Discussion Papers
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Discussion Papers by IRTG 1792 (ISSN: 2568-5619)
2021
| Number | Title | Authors | Date of Issue | JEL | Abstract | Down- load | Quant- lets |
| 2022-001 |
Hedging Cryptos with Bitcoin Futures |
Francis Liu, Natalie Packham, Meng-Jou Lu, Wolfgang Karl Härdle
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10.01.2022 |
G11, G13 |
 |
 |
 |
| 2021-023 |
Networks of News and Cross-Sectional Returns |
Junjie Hu, Wolfgang Karl Härdle
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29.11.2021 |
G11, G41, C21 |
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| 2021-022 |
A Financial Risk Meter for China |
Ruting Wang, Michael Althof, Wolfgang Karl Härdle |
23.11.2021 |
C30, C58, G11, G15, G21 |
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| 2021-021 |
Hedging Cryptocurrency Options |
Jovanka Matic, Natalie Packham, Wolfgang Karl Härdle |
22.11.2021 |
C00 |
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| 2021-020 |
Advanced Statistical Learning on Short Term Load Process Forecasting |
Junjie Hu, Brenda López Cabrera, Awdesch Melzer
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21.10.2021 |
C51, C52, C53, Q31, Q41 |
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| 2021-019 |
Understanding jumps in high frequency digital asset markets |
Danial Saef, Odett Nagy, Sergej Sizov, Wolfgang Karl Härdle
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18.10.2021 | C00 | |
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| 2021-018 | Robustifying Markowitz | Wolfgang Karl Härdle,
Yegor Klochkov, Alla Petukhina, Nikita Zhivotovskiy |
30.09.2021 | C00 | |
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| 2021-017 |
Green financial development improving energy efficiency and economic growth: a study of CPEC area in COVID-19 era |
Linyun Zhang, Feiming Huang, Lu Lu, Xinwen Ni |
29.09.2021 |
C00 |
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| 2021-016 |
A Time-Varying Network for Cryptocurrencies |
Li Guo, Wolfgang Karl Härdle, Yubo Tao |
31.08.2021 |
C00 |
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| 2021-015 |
High-dimensional Statistical Learning Techniques for Time-varying Limit Order Book Networks |
Shi Chen, Wolfgang Karl Härdle, Melanie Schienle |
31.08.2021 |
C02, C13, C22, C45, G12 |
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| 2021-014 |
Indices on Cryptocurrencies: an Evaluation |
Konstantin Hausler, Hongyu Xia |
01.08.2021 |
C43, G19 |
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| 2021-013 |
Penalized Weighted Competing Risks Models Based on Quantile Regression |
Erqian Li, Wolfgang Karl Härdle, Xiaowen Dai, Maozai Tian |
18.07.2021 | C00 | |
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| 2021-012 |
Correlation scenarios and correlation stress testing |
Natalie Packham, Fabian Woebbeking |
15.07.2021 | G11, G32 | |
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| 2021-011 |
Valuing cryptocurrencies: Three easy pieces |
Michael C. Burda |
08.07.2021 |
C00 |
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| 2021-010 |
A Data-driven Exaplainable Case-based Reasoning Approach for Financial Risk Detection |
Wei Li, Florentina Paraschiv, Georgios Sermpinis | 06.07.2021 |
C51, C52, C53, C61, C63, D81, G21, G32 |
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| 2021-009 |
Von den Mühen der Ebenen und der Berge in den Wissenschaften |
Annette Vogt | 14.04.2021 |
C00 |
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| 2021-008 |
Financial Risk Meter based on Expectiles |
Rui Ren, Meng-Jou Lu, Yingxing Li, Wolfgang Karl Härdle |
14.04.2021 |
C00 |
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| 2021-007 |
Rodeo or Ascot: |
Konstantin Häusler, Wolfgang Karl Härdle |
06.04.2021 |
C51, C58, G15 |
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| 2021-006 |
Coins with benefits: on existence, pricing kernel and risk premium of cryptocurrencies |
Cathy Yi-Hsuan Chen, Dmitri Vinogradov |
06.04.2021 |
A1, D0, E21, G12 |
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| 2021-005 |
CATE Meets ML: Conditional Average Treatment Effect and Machine Learning |
Daniel Jacob |
31.03.2021 |
C00 |
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| 2021-004 |
Understanding Smart Contracts: Hype or Hope? |
Elizaveta Zinovyeva, Raphael C. G. Reule, Wolfgang Karl Härdle |
15.03.2021 |
G02, G11, G12, G14, G15, G23 |
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| 2021-003 |
K-expectiles clustering |
Bingling Wang, Yingxing Li, Wolfgang Karl Härdle |
10.03.2021 | C00 | |
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| 2021-002 |
FRM Financial Risk Meter for Emerging Markets |
Souhir Ben Amor, Michael Althof, Wolfgang Karl Härdle |
15.02.2021 | C30, C58, G11, G15, G21 | |
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| 2021-001 |
Surrogate Models for Optimization of Dynamical Systems |
Kainat Khowaja, Mykhaylo Shcherbatyy, Wolfgang Karl Härdle |
16.01.2021 |
C00 |
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2020
| Number | Title | Authors | Date of Issue | JEL | Abstract | Down- load | Quant- lets |
| 2020-028 |
Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis |
Rui Ren, Michael Althof, Wolfgang Karl Härdle |
22.12.2020 | C00 | |
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| 2020-027 |
Blockchain mechanism and distributional characteristics of cryptos |
Min-Bin Lin, Kainat Khowaja, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle |
24.11.2020 | C00 | |
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| 2020-026 |
Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition |
Kainat Khowaja, Danial Saef, Sergej Sizov, Wolfgang Karl Härdle |
24.11.2020 | C00 | |
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| 2020-025 |
Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data |
Konul Mustafayeva, Weining Wang |
19.10.2020 | C00 | |
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| 2020-024 |
Dynamic Spatial Network Quantile Autoregression |
Xiu Xu, Weining Wang, Yongcheol Shin |
29.09.2020 |
C32, C51, G17 |
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| 2020-023 |
The common and specific components of ination expectation across European countries |
Shi Chen, Wolfgang Karl Härdle, Weining Wang |
29.09.2020 |
C02, C13, C38, E31, E43 |
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| 2020-022 |
Tail Event Driven Factor Augmented Dynamic Model |
Weining Wang, Lining Yu, Bingling Wang |
21.09.2020 |
C21, C51, G01, G18, G32, G38 |
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| 2020-021 |
Improved Estimation of Dynamic Models of Conditional Means and Variances |
Weining Wang, Jeffrey M. Wooldridge, Mengshan Xu |
11.09.2020 | C00 | |
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| 2020-020 |
Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing |
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou, Weining Wang |
11.09.2020 |
G12, C58, C51 |
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| 2020-019 |
Inference of breakpoints in high-dimensional time series |
Likai Chen, Weining Wang, Wei Biao Wu |
25.04.2020 | C00 | |
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| 2020-018 |
A supreme test for periodic explosive GARCH |
Stefan Richter, Weining Wang, Wei Biao Wu |
09.12.2018 | C00 | |
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| 2020-017 |
Using generalized estimating equations to estimate nonlinear models with |
Cuicui Lu, Weining Wang, Jeffrey M. Wooldridge | 13.08.2018 |
C13, C21, C35, C51 |
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| 2020-016 |
A data-driven P-spline smoother and the P-Spline-GARCH models |
Yuanhua Feng, Wolfgang Karl Härdle |
14.10.2020 |
C14, C51 |
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| 2020-015 |
Tail-risk protection: Machine Learning meets modern Econometrics |
Bruno Spilak, Wolfgang Karl Härdle |
04.10.2020 | C00 | |
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| 2020-014 | Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects | Daniel Jacob | 27.08.2020 | C01, C14, C31, C63 | |
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| 2020-013 | A Machine Learning Based Regulatory Risk Index for Cryptocurrencies | Xinwen Ni, Wolfgang Karl Härdle, Taojun Xie | 09.08.2020 | C45, G11, G18 | |
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| 2020-012 | On Cointegration and Cryptocurrency Dynamics | Georg Keilbar, Yanfen Zhang | 25.05.2020 | C00 | |
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| 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 | |
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| 2020-010 | Kernel Estimation: the Equivalent Spline Smoothing Method | Wolfgang K. Härdle, Michael Nussbaum | 13.05.2020 | C00 | |
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| 2020-009 | CRIX an Index for cryptocurrencies | Simon Trimborn, Wolfgang K. Härdle | 11.05.2020 | C51, C52, G10 | |
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| 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 | |
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| 2020-007 | Deep Learning application for fraud detection in financial statements | Patricia Craja, Alisa Kim, Stefan Lessmann | 04.05.2020 | C00 | |
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| 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 | |
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| 2020-005 | Targeting Cutsomers Under Response-Dependent Costs |
Johannes Haupt, Stefan Lessmann | 25.03.2020 | C00 | |
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| 2020-004 | Factorisable Multitask Quantile Regression |
Shih-Kang Chao, Wolfgang K. Härdle, Ming Yuan | 17.01.2020 | C13, C38, C61, G17 | |
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| 2020-003 | Structured climate financing: valuation of CDOs on inhomogeneous asset pools |
Natalie Packham | 31.01.2020 | C61, G13, G32 | |
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| 2020-002 | Service Data Analytics and Business Intelligence | Desheng Dash Wu, Wolfgang K. Härdle | 05.01.2020 | C00 | |
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| 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 | |
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2019
| 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 | |
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| 2019-029 | Antisocial Online Behavior Detection Using Deep Learning | Elizaveta Zinovyeva, Wolfgang Karl Härdle, Stefan Lessmann | 21.11.2019 | C00 | |
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| 2019-028 | Group Average Treatment Effects for Observational Studies |
Daniel Jacob |
08.11.2019 |
C01, C14, C31, C63 | |
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| 2019-027 | VCRIX - a volatility index for crypto-currencies |
Alisa Kim, Simon Trimborn, Wolfgang Karl Härdle | 16.10.2019 | C51, C52, C53, G10 | |
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| 2019-026 | Affordable Uplift: Supervised Randomization in Controlled Experiments | Johannes Haupt, Daniel Jacob, Robin M. Gubela, Stefan Lessmann | 14.10.2019 | C00 | |
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| 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 | |
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| 2019-024 | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts |
Junjie Hu, Weiyu Kuo, Wolfgang Karl Härdle | 01.10.2019 | C53, E47, G11, G17 | |
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| 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 | |
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| 2019-022 | A Machine Learning Approach Towards Startup Success Prediction |
Cemre Ünal, Ioana Ceasu | 11.09.2019 | C00 | |
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| 2019-021 |
FRM Financial Risk Meter |
Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle |
31.07.2019 | C00 | |
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| 2019-020 |
Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies |
Alla A. Petukhina, Raphael C. G. Reule, Wolfgang Karl Härdle |
17.07.2019 |
G02, G11, G12, G14, G15, G23 |
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| 2019-019 |
Modelling Systemic Risk Using Neural Network Quantile Regression |
Georg Keilbar, Weining Wang |
16.07.2019 | C00 | |
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| 2019-018 |
Phenotypic convergence of cryptocurrencies |
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang K. Härdle, Michalis Kolossiatis, Yannis Yatracos |
08.07.2019 |
C14, C22, C46, C53, G32 |
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| 2019-017 |
Portmanteau Test and Simultaneous Inference for Serial Covariances |
Han Xiao, Wei Biao Wu | 02.07.2019 | C00 | |
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| 2019-016 |
What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble |
Cathy Yi-Hsuan Chen, Romeo Despres, Li Guo, Thomas Renault |
12.06.2019 |
G02, G10, G12 |
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| 2019-015 |
Media-expressed tone, Option Characteristics, and Stock Return Predictability |
Cathy Yi-Hsuan Chen, Matthias R. Fengler, Wolfgang K. Hardle, Yanchu Liu |
12.06.2019 |
G12, G14, G41 |
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| 2019-014 | Forecasting in Blockchain-based Local Energy Markets | Michael Kostmann, Wolfgang K. Härdle | 02.06.2019 | Q47, D44, D47, C53 | |
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| 2019-013 |
Inference of Break-Points in High-Dimensional Time Series |
Likai Chen, Weining Wang, Wei Biao Wu | 03.05.2019 | C00 | |
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| 2019-012 |
Voting for Health Insurance Policy: the U.S. versus Europe |
Xinwen Ni | 10.04.2019 | C00 | |
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| 2019-011 |
The role of medical expenses in the saving decision of elderly: a life cycle model |
Xinwen Ni | 10.04.2019 | C00 | |
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| 2019-010 |
Understanding the Role of Housing in Inequality and Social Mobility |
Yang Tang, Xinwen Ni | 10.04.2019 | C00 | |
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| 2019-009 |
Dynamic Network Perspective of Cryptocurrencies |
Li Guo, Yubo Tao, Wolfgang K. Härdle | 26.03.2019 | C00 | |
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| 2019-008 | Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks |
Alexander J. Dautel, Wolfgang K. Härdle, Stefan Lessmann, Hsin-Vonn Seow | 06.03.2019 | C00 | |
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| 2019-007 | Localizing Multivariate CAViaR | Yegor Klochkov, Wolfgang K. Härdle, Xiu Xu | 03.03.2019 | C32, C51, G17 | |
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| 2019-006 | Adaptive Nonparametric Community Detection | Larisa Adamyan, Kirill Efimov, Vladimir Spokoiny | 14.02.2019 | C00 | |
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| 2019-005 | Usage Continuance in Software-as-a-Service |
Elias Baumann, Jana Kern, Stefan Lessmann | 08.02.2019 | C00 | |
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| 2019-004 | Constrained Kelly portfolios under alpha-stable laws |
Niels Wesselhöfft, Wolfgang K. Härdle | 29.01.2019 | C13, C46, C61, C73, G11 | |
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| 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 | |
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| 2019-002 |
Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns |
Ya Qian, Jun Tu, Wolfgang Karl Hardle |
08.01.2019 |
C52, C55, C58, G14 |
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| 2019-001 |
Cooling Measures and housing wealth: evidence from Singapore |
Wolfgang Karl Härdle, Rainer Schulz, Taojun Xie |
03.01.2019 |
R31, C31, C55 |
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2018
| 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 |  |
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| 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 | |
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| 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 | |
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| 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 | |
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| 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 | |
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| 2018-060 | Residual's Influence Index (Rinfin), Bad Leverage And Unmasking In High Dimensional L2-Regression | Yannis G. Yatracos | 30.10.2018 | C00 | |
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| 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 | |
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| 2018-058 | Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies |
Alla Petukhina, Simon Trimborn, Wolfgang Karl Härdle, Hermann Elendner | 29.10.2018 | C01, C58, G11 | |
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| 2018-057 | Trending Mixture Copula Models with Copula Selection | Bingduo Yang, Zongwu Cai, Christian M. Hafner, Guannan Liu | 14.10.2018 | C00 | |
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| 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 | |
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| 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 |
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| 2018-054 | Topic Modeling for Analyzing Open-Ended Survey Responses | Andra-Selina Pietsch, Stefan Lessmann | 10.10.2018 | C00 | |
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| 2018-053 | The impact of temperature on gaming productivity: evidence from online games |
Xiaojia Bao, Qingliang Fan | 02.10.2018 | Q54, J22, J24, D03 | |
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| 2018-052 | Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective |
Qingliang Fan, Wei Zhong | 02.10.2018 | C00 | |
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| 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 | |
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| 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 | |
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| 2018-049 | Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models |
Shaojun Guo, Dong Li, Muyi Li | 02.10.2018 | C15, C22 | |
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| 2018-048 | A Regime Shift Model with Nonparametric Switching Mechanism | Haiqiang Chen, Yingxing Li, Ming Lin, Yanli Zhu | 02.10.2018 | C00 | |
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| 2018-047 | Inferences for a Partially Varying Coefficient Model With Endogenous Regressors |
Zongwu Cai, Ying Fang, Ming Lin, Jia Su | 02.10.2018 | C00 | |
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| 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 | |
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| 2018-045 | Predicative Ability of Similarity-based Futures Trading Strategies | Hsin-Yu Chiu, Mi-Hsiu Chiang, Wei-Yu Kuo | 24.09.2018 | G11, G12 | |
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| 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 | |
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| 2018-043 | Textual Sentiment and Sector specific reaction | Elisabeth Bommes, Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle | 03.09.2018 | C81, G14, G17 | |
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| 2018-042 | On Complete Convergence in Marcinkiewicz-Zygmund Type SLLN for END Random Variables and its Applications | Ji Gao YAN | 27.08.2018 | C00 | |
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| 2018-041 | On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables | Anna Kuczmaszewska, Ji Gao YAN | 27.08.2018 | C00 | |
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| 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 | |
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| 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 | |
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| 2018-038 | Tail-Risk Protection Trading Strategies |
Natalie Packham, Jochen Papenbrock, Peter Schwendner, Fabian Woebbeking |
02.08.2018 | C15, G11, G17 | |
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| 2018-037 | Default probabilities and default correlations under stress | Natalie Packham, Michael Kalkbrener, Ludger Overbeck | 02.08.2018 | C00 | |
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| 2018-036 | Model risk of contingent claims | Nils Detering, Natalie Packham | 02.08.2018 | G32, G13 | |
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| 2018-035 | Correlation Under Stress In Normal Variance Mixture Models | Michael Kalkbrener, Natalie Packham | 02.08.2018 | C00 | |
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| 2018-034 | A factor-model approach for correlation scenarios and correlation stress-testing |
Natalie Packham, Fabian Woebbeking | 01.08.2018 | C58, G15, G17, G18 | |
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| 2018-033 | Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present | Natalie Packham | 01.08.2018 | C00 | |
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| 2018-032 | Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective | Li Guo, Yubo Tao, Wolfgang Karl Härdle | 23.07.2018 | C00 | |
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| 2018-031 | Instrumental variables regression |
Andzhey Koziuk, Vladimir Spokoiny | 27.06.2018 | C00 | |
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| 2018-030 | Gaussian Process Forecast with multidimensional distributional entries |
Francois Bachoc, Alexandra Suvorikova, Jean-Michel Loubes, Vladimir Spokoiny | 27.06.2018 | C00 | |
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| 2018-029 | Pointwise adaptation via stagewise aggregation of local estimates for multiclass classification |
Nikita Puchkin, Vladimir Spokoiny | 27.06.2018 | C00 | |
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| 2018-028 | Toolbox: Gaussian comparison on Eucledian balls |
Andzhey Koziuk, Vladimir Spokoiny | 27.06.2018 | C00 | |
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| 2018-027 | Bayesian inference for spectral projectors of covariance matrix |
Igor Silin, Vladimir Spokoiny | 27.06.2018 | C00 | |
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| 2018-026 | Large ball probabilities, Gaussian comparison and anti-concentration |
Friedrich Götze, Alexey Naumov, Vladimir Spokoiny, Vladimir Ulyanov | 27.06.2018 | C00 | |
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| 2018-025 | Construction of Non-asymptotic Confidence Sets in 2 -Wasserstein Space |
Johannes Ebert, Vladimir Spokoiny, Alexandra Suvorikova | 27.06.2018 | C00 | |
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| 2018-024 | Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance |
A. Naumov, Vladimir Spokoiny, Vladimir Ulyanov | 27.06.2018 | C00 | |
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| 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 | |
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| 2018-022 |
Learning from Errors: The case of monetary and fiscal policy regimes |
Andreas Tryphonides |
14.06.2018 |
C11, C13, E62, E63 |
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| 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 | |
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| 2018-020 | A Regime Shift Model with Nonparametric Switching Mechanism | Haiqiang Chen, Yingxing Li, Ming Lin, Yanli Zhu | 31.05.2018 | C00 | |
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| 2018-019 | Lasso, knockoff and Gaussian covariates: a comparison | Laurie Davies | 30.05.2018 | C00 | |
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| 2018-018 | Adaptive Nonparametric Clustering | Kirill Efimov, Larisa Adamyan, Vladimir Spokoiny | 14.05.2018 | C00 | |
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| 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 | |
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| 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 | |
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| 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 | |
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| 2018-014 | Price Discovery on Bitcoin Markets | Paolo Pagnottoni, Dirk G. Baur, Thomas Dimpfl | 07.03.2018 | C58, C32, G23 | |
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| 2018-013 | Improving Crime Count Forecasts Using Twitter and Taxi Data | Lara Vomfell, Wolfgang Karl Härdle, Stefan Lessmann | 28.02.2018 | C00 | |
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| 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 | |
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| 2018-011 | How to Measure a Performance of a Collaborative Research Centre |
Alona Zharova, Janine Tellinger-Rice, Wolfgang Karl Härdle | 27.02.2018 | C00 | |
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| 2018-010 | How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood? | Wolfgang Karl Härdle, Chengxiu Ling | 22.02.2018 | C13, G10, G31 | |
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| 2018-009 | Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis |
Antanina Hryshchuk, Stefan Lessmann | 12.02.2018 | C00 | |
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| 2018-008 | A Monetary Model of Blockchain | Anna Almosova | 12.02.2018 | E40, E41, E42 | |
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| 2018-007 | Knowing me, knowing you: inventor mobility and the formation of technology-oriented alliances | Stefan Wagner, Martin C. Goossen |
08.02.2018 | C00 | |
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| 2018-006 | A Note on Cryptocurrencies and Currency Competition |
Anna Almosova | 29.01.2018 | E40, E42, E50, E58 | |
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| 2018-005 |
Testing for bubbles in cryptocurrencies with time-varying volatility |
Christian M. Hafner |
20.01.2018 | C14, C43, Z11 | |
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| 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 | |
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| 2018-003 | Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices |
Zihui Yang, Yinggang Zhou |
10.01.2018 | C00 | |
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| 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 | |
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| 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 | |
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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 | |
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| 2017-027 | Dynamic semi-parametric factor model for functional expectiles | Petra Burdejová and Wolfgang K. Härdle | 06.11.2017 | C14, C38, C55, C61, Q54 | |
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| 2017-026 | Dynamic Semiparametric Factor Model with a Common Break | Likai Chen, Weining Wang and Wei Biao Wu | 06.11.2017 | C00 | |
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| 2017-025 | Realized volatility of CO2 futures | Thijs Benschop and Brenda López Cabrera | 06.11.2017 | C00 | |
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| 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 | |
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| 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 |
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| 2017-022 | Das deutsche Arbeitsmarktwunder: Eine Bilanz | Michael C. Burda and Stefanie Seele | 28.08.2017 | E24, J08, J21, J31 |
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| 2017-021 | The systemic risk of central SIFIs | Cathy Yi-Hsuan Chen and Sergey Nasekin | 23.08.2017 | C00, C14, C50, C58 |
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| 2017-020 | Pricing Green Financial Products | Awdesch Melzer, Wolfgang K. Härdle and Brenda López Cabrera | 23.08.2017 | C00 | |
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| 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 |
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| 2017-014 | Investing with cryptocurrencies - A liquidity constrained investment approach | Simon Trimborn, Mingyang Li and Wolfgang K. Härdle | 10.07.2017 | C01, C58, G11 |
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| 2017-013 | Adaptive weights clustering of research papers | Larisa Adamyan, Kirill Efimov, Cathy Yi-Hsuan Chen and Wolfgang K. Härdle | 04.07.2017 | C00 | |
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| 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 |
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| 2017-010 | Data Science & Digital Society | Cathy Yi-Hsuan Chen and Wolfgang Karl Härdle | 29.05.2017 | |
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| 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 |
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| 2017-007 | Testing Missing at Random using Instrumental Variables | Christoph Breunig | 28.02.2017 | |
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| 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 |
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| 2017-003 |
An AI approach to measuring financial risk |
Lining Yu, Wolfgang Karl Härdle, Lukas Borke and Thijs Benschop | 10.02.2017 | C21, C51, G01, G18, G32, G38 |
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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 |
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| 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 |
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| 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 |
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| 2016-050 | Network Quantile Autoregression | Xuening Zhu, Weining Wang, Hangsheng Wang and Wolfgang Karl Härdle | 23.11.2016 | C12, C22 |
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| 2016-047 | Time Varying Quantile Lasso | Lenka Zbonakova, Wolfgang Karl Hardle and Weining Wang | 07.11.2016 | C21, G01, G20, G32 |
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| 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 |
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| 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 |
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| 2016-032 | Specification Testing in Nonparametric Instrumental Quantile Regression | Christoph Breunig | 31.08.2016 | C12, C14 |
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| 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 |
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| 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 |
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| 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 |
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| 2016-021 | CRIX an Index for blockchain based Currencies | Simon Trimborn and Wolfgang Karl Härdle | 24.05.2016 | C51, C52, G10 |
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| 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 |
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| 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 |
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| 2016-005 | The German Labor Market Miracle, 2003 -2015: An Assessment | Michael C. Burda | 16.02.2016 | E24, J21 |
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| 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 |
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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 |
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| 2015-052 | lCARE - localizing Conditional AutoRegressive Expectiles | Xiu Xu, Andrija Mihoci and Wolfgang Karl Härdle | 03.12.2015 | C32, C51, G17 |
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| 2015-050 | Nonparametric Estimation in case of Endogenous Selection | Christoph Breunig, Enno Mammen and Anna Simoni | 12.11.2015 | C14, C26 |
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| 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 |
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| 2015-048 | CRIX or evaluating Blockchain based currencies | Simon Trimborn and Wolfgang Karl Härdle | 15.10.2015 | C51, C52, G10 |
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| 2015-047 | TERES - Tail Event Risk Expectile based Shortfall | Philipp Gschöpf, Wolfgang Karl Härdle and Andrija Mihoci | 15.09.2015 | C13, C16, G20, G28 |
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| 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 |
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| 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 |
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| 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 |
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| 2015-010 |
Estimation of NAIRU with Inflation Expectation Data |
Wei Cui, Wolfgang K. Härdle, Weining Wang |
02.04.2015 |
C32, E31, E32 |
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| 2015-007 | Stochastic Population Analysis: A Functional Data Approach | Lei Fang and Wolfgang K. Härdle | 12.02.2015 | C14, C32, C38, J11, J13 |
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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 |
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| 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 |
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| 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 | |
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| 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 |
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| 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 |
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