Direkt zum InhaltDirekt zur SucheDirekt zur Navigation
▼ Zielgruppen ▼

Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Discussion Papers

Discussion Papers by IRTG 1792 (ISSN: 2568-5619)
Number Title Authors   Date of Issue JEL Abstract Down- load Quant- lets
2018-057 Trending Mixture Copula Models with Copula Selection Bingduo Yang, Zongwu Cai, Christian M. Hafner, Guannan Liu   14.10.2018 C00  
2018-056 Cryptocurrencies, Metcalfe's law and LPPL models Daniel Traian Pele, Miruna Mazurencu-Marinescu-Pele   14.10.2018 C22, C32, C51, C53, C58, E41, E42, E47, E51, G1, G17  
2018-055

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

Markus Bibinger, Christopher Neely, Lars Winkelmann

  11.10.2018

 C13, C58

 
2018-054 Topic Modeling for Analyzing Open-Ended Survey Responses Andra-Selina Pietsch, Stefan Lessmann   10.10.2018 C00  
2018-053 The impact of temperature on gaming productivity: evidence from online games
 
Xiaojia Bao, Qingliang Fan   02.10.2018 Q54, J22, J24, D03  
2018-052 Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective
 
Qingliang Fan, Wei Zhong   02.10.2018 C00  
2018-051

Variable selection and direction estimation for single-index models via DC-TGDR method


Honglin Wang, Fan Yu, Yinggang Zhou
  02.10.2018 C00  
2018-050 Variable selection and direction estimation for single-index models via DC-TGDR method
 
Wei Zhong, Xi Liu, Shuangge Ma   02.10.2018 C00  
2018-049 Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models
 
Shaojun Guo, Dong Li, Muyi Li   02.10.2018 C15, C22  
2018-048 A Regime Shift Model with Nonparametric Switching Mechanism Haiqiang Chen, Yingxing Li, Ming Lin, Yanli Zhu   02.10.2018 C00  
2018-047 Inferences for a Partially Varying Coefficient Model With Endogenous Regressors
 
Zongwu Cai, Ying Fang, Ming Lin, Jia Su   02.10.2018 C00  
2018-046 Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method Ying Chen, Qian Han, Linlin Niu   24.09.2018 C32, C53  
2018-045 Predicative Ability of Similarity-based Futures Trading Strategies Hsin-Yu Chiu, Mi-Hsiu Chiang, Wei-Yu Kuo   24.09.2018 G11, G12  
2018-044 Understanding Cryptocurrencies Wolfgang Karl Härdle, Campbell R. Harvey, Raphael C. G. Reule   06.09.2018 C01, C58, E42, E51, G10, K24, K42, L86, O31

2018-043 Textual Sentiment and Sector specific reaction Elisabeth Bommes, Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle   03.09.2018 C81, G14, G17
2018-042 On Complete Convergence in Marcinkiewicz-Zygmund Type SLLN for END Random Variables and its Applications Ji Gao YAN   27.08.2018 C00  
2018-041 On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables Anna Kuczmaszewska, Ji Gao YAN   27.08.2018 C00  
2018-040 Complete Convergence and Complete Moment Convergence for Maximal Weighted Sums of Extended Negatively Dependent Random Variables Ji Gao YAN   27.08.2018 C00  
2018-039 Penalized Adaptive Forecasting with Large
Information Sets and Structural Changes
Lenka Zbonakova, Xinjue Li and Wolfgang Karl
Härdle
  23.08.2018 C12, C13, C50, E47, G12
2018-038 Tail-Risk Protection
Trading Strategies
Natalie Packham, Jochen
Papenbrock, Peter Schwendner, Fabian Woebbeking
  02.08.2018 C15, G11, G17  
2018-037 Default probabilities and default correlations under stress Natalie Packham, Michael Kalkbrener, Ludger Overbeck   02.08.2018 C00  
2018-036 Model risk of contingent claims Nils Detering, Natalie Packham   02.08.2018 G32, G13  
2018-035 Correlation Under Stress In Normal Variance Mixture Models Michael Kalkbrener, Natalie Packham   02.08.2018 C00  
2018-034 A factor-model approach for correlation scenarios and
correlation stress-testing
Natalie Packham, Fabian Woebbeking   01.08.2018 C58, G15, G17, G18  
2018-033 Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present Natalie Packham   01.08.2018 C00  
2018-032 Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective Li Guo, Yubo Tao, Wolfgang Karl Härdle    23.07.2018 C00  
2018-031 Instrumental
variables regression
Andzhey Koziuk, Vladimir Spokoiny   27.06.2018 C00  
2018-030 Gaussian Process Forecast
with multidimensional
distributional entries
Francois Bachoc, Alexandra Suvorikova, Jean-Michel Loubes, Vladimir Spokoiny   27.06.2018 C00  
2018-029 Pointwise adaptation
via stagewise aggregation
of local estimates for
multiclass classification
Nikita Puchkin, Vladimir Spokoiny   27.06.2018 C00  
2018-028 Toolbox:
Gaussian comparison
on Eucledian balls
Andzhey Koziuk, Vladimir Spokoiny   27.06.2018 C00  
2018-027 Bayesian inference
for spectral projectors
of covariance matrix
Igor Silin, Vladimir Spokoiny   27.06.2018 C00  
2018-026 Large ball probabilities,
Gaussian comparison
and anti-concentration
Friedrich Götze, Alexey Naumov, Vladimir Spokoiny, Vladimir Ulyanov   27.06.2018 C00  
2018-025 Construction of
Non-asymptotic Confidence
Sets in 2 -Wasserstein Space
Johannes Ebert, Vladimir Spokoiny, Alexandra Suvorikova   27.06.2018 C00  
2018-024 Bootstrap Confidence Sets
for Spectral Projectors
of Sample Covariance
A. Naumov, Vladimir Spokoiny, Vladimir Ulyanov   27.06.2018 C00  
2018-023 Textual Sentiment, Option Characteristics, and Stock Return Predictability Cathy Yi-Hsuan Chen, Matthias R. Fengler, Wolfgang Karl Härdle, Yanchu Liu   18.06.2018 C58, G12, G14, G41  
2018-022

Learning from Errors: The case of monetary and fiscal policy regimes

Andreas Tryphonides

  14.06.2018

 C11, C13, E62, E63

 
2018-021 LASSO-Driven Inference in Time and Space Victor Chernozhukov, Wolfgang K. Härdle, Chen Huang, Weining Wang   11.06.2018 C12, C22, C51, C53  
2018-020 A Regime Shift Model with Nonparametric Switching Mechanism Haiqiang Chen, Yingxing Li, Ming Lin, Yanli Zhu   31.05.2018 C00  
2018-019 Lasso, knockoff and Gaussian covariates: a comparison Laurie Davies   30.05.2018 C00  
2018-018 Adaptive Nonparametric Clustering Kirill Efimov, Larisa Adamyan, Vladimir Spokoiny   14.05.2018 C00  
2018-017 Regularization Approach for Network Modeling of German Energy Market Shi Chen, Wolfgang Karl Härdle, Brenda López Cabrera   03.05.2018 C1, Q41, Q47  
2018-016 Time-varying Limit Order Book Networks Wolfgang Karl Härdle, Shi Chen, Chong Liang, Melanie Schienle   24.04.2018 C02, C13, C22, C45, G12  
2018-015 Bitcoin is not the New Gold - A Comparison of Volatility,
Correlation, and Portfolio Performance
Tony Klein, Hien Pham Thu, Thomas Walther   23.03.2018 C10, C58, G11  
2018-014 Price Discovery on Bitcoin Markets Paolo Pagnottoni, Dirk G. Baur, Thomas Dimpfl   07.03.2018 C58, C32, G23  
2018-013 Improving Crime Count Forecasts Using Twitter and Taxi Data Lara Vomfell,  Wolfgang Karl Härdle,  Stefan Lessmann   28.02.2018 C00
2018-012 Targeting customers for profit:
An ensemble learning framework to support marketing decision making
Stefan Lessmann, Kristof Coussement, Koen W. De Bock, Johannes Haupt   27.02.2018 C00  
2018-011 How to Measure a Performance of a Collaborative
Research Centre
Alona Zharova, Janine Tellinger-Rice, Wolfgang Karl Härdle    27.02.2018 C00
2018-010 How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood? Wolfgang Karl Härdle, Chengxiu Ling   22.02.2018 C13, G10, G31
2018-009 Deregulated day-ahead electricity markets in Southeast Europe:
Price forecasting and comparative structural analysis
Antanina Hryshchuk, Stefan Lessmann   12.02.2018 C00  
2018-008 A Monetary Model of Blockchain Anna Almosova   12.02.2018 E40, E41, E42  
2018-007 Knowing me, knowing you: inventor mobility and the formation of technology-oriented alliances Stefan Wagner, 
Martin C. Goossen
  08.02.2018 C00  
2018-006 A Note on Cryptocurrencies and Currency
Competition
Anna Almosova   29.01.2018 E40, E42, E50, E58  
2018-005

Testing for bubbles in cryptocurrencies with time-varying volatility

Christian M. Hafner

  20.01.2018 C14, C43, Z11  
2018-004 Pricing Cryptocurrency options: the case of CRIX and Bitcoin Cathy YH Chen, Wolfgang Karl Härdle, Ai Jun Hou, Weining Wang   15.01.2018 C32, C58, C52

2018-003 Systemic Risk in Global Volatility Spillover Networks:
Evidence from Option-implied Volatility Indices
Zihui Yang,
Yinggang Zhou
  10.01.2018 C00  
2018-002 Nonparametric Variable Selection and Its Application to Additive Models Zheng-Hui Feng, Lu Lin, Ruo-Qing Zhu, Li-Xing Zhu   10.01.2018 C00  
2018-001 Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid Marius Lux, Wolfgang Karl Härdle, Stefan Lessmann   01.01.2018 C00


 

 

Discussion Papers by SFB 649 (published by members of the IRTG 1792)

Below is a list of discussion papers by members of the IRTG 1792. For the full series visit the SFB 649 website.

2017

Number Title Authors Date of Issue JEL Abstract Down- load Quant- lets
2017-028 Is Scientific Performance a Function of Funds? Alona Zharova, Wolfgang Karl Härdle and Stefan Lessmann 06.11.2017 M10, C32, C55
 
2017-027 Dynamic semi-parametric factor model for functional expectiles Petra Burdejová and Wolfgang K. Härdle 06.11.2017 C14, C38, C55, C61, Q54
 
2017-026 Dynamic Semiparametric Factor Model with a Common Break Likai Chen, Weining Wang and Wei Biao Wu 06.11.2017 C00
 
2017-025 Realized volatility of CO2 futures Thijs Benschop and Brenda López Cabrera 06.11.2017 C00
 
2017-024 Spatial Functional Principal Component Analysis with Applications to Brain Image Data Yingxing Li, Wolfgang K. Härdle and Chen Huang 12.09.2017 C00
 
2017-023 Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change Xinjue Li, Lenka Zbonakova and Wolfgang Karl Härdle 12.09.2017 C13,
C20,
E37

 
2017-022 Das deutsche Arbeitsmarktwunder: Eine Bilanz Michael C. Burda and Stefanie Seele 28.08.2017 E24,
J08,
J21,
J31

 
2017-021 The systemic risk of central SIFIs Cathy Yi-Hsuan Chen and Sergey Nasekin 23.08.2017 C00,
C14,
C50,
C58

 
2017-020 Pricing Green Financial Products Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera 23.08.2017 C00
 
2017-019 Racial/Ethnic Differences In Non-Work At Work Daniel S. Hamermesh, Katie R. Genadek and Michael C. Burda 11.08.2017 J15,
J22,
J31

 
2017-014 Investing with cryptocurrencies - A liquidity constrained investment approach Simon Trimborn, Mingyang Li and Wolfgang K. Härdle 10.07.2017 C01,
C58,
G11

2017-013 Adaptive weights clustering of research papers Larisa Adamyan, Kirill Efimov, Cathy Yi-Hsuan Chen and Wolfgang K. Härdle 04.07.2017 C00
 
2017-012 Industry Interdependency Dynamics in a Network Context Ya Qian, Wolfgang Karl Härdle and Cathy Yi-Hsuan Chen 29.05.2017 C32,
C55,
C58,
G11,
G17

 
2017-010 Data Science & Digital Society Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle 29.05.2017  
 
2017-009 The Economics of German Unification after Twenty-five Years: Lessons for Korea Michael C. Burda and Mark Weder 29.05.2017 P2,
O11,
E02

 
               
2017-007 Testing Missing at Random using Instrumental Variables Christoph Breunig 28.02.2017  
 
2017-004 Tail event driven networks of SIFIs Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle and Yarema Okhrin 31.01.2017 C01,
C14,
C58,
C45,
G01,
G15,
G31
 
2017-003 FRM: a Financial Risk Meter based on penalizing tail events occurrence Lining Yu, Wolfgang Karl Härdle, Lukas Borke and Thijs Benschop 10.02.2017 C21,
C51,
G01,
G18,
G32,
G38

2016

 

Number Titel Authors Date of Issue JEL Abstract Down- load Quant- lets
2016-059 Dynamic credit default swaps curves in a network topology Xiu Xu, Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle 29.12.2016 C32,
C51,
G17
 
2016-058 Multivariate Factorisable Sparse Asymmetric Least Squares Regression Shih-Kang Chao, Wolfgang K. Härdle and Chen Huang 29.12.2016 C38,
C55,
C61,
C91,
D87

 
2016-051 Dynamic Topic Modelling for Cryptocurrency Community Forums Marco Linton, Ernie Gin Swee Teo, Elisabeth Bommes, Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle 23.11.2016 C19,
G09,
G10

2016-050 Network Quantile Autoregression Xuening Zhu, Weining Wang, Hangsheng Wang and Wolfgang Karl Härdle 23.11.2016 C12,
C22

 
2016-047 Time Varying Quantile Lasso Lenka Zbonakova, Wolfgang Karl Hardle and Weining Wang 07.11.2016 C21,
G01,
G20,
G32

2016-038 The Cross-Section of Crypto-Currencies as Financial Assets: An Overview Hermann Elendner, Simon Trimborn, Bobby Ong and Teik Ming Lee 06.10.2016 G11,
G15,
F31

2016-035 Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management. Brenda López Cabrera and Franziska Schulz 26.09.2016 C1,
Q41,
Q47

 
2016-032 Specification Testing in Nonparametric Instrumental Quantile Regression Christoph Breunig 31.08.2016 C12,
C14

 
2016-031 A first econometric analysis of the CRIX family Shi Chen, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle, TM Lee and Bobby Ong 30.08.2016 C51,
C52,
G10

2016-025 Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics Ying Chen, Wee Song Chua and Wolfgang K. Härdle 04.08.2016 C13,
C32,
C53

2016-023 A Mortality Model for Multi-populations: A Semi-Parametric Approach Lei Fang, Wolfgang K. Härdle and Juhyun Park 21.06.2016 C14,
C32,
C38,
J11,
J13

2016-021 CRIX an Index for blockchain based Currencies Simon Trimborn and Wolfgang Karl Härdle 24.05.2016 C51,
C52,
G10

2016-020 Academic Ranking Scales in Economics: Prediction and Imputation Alona Zharova, Andrija Mihoci and Wolfgang Karl Härdle 09.05.2016 C14,
C53,
C81,
M10

2016-018 Factorisable Sparse Tail Event Curves with Expectiles Wolfgang K. Härdle, Chen Huang and Shih-Kang Chao 21.03.2016 C38,
C55,
C61,
C91,
D87

2016-005 The German Labor Market Miracle, 2003 -2015: An Assessment Michael C. Burda 16.02.2016 E24,
J21

 
2016-004 Leveraged ETF options implied volatility paradox: a statistical study Wolfgang Karl Härdle, Sergey Nasekin and Zhiwu Hong 02.02.2016 C00,
C14,
C50,
C58

2015

Number Titel Authors Date of Issue JEL Abstract Down- load Quant- lets
2015-053 Specification Testing in Random Coefficient Models Christoph Breunig and Stefan Hoderlein 30.12.2015 C12,
C14

 
2015-052 lCARE - localizing Conditional AutoRegressive Expectiles Xiu Xu, Andrija Mihoci and Wolfgang Karl Härdle 03.12.2015 C32,
C51,
G17

2015-050 Nonparametric Estimation in case of Endogenous Selection Christoph Breunig, Enno Mammen and Anna Simoni 12.11.2015 C14,
C26

 
2015-049 Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach Shi Chen, Wolfgang Karl Härdle and Weining Wang 02.11.2015 G12,
E43,
E31

2015-048 CRIX or evaluating Blockchain based currencies Simon Trimborn and Wolfgang Karl Härdle 15.10.2015 C51,
C52,
G10

 
2015-047 TERES - Tail Event Risk Expectile based Shortfall Philipp Gschöpf, Wolfgang Karl Härdle and Andrija Mihoci 15.09.2015 C13,
C16,
G20,
G28

2015-045 Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets Wolfgang Karl Härdle, David Lee Kuo Chuen, Sergey Nasekin, Xinwen Ni and Alla Petukhina 11.09.2015 C00,
C14,
C50,
C58 2

2015-042 Copula-Based Factor Model for Credit Risk Analysis Meng-Jou Lu, Cathy Yi-Hsuan Chen and Karl Wolfgang Härdle 24.08.2015 C38,
C53,
F34,
G11,
G17

 
2015-023 An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China Linlin Niu, Xiu Xu and Ying Chen 22.04.2015 E43,
E47

 
2015-007 Stochastic Population Analysis: A Functional Data Approach Lei Fang and Wolfgang K. Härdle 12.02.2015 C14,
C32,
C38,
J11,
J13

 

2014

Number Titel Authors Date of Issue JEL Abstract Down- load Quant- lets
2014-066 TENET: Tail-Event driven NETwork risk Wolfgang Karl Härdle, Weining Wang and Lining Yu 03.11.2014 G01,
G18,
G32,
G38,
C21,
C51,
C63

2014-050 Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models Thijs Benschop and Brenda López Cabrera 19.09.2014 C53,
G17,
Q49,
Q53,
Q59

 
2014-035 Adaptive Order Flow Forecasting with Multiplicative Error Models Wolfgang K. Härdle, Andrija Mihoci and Christopher Hian-Ann Ting 08.07.2014 C41, C51, C53, G12, G17
2014-032 TEDAS - Tail Event Driven ASset Allocation Wolfgang Karl Härdle, Sergey Nasekin, David Lee Kuo Chuen and Phoon Kok Fai 13.06.2014 C00,
C14,
C50,
C58

2014-030

Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach

Brenda López Cabrera and Franziska Schulz 30.05.2014 G19,
G29,
G22,
Q14,
Q49,
Q59