2021
Title	Authors	Published
Goodness-Of-Fit Tests for Poisson Count Time Series Based on the Stein-Chen Identity	Aleksandrov, B., Weiß, C.H., Jentsch, C.	Statistica Neerlandica, forthcoming
Evaluating Epidemic Forecasts in an Interval Format	Bracher, J., Ray, E.L., Gneiting, T., Reich, N.G.	PLOS Computational Biology, 17(2), e1008618
Short-Term Forecasting of COVID-19 in Germany and Poland During the Second Wave - a Preregistered Study	Bracher, J., Wolffram, D., Deuschel, J., Görgen, K., Ketterer, J.L., Ullrich, A., Abbott, S., Barbarossa, M.V.,Bertsimas, D., Bhatia, S., Bodych, M., Bosse, N.I., Burgard, J.P, Castro, L., Fairchild, G., Fuhrmann, J., Funk, S., Gogolewski, K., Gu, Q., Heyder, S., Hotz, T., Kheifetz, Y., Kirsten, H., Krueger, T., Krymova, E., Li, M.L., Meinke, J.H. , Michaud, I.J. , Niedzielewski, K., Ożański, T., Rakowski, F., Scholz, M., Soni, S., Srivastava, A., Zieliński, J., Zou, D., Gneiting, T., Schienle, M.	Nature Communications, 12, 5173
Scoring Interval Forecasts: Equal-tailed, Shortest, and Modal Interval	Brehmer, J., Gneiting, T.	Bernoulli, 27(3), 1993 - 2010
Realized Quantiles	Dimiatridis, T., Halbleib, R.	Journal of Business and Economic Statistics, forthcoming
Forecast Encompassing Tests for the Expected Shortfall	Dimitriadis, T., Schnaitmann, J.	International Journal of Forecasting, 37 (2), 604 - 622
Stable Reliability Diagrams for Probabilistic Classifiers	Dimitriadis, T., Gneiting, T., Jordan, A.I.	Proceedings of the National Academy of Sciences (PNAS), 118 (8), e2016191118
Change Detection in Dynamic Networks Using Network Characteristics	Flossdorf, J., Jentsch, C.	IEEE Transactions on Signal and Information Processing over Networks, 7, 451 - 464
Horizon Confidence Sets	Fosten, J., Gutknecht, D.	Empirical Economics, 61, 667 - 692
Optimal Estimation of Sparse High-Dimensional Additive Models	Gregory, K., Mammen, E., Wahl, M.	Annals of Statistics, 49(3), 1514 - 1536
Poisson Reduced Rank Models with an Application to Political Text Data	Jentsch, C., Lee, E. R., Mammen, E.	Biometrika, 108 (2), 455 - 468
Bootstrapping Hill Estimator and Tail Array Sums for Regular Varying Time Series	Jentsch, C., Kulik, R.	Bernoulli, 27(2), 1409 - 1439
On the Validity of Akaike's Identity for Random Fields	Jentsch, C., Meyer, M.	Journal of Econometrics, 222 (1), 676- 687
Generalized Binary Vector Autoregressive Processes	Jentsch, C., Reichmann, L.	Journal of Time Series Analysis, forthcoming
Forecast Uncertainty, Disagreement, and the Linear Pool	Knüppel, M., Krüger, F.	Journal of Applied Econometrics, forthcoming
Correlations Bounds, Mixing and m-Dependence under Random Time-Varying Network Distances with an Application to Cox-Processes	Kreiß, A.	Bernoulli, 27(3), 1666 - 1694
Calendar Effect and In-Sample Forecasting	Mammen, E., Martínez-Miranda, M.D., Nielsen, J.P., Vogt, M.	Insurance: Mathematics and Economics, 96, 31 - 52
Backfitting Tests in Generalized Structured Models	Mammen, E., Sperlich, S.	Biometrika, forthcoming
Interpretation of Point Forecasts with Unknown Directive	Schmidt, P., Katzfuss, M., Gneiting, T.	Journal of Applied Econometrics, forthcoming
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, 221 (1), 43 - 67
Statistical Forecasts for the Occurence of Precipitation Outperform Global Models over Northern Tropical Africa	Vogel, P., Knippertz, P., Gneiting, T., Fink, A.H., Klar, M., Schlueter, A.	Geophysical Research Letters, 48(3), e2020GL091022

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
Detecting Structural Differences in Tail Dependence of Financial Time Series	Bormann, C., Schienle, M.	Journal of Business and Economic Statistics, 38(2), 380 - 392
Properization: Constructing Proper Scoring Rules via Bayes Act	Brehmer, J.T., Gneiting, T.	Annals of the Institute of Statistical Mathematics, 72, 659 - 673
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
Testing for an Omitted Multiplicative Long-term Component in GARCH Models	Conrad, C., Schienle, M.	Journal of Business and Economic Statistics, 38 (2), 229 - 242
Forecast Encompassing Tests for the Expected Shortfall	Dimitriadis, T., Schnaitmann, J.	International Journal of Forecasting, 37 (2), 604 - 622
Anchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area	Dovern, J., Kenny, G.	International Journal of Central Banking, 16(5), 309 - 347
Order-Invariant Tests for Proper Calibration of Multivariate Density Forecasts	Dovern, J., Manner, H.	Journal of Applied Econometrics, 35(4), 440 - 456
How Economic Crises Damage Potential Output - Evidence from the Great Recession	Dovern, J., Zuber, C.	Journal of Macroeconomics, 65, 103239
Recessions and Potential Output: Disentangling Measurement Errors, Supply Shocks, and Hysteresis Effects	Dovern, J., Zuber, C.	Scandinavian Journal of Economics, 122(4), 1431 - 1466
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, 61, 667–692
Bounds on Treatment Effects in Regression Discontinuity Designs with a Manipulated Running Variable	Gerard, F., Rokkanen, M., Rothe, C.	Quantitative Economics, 11 (3), 839 - 870
Five Dimensions of the Uncertainty-Disagreement Linkage	Glas, A.	International Journal of Forecasting, 36(2), 607 - 627
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, 108 (2), 455 - 468
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 Statistic Review, 89 (2), 274 - 301
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
Identifying Shocks to Business Cycles with Asychronous Propagation	Trenkler, C., Weber, E.	Empirical Economics, 58(4), 1815 - 1836
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, 221 (1), 43 - 67
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
Nonparametric Regression with Parametric Help	Young, L.K., Mammen, E., Nielsen, J. P., Park, B. U.	Electronic Journal of Statistics, 14, 3845 - 3868

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