Publications

2020
Title Authors Published
A Nonparametric Approach to Identify Age, Time, and Cohort Effects Antonczyk, D., Fitzenberger, B., Mammen, E., Yu, K. Journal of Statistical Planning and Inference, 204, 96 - 115
Regression Based Expected Shortfall Backtesting Bayer, S., Dimitriadis, T. Journal of Financial Econometrics, forthcoming
Ill-Posed Estimation in High-Dimensional Models with Instrumental Variables Breunig, C., Mammen, E., Simoni, A. Journal of Econometrics, 219, 171 - 200
Two are Better than One: Volatility Forecasting using Multiplicative Component GARCH-MIDAS Models Conrad, C., Kleen, O. Journal of Applied Econometrics, 35, 19-45
Forecast Encompassing Tests for the Expected Shortfall Dimitriadis, T., Schnaitmann, J. International Journal of Forecasting, forthcoming
Testing Nowcast Monotonicity with Estimated Factors Fosten, J., Gutknecht, D. Journal of Business and Economic Statistics, 38, 107-123
Horizon confidence sets Fosten, J., Gutknecht, D. Empirical Economics
Bounds on Treatment Effects in Regression Discontinuity Designs with a Manipulated Running Variable Gerard, F., Rokkanen, M., Rothe, C. Quantitative Economics, forthcoming
Smooth Backfitting of Proportional Hazards with Multiplicative Components Hiabu, M., Mammen, E., Martìnez Miranda, M. D., Nielsen, J. P. Journal of the American Statistical Association, forthcoming
Poisson Reduced Rank Models with an Application to Political Text Data Jentsch, C., Lee, E. R., Mammen, E. Biometrika, forthcoming
Time-Dependent Poisson Reduced Rank Models for Political Text Data Analysis Jentsch, C., Lee, E. R., Mammen, E. Computational Statistics and Data Analysis, 142, 106813
Predictive Inference based on Markov Chain Monte Carlo Output Krüger, F., Lerch, S., Thorarinsdottir, T., Gneiting, T. International Statistical Review, forthcoming
Generic Conditions for Forecast Dominance Krüger, F., Ziegel, J.F. Journal of Business and Economic Statistics, forthcoming
Nonparametric Regression with Parametric Help Lee, Y. K., Mammen, E., Nielsen, J. P., Park, B. U. Electronic Journal of Statistics, 14, 3845-3868
A Nested Copula Duration Model for Competing Risks with Multiple Spells Lo, S. M. S., Mammen, E., Wilke, R. A. Computational Statistics and Data Analysis, 150, 106986
Calendar Effect and In-Sample Forecasting Mammen, E., Martìnez Miranda, M. D., Nielsen, J. P., Vogt, M. Insurance: Mathematics and Economics, 96, 31-52
Estimating Derivatives of Function-Valued Parameters in a Class of Moment Condition Models Rothe, C., Wied, D. Journal of Econometrics, 217, 1-19
Nonparametric Instrumental Variable Methods for Dynamic Treatment Evaluation van den Berg, G. J., Bonev, P., Mammen, E. Review of Economics and Statistics, 102, 355-367
A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models van den Berg, G. J., Janys, L., Mammen, E., Nielsen, J. P. Journal of Econometrics, forthcoming
heap: A command for fitting discrete outcome variable models in the presence of heaping at known points Yan, Z., Arulampalam, W., Corradi, V., Gutknecht, D. Stata Journal, 20, 435-467
2019
Title Authors Published
A Comparison of In-Sample Forecasting Methods Bischofberger, S. M., Hiabu, M., Mammen, E., Nielsen, J. P. Computational Statistics and Data Analysis, 137, 133-154
Properization: Constructing Proper Scoring Rules via Bayes Acts Brehmer, J., Gneiting, T. Annals of the Institute of Statistical Mathematics, 72, 659-673
Measuring Connectedness of Euro Area Sovereign Risk Buse, R., Schienle, M. International Journal of Forecasting, 35, 25-44
On the Determinants of Long-run Inflation Uncertainty: Evidence from a Panel of 17 Developed Economies Conrad, C., Hartmann, M. European Journal of Political Economy, 56, 233-250
A Joint Quantile and Expected Shortfall Regression Framework Dimitriadis, T., Bayer, S. Electronic Journal of Statistics 13, 1823-1871
Evaluating Probabilistic Forecasts with scoringRules Jordan, A., Krüger, F., Lerch, S. Journal of Statistical Software, 90
Nonparametric Inference for Continuous-Time Event Counting and Link-Based Dynamic Network Models Kreiß, A., Mammen, E., Polonik, W. Electronic Journal of Statistics, 13, 2764-2829
Generalised Additive Dependency Inflated Models Including an Aggregated Covariate Lee, Y. K., Mammen, E., Nielsen, J. P., Park, B. U. Electronic Journal of Statistics, 13, 67-93
Determination of Vector Error Correction Models in High Dimensions Liang, C., Schienle, M. Journal of Econometrics, 208, 418-441
Conditional Variance Forecasts for Long-Term Stock Returns Mammen, E., Nielsen, J. P., Scholz, M., Sperlich, S. Risks, 7, 113
Expansions for Moments of Regression Quantiles with Applications to Nonparametric Testing Mammen, E., Van Keilegom, I., Yu, K. Bernoulli, 25, 793-827
Robust Forecast Evaluation of Expected Shortfall Ziegel, J.F., Krüger, F., Jordan, A., Fasciati, F. Journal of Financial Econometrics, 18, 95-120
2018
Title Authors Published
Detecting Structural Differences in Tail Dependence of Financial Time Series Bormann, C., Schienle, M. Journal of Business and Economic Statistics, 38, 380-392
Nonparametric Estimation in case of Endogenous Selection Breunig, C., Mammen, E., Simoni, A. Journal of Econometrics, 202, 268-285
Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis Conrad, C., Custovic, A., Ghysels, E. Journal of Risk and Financial Management, 11, 23
Testing for an Omitted Long-Term Component in Multiplicative GARCH Models Conrad, C., Schienle, M. Journal of Business and Economic Statistics, 38, 229-242
Forecast Dominance Testing via Sign Randomization Ehm, W., Krüger, F. Electronic Journal of Statistics, 12, 3758-3793
Properties of Doubly Robust Estimators when Nuisance Functions are Estimated Nonparametrically Firpo, S., Rothe, C. Econometric Theory, 35, 1048-1087
Inference in Regression Discontinuity Designs with a Discrete Running Variable Kolesar, M., Rothe, C. American Economic Review, 108, 2277-2304
In-Sample Forecasting: A Brief Review and New Algorithms Lee, Y. K., Mammen, E., Park, B. P. ALEA - Latin American Journal of Probability and Mathematical Statistics, 15, 875-895
Identifying Shocks to Business Cycles with Asynchronous Propagation Trenkler, C., Weber, E. Empirical Economics, 58, 1815-1836
2017
Title Authors Published
Modeling Heaped Duration Data: An Application to Neonatal Mortality Arulampalam, W., Corradi ,V., Gutknecht, D. Journal of Econometrics, 200, 363-377
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts Clark, T.E, Krüger, F., Ravazzolo, F. Journal of Business & Economic Statistics, 35, 470-485
Generalised Partially Linear Regression with Misclassified Data and an Application to Labour Market Transitions Dlugosz, S., Mammen, E., Wilke, R. A. Computational Statistics and Data Analysis, 110, 145-159
Bias-corrected Score Decomposition for Generalized Quantiles Ehm, W., Ovcharov, E. Y. Biometrika, 104, 473-480
When Is the Mode Functional the Bayes Classifier? Gneiting, T. Stat, 6, 204-206
Survey-based Forecast Distributions for Euro Area Growth and Inflation: Ensembles versus Histograms Krüger, F. Empirical Economics, 53, 235-246
Operational Time and In-Sample Density Forecasting Lee, Y. K., Mammen, E., Nielsen, J. P., Park, B. U. Annals of Statistics, 45, 1312-1341
Forecaster's Dilemma: Extreme Events and Forecast Evaluation Lerch, S., Thorarinsdottir, T. L., Ravazzolo, F., Gneiting, T. Statistical Science, 32, 106-127
Baxter's Inequality and Sieve Bootstrap for Random Fields Meyer, M., Jentsch, C., Kreiss, J.-P. Bernoulli, 23, 2988-3020
Robust Confidence Intervals for Average Treatment Effects under Limited Overlap Rothe, C. Econometrica, 85, 645-660
Discussion of "Elicitability and Backtesting: Perspectives for Banking Regulation" Schmidt, P. Annals of Applied Statistics, 11, 1883-1885
2016
Title Authors Published
A Spectral Domain Test for Stationarity of Spatio-temporal Data Bandyopadhyay, S., Jentsch, C., Subba Rao, S. Journal of Time Series Analysis, 38, 326-351
Systemic Risk Spillovers in the European Banking and Sovereign Network
working paper version
Betz, F., Hautsch, N., Peltonen, T., Schienle, M. Journal of Financial Stability, 25, 206-224
Beyond Dimension Two: A test for Higher-order Tail Risk
working paper version
Bormann, C., Schaumburg, J., Schienle, M. Journal of Financial Econometrics, 14, 552-580
Inference in VARs with Conditional Heteroskedasticity of Unknown Form Brüggemann, R., Jentsch, C., Trenkler, C Journal of Econometrics, 191, 69-85
Asymptotics for Parametric GARCH-in-mean Models Conrad, C., Mammen, E. Journal of Econometrics, 194, 319-329
The Effect of Political Communication on European Financial Markets during the Sovereign Debt Crisis Conrad, C., Zumbach, K. Journal of Empirical Finance, 39, 209-214
Forecasting Conditional Probabilities of Binary Outcomes under Misspecification Elliott, G, Ghanem, D. Krüger, F. Review of Economics and Statistics, 98, 742-755
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings Ehm, W., Gneiting, T., Jordan, A., Krüger, F. Journal of the Royal Statistical Society (Series B), 78, 505-562
Testing for Monotonicity under Endogeneity: An application to the Reservation Wage Function Gutknecht, D. Journal of Econometrics, 190, 100-114
How Much Information Does Dependence between Wavelet Coefficients Contain?
R Code
Jentsch, C., Kirch, C. Journal of the American Statistical Association, 111, 1330-1345
A Connectedness Analysis of German Financial Institutions during the Financial Crisis in 2008 Jentsch, C., Steinmetz, J. Banks and Bank Systems, 11, No. 4.
Bootstrapping Sample Quantiles of Discrete Data Jentsch, C., Leucht, A. Annals of the Institute of Statistical Mathematics, 68, 491-539.
Disagreement versus Uncertainty: Evidence from Distribution Forecasts
working paper version
Krüger, F , Nolte, I., A. Journal of Banking & Finance, 72, 172-186
Semiparametric Estimation with Generated Covariates
working paper version
Mammen, E., Rothe, C., Schienle, M. Econometric Theory, 32, 1140-1177
On the Identification of Multivariate Uncorrelated Unobserved Components Models Trenkler, C., Weber, E. Economics Letters, 168, 15-18
2015
Title Authors Published
Bootstrap Co-integration Rank Testing: The Effect of Bias-correcting Parameter Estimates Cavaliere, G., Taylor, A.M.R., Trenkler, C. Oxford Bulletin of Economics and Statistics, 77, 740-759
Anticipating Long-term Stock Market Volatility Conrad, C., Loch, K. Journal of Applied Econometrics, 30, 1090-1114
The Variance Risk Premium and Fundamental Uncertainty Conrad, C., Loch, K. Economics Letters, 132, 56-60
On the Transmission of Memory in GARCH-in-mean Models Conrad, C., Karanasos, M. Journal of Time Series Analysis, 36, 706-720
Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel Conrad, C., Karanasos, M. Scottish Journal of Political Economy, 62, 431-453
Financial Network Systemic Risk Contributions
Hautsch, N., Schaumburg, J., Schienle, M. Review of Finance, 19, 685-738
Block Bootstrap Theory for Multivariate Integrated and Cointegrated Time Series Jentsch, C., Paparoditis, E., Politis, D. N. Journal of Time Series Analysis, 36, 416-441
Covariance Matrix Estimation and Linear Process Bootstrap for Multivariate Time Series of Possibly Increasing Dimension
supplement
R code
Jentsch, C., Politis, D. N. The Annals of Statistics, 43, 1117-1140
Testing Equality of Spectral Densities Using Randomization Techniques
supplement
Jentsch, C., Pauly, M. Bernoulli, 21, 697-739
A Test for Second Order Stationarity of a Multivariate Time Series Jentsch, C., Subba Rao, S. Journal of Econometrics, 185, 124-161
Simple Identification and Specification of Cointegrated VARMA Models Kascha, C., Trenkler, C. Journal of Applied Econometrics, 30, 675-702
2014
Title Authors Published
On the Macroeconomic Determinants of Long-term Volatilities and Correlations in U.S. Stock and Crude Oil Markets Conrad, C., Loch, K., Rittler, D. Journal of Empirical Finance, 29, 26-40
Forecasting Systemic Impact in Financial Networks working paper version Hautsch, N., Schaumburg, J., Schienle, M. International Journal of Forcasting, 30, 781-794
Nonparametric Kernel Density Estimation Near the Boundary, Computational Statistics and Data Analysis
working paper version
Malec, P., Schienle, M. Computational Statistics & Data Analysis, 72, 57-72