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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
2018-009 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
2017-026 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