| 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 |
| 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 | ||