Direkt zum InhaltDirekt zur SucheDirekt zur Navigation
▼ Zielgruppen ▼

Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series


List of all publications by our (post-) doctoral resaerchers and professors

The names of the doctoral researchers are underlined.  

List of all publications by IRTG professors AFTER May 2017

1. Moro RA, Härdle WK, Schäfer D (2017) Company rating with support vector machines. Statistics&risk modeling, Vol 34 Issue: 1-2 Pages: 55-67 DOI: doi 10.1515/strm-2012-1141

2. Liu R, Härdle WK, Zhang G (2017) Statistical Inference for Generalized Additive Partially Linear Model, J Multivariate Analysis, doi 10.1016/j.jmva.2017.07.011

3. Härdle WK, Osipenko M (2017) Dynamic Valuation of Weather Derivatives under Default Risk, International Journal of Financial Studies, doi 10.3390/ijfs5040023

4. Belomestny D, Härdle WK, Krymova E (2017) Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation, International J of Theoretical and Applied Finance, DOI 10.1142/S0219024917500418

5. Chao SK, Härdle WK, Huang C (2018) Multivariate Factorisable Sparse Asymmetric Least Squares Regression. Comp Stat Data Analysis, doi 10.1016/j.csda.2017.12.001

6. Linton M, Teo EGS, Bommes E, Chen CYH, Härdle WK (2017) Dynamic Topic Modelling for Cryptocurrency Community Forums. p 355-372, Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag, DOI 10.1007/978-3-662-54486-0

7. Härdle W K, Phoon KF, Lee D (2017) Credit Rating Score Analysis. p 223-244 Applied Quantitative Finance, (Härdle WK, Chen YH, Overbeck L eds), Springer Verlag, DOI 10.1007/978-3-662-54486-0



List of all publications by IRTG students AFTER May 2017

1. Benschop T, López Cabrera B (2017) Realized volatility of CO2 futures, SFB 649 Discussion paper 2017-025

2. Shih-Kang Chao, Wolfgang K. Härdle, Chen Huang (2017) Multivariate Factorisable Sparse Asymmetric Least Squares Regression, Computational Statistics and Data Analysis, former SFB Discussion Paper 2016-058

3. Zbonakova L, Härdle WK, Wang W (2017) Time Varying Quantile Lasso. p 331-353, in Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag, DOI 10.1007/978-3-662-54486-0

Publications from doctoral researchers receiving IRTG funds from the DFG

a) Publications in Journals

1. Chen S, Chen CYH, Härdle WKH, Lee TM, Ong B (2017) A first econometric analysis of the CRIX family, in Handbook of Blockchain, Digital Finance and Inclusion, Vol 1, Cryptocurrency, FinTech, InsurTech , and Regulation, David LEE Kuo Chuen Robert Deng, eds. ISBN: 9780128104415, Academic Press, Elsevier

2.  Elender H, Trimborn S (2016) The Cross-Section of Crypto-Currencies as Financial Assets, in: Handbook of Blockchain, Digital Finance and Inclusion, Vol 1, Cryptocurrency, FinTech, InsurTech , and Regulation, David LEE Kuo Chuen Robert Deng, eds. ISBN: 9780128104415, Academic Press, Elsevier

3.  Härdle W, Huang C (2016) Discussion on "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings" by Werner Ehm, Tilmann Gneiting, Alexander Jordan and Fabian Krüger. Journal of the Royal Statistical Society: Series B Statistical Methodology 78 (3), 545.

4.  Härdle W, Huang C, Chao S (2016) Factorisable Sparse Tail Event Curves with Expectiles. Oberwolfach Report No. 12/2016: New Developments in Functional and Highly Multivariate Statistical Methodology, 26 - 29.

5.  Härdle W K, Lee Kuo Chuen D, Nasekin S, Ni X, Petukhina A (2015) Tail Event Driven Asset Allocation: evidence from equity and mutual funds’ markets. Journal of Asset Management (Accepted).

6.  Härdle W, Wang W, Yu L (2016) TENET - Tail Event driven NETwork risk. Journal of Econometrics, 192 (2), 499 – 513, DOI: 10.1016/j.jeconom.2016.02.013.

7.  Kalinina A, Suvorikova A, Spokoiny V, Gelfand M (2016) Detection of homologous recombination in closely related strains. J Bioinform Comput Biol 14 (2), 1641001, DOI: 10.1142/S0219720016410018.

8.  Suvorikova A, Spokoiny V (2016) Multiscale change point detection. Teoriya Veroyatnostei i ee Primeneniya (TVP; Theory of Probability and Its Applications) [in Russian] (Accepted).


b) SFB discussion papers and other publication formats

9.  Audrino F, Huang C, Okhrin O (2016) Flexible HAR Model for Realized Volatility (R&R Journal of Financial Econometrics).

10.  Belomestny D, Klochkov Y, Spokoiny V (2016) Sieve maximum likelihood estimation in a semi-parametric regression with errors in variables (submitted to Elect. J. of Stat. ).

11. Benschop T, Lopez-Cabrera B (2014) Volatility Modelling of CO2 Emission Allowance Spot Prices with RegimeSwitching GARCH Models. SFB 649 Discussion Paper 2014-050.

12.  Chao S-K, Huang C (2016) Multivariate Factorisable Sparse Asymmetric Least Squares Regression (submitted to Journal of Computational and Graphical Statistics).

13. Chen S, Härdle WK, Wang W (2015) Estimating inflation expectation co-movement across countries (submitted to Journal of Empirical Finance).

14.  Ebert J, Spokoiny V, Suvorikova A (2016) Construction of Non-asymptotic Confidence Sets in \(2\)-Wasserstein Space (submitted to Electronic Journal of Statistics).

15. Efimov KAdamyan L, Spokoiny V (2016) Adaptive Weights Clustering AWC (submitted to AISTATS 2017).

16.  Härdle W K, Kok Fai P, Lee Kuo Chuen D, Nasekin S (2014) TEDAS – Tail Event Driven Asset Allocation. SFB 649 Discussion Paper 2014-032.

17. Fang L, Härdle WK (2015) Stochastic Population Analysis: A Functional Data Approach, SFB Discussion Paper 2015007 (submitted to Population Review).

18. Fang L, Härdle WK and Park JY (2016) A Mortality Model for Multi-populations: A Semi-Parametric Approach, SFB Discussion Paper 2016-023 (submitted to International Journal of Forecasting).

19.  Härdle W K, Chen C Y, Qian Y (2016) Industry interdependency in a network context (work in progress).

20.  Härdle W K, Hong ZNasekin S (2016) Leveraged ETF options volatility paradox: a statistical study. SFB 649 discussion paper 2016-004 (Financial Econometrics revise and resubmit).

21. Holtz S (2016) Parametric covariation from noisy observation: equivalence, efficiency and estimation (to be submitted). 

22. Papagiannouli K (2016) Rates of convergence of Co-integrated volatility in presence of jumps (Submitted).

23. Trimborn S, Härdle W K (2016) CRIX or evaluating blockchain based currencies. SFB 649 Discussion Paper 2016-021.

24. Trimborn S, Härdle W K (2016) CRIX an Index for blockchain based currencies (submitted to Journal of Empirical Finance).

25. Trimborn S, Okhrin O (2015) R-package gofCopula: Goodness of Fit tests for Copulae.

26. Yu L, Borke L, Benschop T (2016) FRM: A Financial Risk Meter based on penalizing tail events occurrence (SFB 649 discussion paper 2017-003).

27. Zboňáková L, Härdle W and Wang W (2016) Time Varying Quantile Lasso. SFB 649 Discussion Paper 2016-047.


Publications from (Post)doctoral researchers from Germany, funded by other sources

a) Publications in Journals

28.  Härdle W K, Hautsch N and Mihoci A (2015) Local Adaptive Multiplicative Error Models for High-Frequency Forecasts. Journal of Applied Econometrics 30 (4), 529 – 550, DOI: 10.1002/jae2376.

29.  Härdle W K, Hautsch N and Mihoci A (2012) Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics. Journal of Empirical Finance 19(4), 610 – 625, DOI: 10.1016/j.jempfin.2012.04.002.

30.  López Cabrera B, Schulz F (2016) Volatility Linkages between energy and agricultural commodity prices, Energy Economics, 54, 190 – 203, DOI: 10.1016/j.eneco.2015.11.018. 

31.  López Cabrera B, Schulz F (2016) Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach. Journal of the American Statistical Asociation, DOI: 10.1080/01621459.2016.1219259. 

32. Mihoci A (2016) Modelling Limit Order Book Volume Covariance Structures, accepted for publication in: Hokimoto, T (2016) Advances in Statistical Methodologies and Their Applications to Real Problems, InTech, Rijeka, ISBN 978-953-51-4962-0. 


b) SFB discussion papers and other publication formats

33.  Fan M, Lu M-J, Härdle W (2016) Hedge Strategy Based on Spectral Risk Measurement (Submitted to Journal of Portfolio Management).

34.  Gschöpf P, Mihoci A and Härdle W K (2016) TERES - Tail Event Risk Expectile based Shortfall. SFB 649 Discussion Paper 2015-047, manuscript ID ISR-OA-084-16DP (submitted to International Statistical Review).

35.  Härdle W K, Mihoci A and Ting C H A (2016) Adaptive Order Flow Forecasting with Multiplicative Error Models. SFB 649 Discussion Paper 2014-035, manuscript ID FOR-16-0139 (Submitted to Journal of Forecasting).

36.  Härdle W, Nasekin S, Lee DKC, Petukhina A (2015) Tail Event Driven ASset allocation: evidence from equity and mutual funds markets, SFB 649 Discussion Paper 2015-045 (R&R to Journal of asset management).

37.  Klinke S, Mihoci A and Härdle W K (2010) Exploratory factor analysis in Mplus, R and SPSS. ICOTS-8. Session 4F: Sensible use of multivariate software. ISBN 978-90-77713-54-9.

38.  Linlin N, Xu X, Ying C (2015) An Adaptive Approach to Forecasting Three Key Macroeconomic Variables. SFB 649 Discussion Paper 2015-023.

39.  López Cabrera B and Schulz F (2016) Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.  SFB 649 Discussion Paper 2016-035.

40. Lu M-J, Yi-Hsuan Chen C, Härdle W (2014) Copula-Based Factor Model for Credit Risk Analysis. SFB 649 Discussion Paper 2015-042.

41. Wesselhöfft N (2016) Constrained Kelly Portfolios under alpha-stable laws.

42. Xu XMihoci A and Härdle W K (2016) lCARE - localizing Conditional AutoRegressive Expectiles. SFB Discussion Paper 2015-052, manuscript ID 16-131 (submitted to Journal of Empirical Finance).

43.  Zharova A, Mihoci A and Härdle W K (2016) Academic Ranking Scales in Economics: Prediction and Imputation. SFB 649 Discussion Paper 2016-020, manuscript ID ISR-OA-083-16 (submitted to International Statistical Review).


Publications from doctoral researchers at Xiamen University

a) Publications in Journals

44.  Cai N, Cai Z, Fang Y,  Xu Q (2015) Forecasting major Asian exchange rates using a new semiparametric STAR model. Empirical Economics 48 (1), 407 – 426, DOI: 10.1007/s00181-014-0888-5.

45.  Chen G, Hong Z, Ren Y (2016) Durable consumption and asset returns:  Cointegration analysis. Economic Modelling, 53, 231 – 244, DOI: 10.1016/j.econmod.2015.12.008.

46.  10.1007/s00181-014-0888-5.

47. Dingshi T, Junchao X (2012) Research on Idiosyncratic Risk, Market Efficiency and CAPM anomalies. Nankai Economic Studies, 10, 136 – 153. 

48.  Haiqiang C, Chuanhai Z (2015) Does index futures trading reduce stock market jump risk? Economic Research Journal 42 (1), 153 – 167.

49. Xu Q, Cai Z, Fang Y (2016) Panel data models with cross-sectional dependence: a selective review. Applied Mathematics-A Journal of Chinese Universities, Series B 31 (2), 127 – 147, DOI: 10.1007/s11766-016-3441-9.

50.  Xu W, Hong Z, Qin C (2013) A new sampling strategy willow tree method with application to path-dependent option pricing. Quantitative Finance, 13 (6), 861 – 872, DOI: 10.1080/14697688.2012.762111.

51. Yang Y, Lin M (2016) Bayesian Inference for Nonlinear DSGE Model via Multiple-try Metropolis Algorithm. Statistical Research (Chinese) 33 (2), 91 – 98.

52. Yang Y, Wang L (2016) An auxiliary particle filter for nonlinear dynamic equilibrium models. Economics Letters 144 (7), 112 – 114.


b) SFB discussion papers and other publication formats

53.  Cai Z, Fang Y, Xu Q (2016) Inferences for varying-coefficient panel data models with cross-sectional dependence. Working Paper.

54.  Härdle W, Nasekin SHong Z (2016) Leveraged ETF options implied volatility paradox: a statistical study. SFB 649 Discussion Paper 2016-004.

55. Hong Z, Niu L, Zeng G (2016) Discrete-time arbitrage-free Nelson-Siegel term structure model and application. Available at SSRN 2731041.


List of all publications by IRTG professors

1.   Antonczyk D, Fitzenberger B, Sommerfeld K (2010) Rising Wage Inequality, the Decline of Collective Bargaining, and the Gender Wage Gap. Labour Economics, 17(5), 835–847, DOI: 10.1016/j.labeco.2010.04.008.

2.   Bai J, Chen HQ, Chong TL, Wang X (2008) Generic Consistency of the Break-Point Estimator under Specification Errors in a Multiple-Break Model. Econometrics Journal, 11, 287 – 307, DOI: 10.1111/j.1368-423X.2008.00237.x.

3.   Baumann A, Lessmann S, Coussement K, & De Bock K W (2015) Maximize what matters: Predicting customer churn with decision-centric ensemble selection. Proc. of the 23rd European Conf. on Information Systems (ECIS'15), Münster, Germany: AIS (2015).

4.   Bergemann A, Fitzenberger B, Speckesser S (2009) Evaluating the Dynamic Employment Effects of Training Programs in East Germany Using Conditional Difference-in-Differences. Journal of Applied Econometrics, 24(5), 797–823, DOI: 10.1002/jae.1054.

5.   Bibinger M, Winkelmann L (2015) Econometrics of cojumps in high-frequency data with noise. Journal of Econometrics, 184(2), 361-378.

6.   Biewen M, Fitzenberger B, Osikominu A, Paul M (2014) The Effectiveness of Public-Sponsored Training Revisited: The Importance of Data and Methodological Choices. Journal of Labor Economics, 32(4), 837–897.

7.   Blanchard G,  Kawanabe M,  Sugiyama M,  Spokoiny V,  Müller K - R (2006) In search of non - Gaussian components of a high - dimensional distribution. Journal of Machine Learning Research, 7, 247 - 282

8.   Bluhm M (2015) Investigating the Monetary Policy Strategy of Central Banks Using Assessment Indicators. European Journal of Political Economy, 38, pp. 181–196.

9.   Bluhm M, Krahnen J P (2014) Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets. Journal of Financial Stability, 13, pp. 75-94.

10. Brandner H, Lessmann S, Voß S (2013) A memetic approach to construct transductive discrete support vector machines. European Journal of Operational Research, 230(3), 581-595.

11. Breunig C (2015) Goodness‐of‐Fit Tests based on Series Estimators in Nonparametric Instrumental Regression. Journal of Econometrics, 184(2), doi.org/10.1016/j.jeconom.2014.09.006

12. Breunig C and Johannes J (2015) Adaptive Estimation of Functionals in Nonparametric Instrumental Regression. Econometric Theory, 1‐43, doi.org/10.1017/S0266466614000966

13. Burda M, Bachmann R (2010). Sectoral Transformation, Turbulence, and Labor Market Dynamics in Germany. German Economic Review, 11, 37-59, DOI: 10.1111/j.1468-0475.2009.00465.x.

14. Burda M, Boeri T (2009) Preferences for Rigid versus Individualized Wage Setting. Economic Journal 119, 1440-1463, DOI: 10.1111/j.1468-0297.2009.02286.x

15. Burda M, Hamermesh D (2011) Unemployment, Market Work and Household Production. Economic Letters 107(2), 131-133, DOI: 10.1016/j.econlet.2010.01.004.

16. Burda M, Severgnini B (2014) Solow Residuals without Capital Stocks. Journal of Development Economics 109, 154–171.  DOI. 10.1016/j.jdeveco.2014.03.007

17. Burda M, Weder M (2015) Payroll Taxes, Social Insurance and Business Cycles. Journal of the European Economic Association. DOI: 10.1111/jeea.12145

18. Burda M, Wyplosz C (2017) Macroeconomics A European Text 7th edition. Oxford: Oxford University Press.

19. Cai Z and Wang X (2014) Selection of mixed copula model via penalized likelihood. Journal of The American Statistical Association, 109, 788-801.

20. Cai Z and Wang Y (2014) Testing predictive regression models with nonstationary regressors. Journal of Econometrics, 178, 4-14.

21. Cai Z, Juhl T and Yang B (2015) Functional index coefficient models with variable selection. Journal of Econometrics, 189, 272-284.

22. Cai Z, Ren Y and Sun L (2015) Pricing kernel estimation: Local estimating equation approach. Econometric Theory, 31, 560-580.

23. Cai Z, Ren Y and Yang B (2015) A Semiparametric Conditional Capital Asset Pricing Model. Journal of Banking and Finance, 61, 117–126.

24. Cai Z, Wang Y and Wang Y (2015) Testing instability in predictive regression model with nonstationary regressors. Econometric Theory, 31 (2015), 953-980.

25. Caner M, Fan Q (2015) Hybrid GEL Estimators: Instrument Selection with Adaptive Lasso. Journal of Econometrics  187: 256-274

26. Chen C.W.S., Li M, Nguyen N.T.H. and Sriboonchita S (2015) On asymmetric market model with heteroscedasticity and quantile regression", Computational Economics, doi:10.1007/s10614-015-9550-3.

27. Chen G, Hong Z and Ren Y (2016) Durable Consumption and Asset Returns: Cointegration Analysis. Economic Modelling, 53, 231–244.

28. Chen H, Fang Y, Li Y (2015) Estimation and Inference for Varying-Coefficient Model with Nonstationary Regressors using Penalized Splines. Econometric Theory, 31, 753-777.

29. Chen H, Han Q, Li Y, Wu K (2013) Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach. Journal of Futures Markets, 33, 1167-1190.

30. Chen HQ, Choi MS (2012) Does Information Vault Niagara Falls? Cross-listed Trading in New York and Toronto. Journal of Empirical Finance 19 (2), 175 – 199, DOI: 10.1016/j.jempfin.2012.01.001.

31. Chen HQ, Chong TL, Bai J (2012) Theory and Applications of TAR Model with two Threshold Variables. Econometric Reviews, 31 (2), 142 – 170, DOI: 10.1080/07474938.2011.607100.

32. Chen HQ, Chong TL, She YN (2014) A Principal Component Approach to Measuring Investor Sentiment in China. Quantitative Finance, 14, 573-579.

33. Chen R, Guo R and Lin M (2010) Self-selectivity in Firm’s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy with Feedback. Journal of the American Statistical Association, 105 (492), 1297 – 1309, DOI: 10.1198/jasa.2010.ap08663.

34. Chen Y, Li B, Niu L (2013) A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting. Statistics and Its Interface, 6(4), 499-509.

35. Chen Y, Niu L (2014) Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications. Journal of Econometrics, 180(1), 98 – 115.

36. Chen, HQ (2015) Robust Estimation and Inference for Threshold Models with Integrated Regressors.  Econometric Theory, 31(4), 778-810.

37. Chen, HQ, Choi MS, Hong Y (2014) How Smooth is Price Discovery, Evidence from Cross-listed Stock Trading. Journal of International Money and Finance, 32, 668-699.

38. Choros B, Härdle W, Okhrin O (2016) A semi parametric factor model for CDO Surfaces Dynamics. J. Multivariate Analysis, 146, 151–163, DOI:10.1016/j.jmva.2015.09.002

39. Chow G, Liu C, Niu L (2011) Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions. Journal of Comparative Economics, 39 (4), 577 – 583, DOI: 10.1016/j.jce.2011.06.001.

40. Chow G, Niu L (2015) Housing Prices in Urban China as Determined by Demand and Supply. Pacific Economic Review, 20(1), 1-16.

41. Diederichs E,  Juditsky A, Spokoiny V,  Schütte C (2010) Sparse non - Gaussian component analysis. IEEE Transactions on Information Theory, 56, 3033 – 3047, DOI: 10.1109/TIT.2010.2046229.

42. Dümbgen L, Spokoiny V (2001) Multiscale testing of qualitative hypotheses. Annals of Statistics, 29 (1), 124 – 152, DOI: 10.1214/aos/996986504.

43. Dustmann C, Fitzenberger B, Schönberg U, Spitz-Oener A (2014) From Sick Man of Europe to Economic Superstar: Germany's Resurgent Economy. Journal of Economic Perspectives, 28(1), 167–188.

44. Fan Q, Zhong W (2016) Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective.  Journal of Business and Economic Statistics, forthcoming DOI:10.1080/07350015.2016.1180991

45. Favero C A, Niu L, Sala L (2012) Term Structure Forecasting: No-arbitrage Restriction vs. Large Information set. Journal of Forecasting, 31 (2), 124 – 156, DOI: 10.1002/for.1181.

46. Fitzenberger B, Kohn K, Lembcke A C (2013) Union Density and Varieties of Coverage: The Anatomy of Union Wage Effects in Germany. Industrial and Labor Relations Review, 66(1), 169–197.

47. Fitzenberger B, Licklederer S, Zwiener H (2015) Mobility across Firms and Occupations among Graduates from Apprenticeship. Labour Economics, 34, 138-151.

48. Fitzenberger B, Sommerfeld S, Steffes S (2013) Causal Effects on Employment after First Birth — A Dynamic Treatment Approach. Labour Economics, 25, 49–62.

49. Fitzenberger B, Steffes S, Strittmatter A (2015) Return-to-Job During and After Maternity Leave. The International Journal of Human Resource Management, published online: 13 May 2015, DOI:  10.1080/09585192.2015.1037328.

50. Grith M, Härdle W, Krätschmer V (2016) Reference Dependent Preferences and the EPK Puzzle. Review of Finance, DOI: 10.1093/rof/rfv062

51. Groll A, López Cabrera B, Brandis - Meyer T (2016) A consistent two factor model for pricing temperature derivatives. Energy Economics, 55, 112 - 126. DOI:10.1016/j.eneco.2015.12.020

52. Guo MM, Zhou L, Huang, JZ, Härdle W (2013) Functional Data Analysis of Generalized Regression Quantiles. Statistics and Computing, DOI: 10.1007/s11222 - 013 - 9425 – 1

53. Härdle W, Hautsch N, Mihoci A (2015) Local Adaptive Multiplicative Error Models for High - Frequency Forecasts. J. Applied Econometrics 30(4): 529 - 550, DOI: 10.1002/jae.2376

54. Härdle W, Lopez B, Okhrin O, Wang W (2017) Localizing Temperature Risk. Journal of the American Statistical Association, 1491-1508, DOI: 10.1080/01621459.2016.1180985.

55. Härdle W, López Cabrera B (2010) Calibrating CAT bonds for Mexican Earthquakes. Journal of Risk and Insurance 77 (3), 625 – 650, DOI: 10.1111/j.1539 - 6975.2010.01355.x.

56. Härdle W, López Cabrera B (2012) The implied market price of weather risk. Applied Mathematical Finance 19 (1), 59 – 95, DOI: 10.1080/1350486X.2011.591170.

57. Härdle W, López Cabrera B, Okhrin O and Wang W (2016) Localizing temperature risk. Journal of the American Statistical Association. DOI:10.1080/01621459.2016.1180985. 

58. Härdle W, López Cabrera B, Teng H (2015) State price densities implied from Weather Derivatives. Insurance: Mathematics & Economics 64: 106 - 125. DOI:10.1016/j.insmatheco.2015.05.001.

59. Härdle W, Yu L, Wang W (2016) TENET - Tail Event driven NETwork risk. Journal of Econometrics,   192(2): 499 - 513, DOI: doi:10.1016/j.jeconom.2016.02.013

60. He Q, Chen HQ (2014) Recent Macroeconomic Stability in China. China Economic Review, 30, 505–519.

61. Hsu M-W, Lessmann S, Sung M-C, Ma T, Johnson J E V (2016) Bridging the divide in financial market forecasting: machine learners vs. financial economists. Expert Systems with Applications, 61, 215-234.

62. Issing O, Bluhm M (2011) Anforderung an eine neue Ordnung der Finanzmärkte, in: Corporate Governance von Banken, Frankfurt.

63. Lessmann S, Baesens B, Seow H-V, Thomas L C (2015) Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research. European Journal of Operational Research, 247(1), 124-136.

64. Lessmann S, Sung M-C, Johnson J E V, Ma T (2012) A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction. European Journal of Operational Research 218(1), 163-174, DOI: 10.1016/j.ejor.2011.10.032.

65. Lessmann S, Voß S (2010) Customer-centric decision support: A bench­marking study of novel versus established classification models. Business & Information Systems Engineering 2 (2), 79-93, DOI: 10.1007/s12599-010-0094-8.

66. Li D, Li M, Wu W (2014) On dynamics of volatilities in nonstationary GARCH model. Statistiscs and Probability Letters, Vol 94, 86-90.

67. Li M and Huang Y (2014) Hilbert-Huang Transform based multifractal analysis of China stock market. Physica A: Statistical Mechanics and its Applications, 406,222-229. 

68. Li M, Li G and Li W K(2011) Score Tests for Hyperbolic GARCH Models. Journal of Business and Economic Statistics, 29 (4), 579 – 586, DOI: 10.1198/jbes.2011.10024.

69. Li M, Li K W and Li G (2013) On Mixture Memory GARCH Models. Journal of Time Series Analysis, 34: 606-624.

70. Li M, Li G and Li W K (2015) On a New Hyperbolic GARCH Model. Journal of Econometrics, Vol 189(2), 428-436. 

71. Li Y, Ruppert D (2008) On the Asymptotics of Penalized Splines. Biometrika, 95 (2), 415 – 436, DOI: 10.1093/biomet/asn010.

72. Li Y, Zhu LX (2007) Asymptotics for Sliced Average Variance Estimation. Annals of Statistics, 35 (1), 41 – 69, 10.1214/009053606000001091.

73. Lin M,  Chen R and Liu J S (2013) Lookahead Strategies for Sequential Monte Carlo, Statistical Science, 28, 69-94

74. Lin M, Chen R and Mykland P (2010) On Generating Monte Carlo Samples of Continuous Diffusion Bridges. Journal of the American Statistical Association, 105 (490), 820 – 838, DOI: 10.1198/jasa.2010.tm09057.

75. Lin M, Lu H, Chen R and Liang J (2009) Generating Properly Weighted Ensemble of Conformations of Proteins from Sparse or Indirect Distance Constraints. Journal of Chemical Physics, 129 (9), 1 – 13, DOI: 10.1063/1.2968605.

76. Lin M, Suess E A, Shunway R H and Chen R (2016) Bayesian Deconvolution of Signals Observed on Arrays,  Journal of Time Series Analysis, forthcoming, DOI: 10.1111/jtsa.12197

77. Lin W, Cai Z, Li Z and Su L (2015) Optimal smoothing in nonparametric conditional quantile derivative function estimation. Journal of Econometrics, 188, 502-513.

78. López Cabrera B and Schulz F (2016) Forecasting Generalized Quantiles of Electricity Demand: A functional Data Approach. Journal of the American Statistical Association, DOI:10.1080/01621459.2016.1219259.

79. López Cabrera B, Ritter M, Odening M (2013) Pricing Rain Futures at CME. Journal of Banking & Finance 37: 4286 - 4298.  DOI:10.1016/j.jbankfin.2013.07.042.

80. López Cabrera B, Schulz F (2016) Volatility linkages between energy and agricultural commodities. Energy Economics 54: 190 - 203.  DOI:10.1016/j.eneco.2015.11.018

81. Majer P, Mohr P, Heekeren H, Härdle W, (2015) Portfolio Decisions and Brain Reactions via the CEAD method. Psychometrika, DOI 10.1007/s11336 - 015 - 9441 - 5

82. Mammen E, Nielsen J P, Fitzenberger B (2011) Generalized Linear Time Series Regression. Biometrika, 98(4), 1007–1014, DOI: 10.1093/biomet/asr044.

83. Reiß M (2011) Asymptotic equivalence for inference on the volatility from noisy observations. Annals of Statistics 39 (2), 772 – 802, DOI: 10.1214/10-AOS855

84. Reiß M,  Belomestny D, Comte F, Genon-Catalot V,  Masuda H Lévy (2015) Matters IV: Estimation for Discretely Observed Lévy Processes. Lecture Notes in Mathematics 2128, Springer.

85. Reiß M,  Bibinger M,  Jirak M (2016) Volatility Estimation under one - sided errors with applications to limit - order books. Annals of Applied Probability, http://www.imstat.org/aap/future_papers.html.

86. Reiß M,  Todorov V,  Tauchen G (2014) Nonparametric Test for a constant beta between Itô - semimartingales based on high - frequency data. Stochastic Processes and Their Applications 125(8), 2955 - 2988.

87. Reiß M, Bibinger M, Hautsch N, Malec P (2014) Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency. Annals of Statistics 42(4): 1312 – 1346.

88. Reiß M, Dalalyan A (2007) Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case. Probability Theory and Related Fields 137 (1 - 2), 25 – 47, DOI: 10.1007/s00440-006-0502-7.

89. Reiß M, Jacod J (2014) A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Annals of Statistics 42(3): 1131 – 1144.

90. Reiß M, Jirak M, Meister A (2014) Adaptive estimation in nonparametric regression under one - sided errors. Annals of Statistics 42(5): 1312 – 1346.

91. Ren Y and Yuan Y (2014) Why the Housing Sector Leads the Whole Economy: the Importance of Collateral Constraints and News Shocks.  Journal of Real Estate Finance and Economics, 48(2), 323-341.

92. Ren Y, Xiong C and Yuan Y (2012) House Price Bubbles in China. China Economic Review, 23 (4), 786 – 800, DOI: 10.1016/j.chieco.2012.04.001.

93. Ren Y, Yuan Y and Zhang Y (2014) Human capital, household capital and asset returns. Journal of Banking and Finance 2014, 42, 11-22.

94. Ritter M, López Cabrera B, Odening M, Shen Z, Deckert L (2015). Designing an Index for Assesing Wind Energy Potential. Renewable Energy 83: 416 - 424. DOI:10.1016/j.renene.2015.04.038.

95. Ritter M, Shen Z, López Cabrera B, Odening M, Deckert L (2015) A new approach to assess wind energy potential. Energy Procedia 75: 671 - 676. DOI:10.1016/j.egypro.2015.07.485

96. Ruppert D, Shoemaker CA, Wang Y, Li Y, Bliznyuk N (2012) Uncertainty Analysis for Computationally Expensive Models with Multiple Outputs. Journal of Agricultural Biological and Environmental Statistics, 17 (4), 623 – 640, DOI: 10.1007/s13253-012-0091-0.

97. Song R, Härdle W, Ritov J (2014) High Dimensional Nonstationary Time Series Modeling with Generalized Dynamic Semiparametric Factor Model. Econometrics Journal 17: 1 - 32, DOI: 10.1111/ectj.12024

98. Spokoiny V (2012) Parametric estimation. Finite sample theory. Annals of Statistics, 40(6), 2877 – 2909, DOI: 10.1214/12-AOS1054.

99. Spokoiny V,  Wang W,  Härdle W (2013) Local quantile regression (with rejoinder), J. of Statistical Planning and Inference 143: 1109 – 1129

100.  Spokoiny V, Zhilova M (2015) Bootstrap confidence sets under model misspecification. Annals of Statist. 43: 2653 - 2675

101.  Strohsal T, Winkelmann L (2015) Assessing the anchoring of inflation expectations. Journal of International Money and Finance, 50, 33-48.

102.  Sun Y, Cai Z and Li Q (2013) Semiparametric functional coefficient models with integrated covariates. Econometric Theory, 29, 659-672.

103.  Sung M-C, Lessmann S (2012) Save the best for last? The treatment of dominant predictors in financial forecasting. Expert Systems with Applications, 39 (15),11898-11910, DOI: 10.1016/j.eswa.2012.02.091.

104.  Wang Q, Ren Y and Zou Y (2016) Uninsured Expense Shocks and Equity Premia. Economic Modelling, 58, 64–74.

105.  Wang X, Li Y (2014) Bayesian inferences for beta semi parametric-mixed models to analyze longitudinal neuroimaging data, Biometrical Journal, 56, 662-677

106.  Wang W,  Bobojanov I, Härdle W,  Odening M (2013) Testing for increasing weather risk.   Stochastic Environmental Research and Risk Assessment 27(7): 1436 - 3240. DOI 10.1007/s00477 - 013 - 0692 - 3

107.  Wang W, Härdle W (2015) Principle Volatility Component Analysis (a Discussion).  Journal of Business and Economic Statistics 32(2): 173 - 174. DOI: 10.1080/07350015.2014.898585

108.  Wang W, Härdle W,  Okhrin O (2015) Hidden Markov Model for HAC. Econometric Theory, 2015,31.05: 981 - 1015. DOI: http://dx.doi.org/10.1017/S0266466614000607

109.  Wang W, Härdle W, Okhrin Y (2015) Uniform Confidence Bands for Empirical Pricing Kernel. Journal of Financial Econometrics 31.05: 981 - 1015.; DOI 10.1093/jjfinec/nbu002

110.  Wang W, Ritov Y, Härdle W (2014) Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators.  Journal of Multivariate Analysis 134: 129 - 145. DOI http://dx.doi.org/10.1016/j.jmva.2014.11.003

111.  Wang W, Spokoiny V, Härdle W (2013) Local Quantile Regression.  Journal of Statistical Planning and Inference 143(7): 1109 - 1129. DOI 10.1016/j.jspi.2013.03.008

112.  Winkelmann L (2016) Forward guidance and the predictability of monetary policy - a wavelet based jump detection approach, Journal of the Royal Statistical Society: Series C 65, 299-314.

113.  Winkelmann L, Bibinger M, Linzert T (2016) ECB monetary policy surprises: identification through cojumps in interest rates. Journal of Applied Econometrics, 31, 613-629.

114.  Xiao L, Li Y, Ruppert D (2013) Fast bivariate P-splines: the sandwich smoother. Journal of the Royal Statistical Society, Series B, 75, 577-599. DOI: 10.1111/rssb.12007.

115.  Yan F,  Härdle W, Weining W, Zhu LX (2016) Composite Quantile Regression for the Single - Index Model. SFB 649 Discussion Paper 2013-010. Journal of Business economics and statistics. DOI: http://dx.doi.org/10.1080/07350015.2016.1180990.

116.  Yongmiao H, Chen B (2011) Generalized spectral testing for multivariate continuous-time models. Journal of Econometrics, 164 (2), 268 – 293, DOI: 10.1016/j.jeconom.2011.06.001.

117.  Yongmiao H, Chen B (2012) Testing for the Markov property in time series. Econometric Theory, 28, 130 – 178, DOI: 10.1017/S0266466611000065.

118.  Yongmiao H, Chen B (2014) A unified approach to validating univariate and multivariate conditional distributionmodels in time series. Journal of Econometrics, 178, 22-44.

119.  Yongmiao H, Lee Y (2013) A loss function approach to model specification testing and its relative efficiency. Annals of Statistics, 41, 1166-1203.

120.  Yongmiao H, Lin H, Wu C (2012) Are corporate bond market returns predictable? Journal of Banking and Finance 36 (8), 2216 – 2232, DOI: 10.1016/j.jbankfin.2012.04.001.

121.  Yongmiao H, Liu X, Cheng S and Wang S (2012) Volatility of the Chinese futures market based on an ACD model. with Systems Engineering Theory and Practice, 2, 268 – 273[Chinese].

122.  Yongmiao H, Lu F (2012) A test for time-varying information spillover and its application to financial markets. Management Science Journal, 4, 31-57 [in Chinese].

123.  Yongmiao H, McCloud N (2011) Testing the structure of conditional correlations in multivariate GARCH models: a generalized cross-spectrum approach. International Economic Review, 52 (4), 991 – 1037, DOI: 10.1111/j.1468-2354.2011.00657.x.

124.  Yongmiao H, Peng L (2013) Productivity spillovers among linked sectors China Economic Review, 25, 44-61.

125.  Zhang J L, Lin M, Liu J S and Chen R (2007) Lookahead and Piloting Strategies for Variable Selection. Statistica Sinica, 17 (3), 985 – 1003.

126.  Zhang J, Lin M, Chen R, Liang J and Liu J S (2007) Monte Carlo Sampling of Near-Native Structures of Proteins with Applications. Proteins: Structure, Function, and Bioinformatics, 66 (1), 61 – 68, DOI: 10.1002/prot.21203.

127.  Zhang JZ,  Härdle W,  Chen YC, Bommes E (2015) Distillation of News Flow into Analysis of Stock Reactions. J. Business Econ. Statistics, DOI:10.1080/07350015.2015.1110525

128.  Zheng Sh, Yang L, Härdle W (2014) A Smooth Simultaneous Confidence Corridor for the mean of sparse functional data. 109(506): 661 - 673, J. Amer. Stat. Assoc., DOI:10.1080/01621459.2013.866899

129. Zhu F, Cai Z and Peng L (2014) Predictive regressions for macroeconomics data. The Annals of Applied Statistics, 8, 577-594.

130. Zhu L, Ohtaki M, Li Y (2007) On hybrid methods of inverse regression-based algorithms. Computational Statistics & Data Analysis, 51 (5), 2621 – 2635, DOI: 10.1016/j.csda.2006.01.005.

131. Härdle WK, Huang LS (2017) Analysis of Deviance in Generalized Partial Linear Models. SFB 649 DP 2013-028, J Bus. Econ. Stat. DOI: 10.1080/07350015.2017.1330693