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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Publications

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

 

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

8. Chen CYH, Chiang CT, Härdle WK (2018) Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. J Banking and Finance, Volume 93, August 2018, pp. 21-32, DOI 10.1016/j.jbankfin.2018.05.012

9. Zharova A, Tellinger-Rice J, Härdle WK (2018) How to Measure the Performance of a Collaborative Research Center, Scientometrics, accepted 2018082

10. Winkelmann, L, Bibinger, M (2018) Common price and volatility jumps in noisy high-frequency data. Electronic Journal of Statistics, 12, 2018-2073, 2018

11. Chen CYH, Härdle WK, Okhrin Y (2018) Tail event driven networks of SIFIs. J Econometrics, https://doi.org/10.1016/j.jeconom.2018.09.016

 

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 (submitted to Energy Economics)

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

4. Audrino F, Huang C, Okhrin O (2017) Flexible HAR Model for Realized Volatility (R&R Studies in Nonlinear Dynamics & Econometrics). www.researchgate.net/publication/303862984_Flexible_HAR_Model_for_Realized_Volatility

5. Chao S-K, Härdle WK, Huang C (2017) Multivariate Factorizable Expectile Regression with Application to fMRI Data (accepted Computational Statistics and Data Analysis), doi.org/10.1016/j.csda.2017.12.001

6. Efimov K, Adamyan L, Spokoiny V (2017) Adaptive Nonparametric Clustering, (Journal of Royal Statistical Society, submitted) arxiv.org/abs/1709.09102

7. Adamyan L, Efimov K, Chen YC, Härdle WK (2017) Adaptive Weights Clustering of Research Papers. SFB Discussion Paper 2017-013 (Submitted to Computational Statistics)

8. 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

 

 
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 Theory of Probability & Its Applications).

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. (resubmitted Journal of Energy Markets)

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 arXiv preprint arXiv:1703.03658

15. Efimov K, Adamyan 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 Z, Nasekin 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. (submitted to Statistics & Risk Modeling)

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 X, Mihoci 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 S, Hong 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. 

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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

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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

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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

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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

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133. 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

134. 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

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

136. 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

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140. Chen CYH, Chiang CT, Härdle WK (2018) Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries. J Banking and Finance, Volume 93, August 2018, pp. 21-32, DOI 10.1016/j.jbankfin.2018.05.012

141. Zharova A, Tellinger-Rice J, Härdle WK (2018) How to Measure the Performance of a Collaborative Research Center, Scientometrics, accepted 20180822 ###äää###

142. Winkelmann, L, Bibinger, M (2018) Common price and volatility jumps in noisy high-frequency data. Electronic Journal of Statistics, 12, 2018-2073, 2018

143. Chen CYH, Härdle WK, Okhrin Y (2018) Tail event driven networks of SIFIs. J Econometrics, https://doi.org/10.1016/j.jeconom.2018.09.016