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Humboldt-Universität zu Berlin - Statistik

Papers

Prof.Dr. Weining Wang

JP Nonparametric Statistics and Dynamic Risk Management

 

[Home| CV | Teaching | Papers | Proceedings, Books | Research Affliations | Links ]

 

Research Interest

 

Financial Econometrics, Statistics, Time series, Panel data analysis

 

Current Projects and Papers

Yan, F., Härdle, W., Wang, W. and Zhu, L.X. (2016) Composite Quantile Regression for the Single-Index Model. Accepted, Journal of Business economics and statistics

 

Härdle, W., Wang, W. and Yu, L.N. (2016) TENET:Tail event driven network risk. Accepted, Journal of Econometrics

 

Härdle, W., Lopez, B., Okhrin, O. and Wang, W.(2016) Localising Temperature Risk. Accepted, Journal of the American Statistical Association.

 

Wang, W., Okhrin, O. and Härdle W. (2015) Hidden Markov structures for Dynamic Copulae. Forthcoming Econometric Theory

 

Härdle, W. and Wang, W. (2014) Principle Volatility Component Analysis (a Discussion). Journal of Business and Economic Statistics, DOI: 10.1080/07350015.2014.898585

 

Härdle, W., Okhrin, Y. and Wang, W.(2014) Uniform confidence bands for pricing kernels. Journal of Financial Econometrics, DOI 10.1093/jjfinec/nbu002

 

Spokoiny , V., Wang, W. and Härdle W. (2013) Local Quantile Regression. Journal of Statistical Planning and Inference, DOI 10.1016/j.jspi.2013.03.008, Volume 143, Issue 7, July 2013, with discussions,  pages 1109-1129

Disscussants: Roger Koenker, Marc Hallin, Sokbae Lee, Zudi Lu, Yingcun Xia, Keming Yu, Wei Dang, Huiming Zhu, Rahim Al Hamzawi

 

Wang, W., Bobojobov, I., Härdle, W. and Odening, M.(2012) Testing for increasing weather risk. Stoch. Environ. Res. Risk Assess (impact factor 1.961), Jan 2013,  pages 1436-3240, DOI 10.1007/s00477-013-0692-3.

 

Härdle, W., Ritov, Y., and Wang, W.(2015) Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators, Journal of Multivariate Analysis, Volume 134, pages 129-145, research in Pairs (RiP) project, Oberwolfach, DOI 10.1016/j.jmva.2014.11.003.

 

Franke, J., Mwita, P., and Wang, W.(2014) Nonparametric estimates for conditional-quantiles of time series, AStA Advances in Statistical Analysis, DOI: 10.1007/s10182-014-0234-4, Volume 99, Issue 1 (2015), pages 107-130.

 

Work in Progress

 

Dynamics of Natural Rate of Unemployment: A Structural Forward Looking Approach

Joint Modeling of Inflation Expectation Dynamics over European Countries

Discontinuous Dynamic Semiparametric Factor Models.

Evaluating minimum wage policy impact: a case study in China

Dynamic quantile factor models.