., and Karanasos, M. Scottish Journal of Political Economy, 62, 431-453
Financial Network Systemic Risk Contributions
Hautsch, N., Schaumburg, J., Schienle, M. Review of Finance, Vol. 19, No 2, 685-738
Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
R code
Jentsch, C. and Politis, D. N. The Annals of Statistics 43, No. 3, 1117-1140
Block bootstrap theory for multivariate integrated and cointegrated time series Jentsch, C., Paparoditis, E., and Politis, D. N. Journal of Time Series Analysis 36, No. 3, 416-441
Testing equality of spectral densities using randomization techniques
Jentsch, C. and Pauly, M. Journal of Time Series Analysis 36, No. 3, 416-441
A test for second order stationarity of a multivariate time series Jentsch, C. and Subba Rao, S. Journal of Econometrics 185, No. 1, 124-161
Simple identification and specification of cointegrated VARMA models Kascha, C. and Trenkler, C. Journal of Applied Econometrics, 30, 675-702
Bootstrap co-integration rank testing: the effect of bias-correcting parameter estimates Cavaliere, G., Taylor, A.M.R., and Trenkler, C. Oxford Bulletin of Economics and Statistics, 77, 740-759
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
Nonparametric Kernel Density Estimation Near the Boundary, Computational Statistics and Data Analysis
working paper version
Malec, P., Schienle, M. Computational Statistics & Data Analysis, Vol. 72, 57-72
Forecasting systemic impact in financial networks working paper version Hautsch, N., Schaumburg, J., Schienle, M. International Journal of Forcasting, Vol. 30, Issue 3, 781-794