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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Discussion Papers

Further information can be found on Metis knowledge database (Μήτις).


Discussion Papers by IRTG 1792 (ISSN: 2568-5619)


Number Titel Authors Date of Issue JEL Abstract Down- load Quant- lets
2020-013 A Machine Learning Based
Regulatory Risk Index for
Xinwen Ni, Wolfgang Karl Härdle, Taojun Xie 09.08.2020 C45, G11, G18
2020-012 On Cointegration and Cryptocurrency Dynamics Georg Keilbar, Yanfen Zhang 25.05.2020 C00
2020-011 The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence Lina Meng, Yinggang Zhou, Ruige Zhang, Zhen Ye, Senmao Xia, Giovanni Cerulli, Carter Casady, Wolfgang K. Härdle 21.05.2020 C00  
2020-010 Kernel Estimation: the Equivalent Spline Smoothing Method Wolfgang K. Härdle, Michael Nussbaum 13.05.2020 C00  
2020-009 CRIX an Index for cryptocurrencies Simon Trimborn, Wolfgang K. Härdle 11.05.2020 C51, C52, G10
2020-008 Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function Kun Ho Kim, Shih-Kang Chao, Wolfgang K. Härdle 05.05.2020 C12, C13, C14
2020-007 Deep Learning application for fraud detection in financial statements Patricia Craja, Alisa Kim, Stefan Lessmann 04.05.2020 C00  
2020-006 Forex exchange rate forecasting
using deep recurrent neural networks
Alexander Jakob Dautel, Wolfgang K. Härdle, Stefan Lessmann, Hsin-Vonn Seow 27.03.2020 C14, C22, C45  
2020-005 Targeting Cutsomers Under
Response-Dependent Costs
Johannes Haupt, Stefan Lessmann 25.03.2020 C00  
2020-004 Factorisable Multitask Quantile
Shih-Kang Chao, Wolfgang K. Härdle, Ming Yuan 17.01.2020 C13, C38, C61, G17  
2020-003 Structured climate financing:
valuation of CDOs on
inhomogeneous asset pools
Natalie Packham 31.01.2020 C61, G13, G32  
2020-002 Service Data Analytics and Business Intelligence Desheng Dash Wu, Wolfgang K. Härdle 05.01.2020 C00  
2020-001 Estimation and Determinants of
Chinese Banks’ Total Factor
Efficiency: A New Vision Based on
Unbalanced Development of Chinese
Banks and Their Overall Risk
Shiyi Chen, Wolfgang K. Härdle, Li Wang 02.01.2020 C00  



Number Title Authors Date of Issue JEL Abstract Down- load Quant- lets
2019-030 Combining Penalization & Adaption in High Dimension with Application in Bond Risk Premia Forecasting Xinjue Li, Lenka Zboňáková, Weining Wang, Wolfgang Karl Härdle 01.12.2019 C4, C5, E4, G1  
2019-029 Antisocial Online Behavior Detection Using Deep Learning Elizaveta Zinovyeva, Wolfgang Karl Härdle, Stefan Lessmann 21.11.2019 C00
2019-028 Group Average Treatment Effects for Observational
Daniel Jacob


C01, C14, C31, C63
2019-027 VCRIX - a volatility index for
Alisa Kim, Simon Trimborn, Wolfgang Karl Härdle 16.10.2019 C51, C52, C53, G10
2019-026 Affordable Uplift: Supervised Randomization in Controlled Experiments Johannes Haupt, Daniel Jacob, Robin M. Gubela, Stefan Lessmann 14.10.2019 C00
2019-025 SONIC: SOcial Network with Influencers and Communities Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle, Yegor Klochkov 02.10.2019 C1, C22, C51, G41
2019-024 Risk of Bitcoin Market: Volatility, Jumps, and
Junjie Hu, Weiyu Kuo, Wolfgang Karl Härdle 01.10.2019 C53, E47, G11, G17
2019-023 Can Deep Learning Predict Risky Retail Investors? A Case Study in
Financial Risk Behavior Forecasting
A. Kolesnikova, Y. Yang, S. Lessmann, T. Ma, M.-C. Sung, J.E.V. Johnson 16.09.2019 C00  
2019-022 A Machine Learning Approach
Towards Startup Success Prediction
Cemre Ünal, Ioana Ceasu 11.09.2019 C00

FRM Financial Risk Meter

Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle

31.07.2019 C00

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Alla A. Petukhina, Raphael C. G. Reule, Wolfgang Karl Härdle


G02, G11, G12, G14, G15, G23


Modelling Systemic Risk Using Neural Network Quantile Regression

Georg Keilbar, Weining Wang

16.07.2019 C00  

Phenotypic convergence of cryptocurrencies

Daniel Traian Pele, Niels Wesselhöfft, Wolfgang K. Härdle, Michalis Kolossiatis, Yannis Yatracos


C14, C22, C46, C53, G32


Portmanteau Test and Simultaneous Inference for Serial Covariances

Han Xiao, Wei Biao Wu 02.07.2019 C00  

What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble

Cathy Yi-Hsuan Chen, Romeo Despres, Li Guo, Thomas Renault


G02, G10, G12


Media-expressed tone, Option Characteristics, and Stock Return Predictability

Cathy Yi-Hsuan Chen, Matthias R. Fengler, Wolfgang K. Hardle, Yanchu Liu


G12, G14, G41

2019-014 Forecasting in Blockchain-based Local Energy Markets Michael Kostmann, Wolfgang K. Härdle 02.06.2019 Q47, D44, D47, C53

Inference of Break-Points in High-Dimensional Time Series

Likai Chen, Weining Wang, Wei Biao Wu 03.05.2019 C00  

Voting for Health Insurance Policy: the U.S. versus Europe

Xinwen Ni 10.04.2019 C00  

The role of medical expenses in the saving decision of elderly: a life cycle model

Xinwen Ni 10.04.2019 C00  

Understanding the Role of Housing in Inequality and Social Mobility

Yang Tang, Xinwen Ni 10.04.2019 C00  

Dynamic Network Perspective of Cryptocurrencies

Li Guo, Yubo Tao, Wolfgang K. Härdle 26.03.2019 C00  
2019-008 Forex Exchange Rate Forecasting
Using Deep Recurrent Neural
Alexander J. Dautel, Wolfgang K. Härdle, Stefan Lessmann, Hsin-Vonn Seow 06.03.2019 C00  
2019-007 Localizing Multivariate CAViaR Yegor Klochkov, Wolfgang K. Härdle, Xiu Xu 03.03.2019 C32, C51, G17
2019-006 Adaptive Nonparametric Community Detection Larisa Adamyan, Kirill Efimov, Vladimir Spokoiny 14.02.2019 C00
2019-005 Usage Continuance in Software-as-a-Service
Elias Baumann, Jana Kern, Stefan Lessmann 08.02.2019 C00  
2019-004 Constrained Kelly portfolios under
alpha-stable laws
Niels Wesselhöfft, Wolfgang K. Härdle 29.01.2019 C13, C46, C61, C73, G11
2019-003 Estimating low sampling frequency risk measure by high-frequency data Niels Wesselhöfft, Wolfgang K. Härdle 29.01.2019 C14, C22, C46, C53, G32  

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Ya Qian, Jun Tu, Wolfgang Karl Hardle


C52, C55, C58, G14


Cooling Measures and housing wealth: evidence from Singapore

Wolfgang Karl Härdle, Rainer Schulz, Taojun Xie


R31, C31, C55




Number Title Authors Date of Issue JEL Abstract Down- load Quant- lets
2018-066 Deep learning-based cryptocurrency
sentiment construction
Sergey Nasekin, Cathy Yi-Hsuan Chen 19.12.2018 G41, G4, G12  
2018-065 Price Management in the Used-Car Market: An Evaluation of Survival Analysis Alexander Born, Nikoleta Kovachka, Stefan Lessmann, 
Hsin-Vonn Seow
18.12.2018 C00  
2018-064 Semiparametric Estimation and
Variable Selection for Single-index
Copula Models
Bingduo Yang, Christian M. Hafner, Guannan Liu, Wei Long 13.12.2018 C14, C22  
2018-063 Causal Inference using Machine Learning. An Evaluation of recent Methods through Simulations Daniel Jacob, Stefan Lessmann, Wolfgang Karl Härdle 08.11.2018 C01, C14, C31, C63  
2018-062 Conversion uplift in e-commerce: A systematic benchmark of modeling strategies Robin Gubela, Artem Bequé, Fabian Gebert, Stefan Lessmann 05.11.2018 C00  
2018-061 Plug-In L2-Upper Error Bounds In Deconvolution, For A Mixing Density Estimate In Rd And For Its Derivatives Yannis G. Yatracos 30.10.2018 C00  
2018-060 Residual's Influence Index (Rinfin), Bad Leverage And Unmasking In High Dimensional L2-Regression Yannis G. Yatracos 30.10.2018 C00
2018-059 Towards the interpretation of time-varying
regularization parameters in streaming penalized
regression models
Lenka Zbonakova, Ricardo Pio Monti, Wolfgang Karl Härdle 29.10.2018 C00
2018-058 Investing with cryptocurrencies - evaluating
the potential of portfolio allocation
Alla Petukhina, Simon Trimborn, Wolfgang Karl Härdle, Hermann Elendner 29.10.2018 C01, C58, G11
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  

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

Markus Bibinger, Christopher Neely, Lars Winkelmann


 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  

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
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  

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

Andreas Tryphonides


 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
Anna Almosova 29.01.2018 E40, E42, E50, E58  

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 Bitcoin and CRIX Ai Jun Hou, Weining Wang, Cathy YH Chen, Wolfgang Karl Härdle 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.


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,

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

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

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,

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

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,

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,

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,

An AI approach to measuring financial risk

Lining Yu, Wolfgang Karl Härdle, Lukas Borke and Thijs Benschop 10.02.2017 C21,



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,
2016-058 Multivariate Factorisable Sparse Asymmetric Least Squares Regression Shih-Kang Chao, Wolfgang K. Härdle and Chen Huang 29.12.2016 C38,

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,

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

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

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,

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,

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

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,

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,

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

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

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

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

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

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


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,

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

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

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,

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

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

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,
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,

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,

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



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,

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,

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,


Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach

Brenda López Cabrera and Franziska Schulz 30.05.2014 G19,