Universität zu Köln

2023

Breitung, Jörg ORCID: 0000-0001-7367-0863, Mayer, Alexander and Wied, Dominik ORCID: 0000-0003-4252-2918 (2023). Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations (version, v3). Cornell University NY USA. Working Paper.

2022

Duan, Fang, Manner, Hans and Wied, Dominik (2022). Model and Moment Selection in Factor Copula Models. J. Financ. Econom., 20 (1). S. 45 - 76. OXFORD: OXFORD UNIV PRESS. ISSN 1479-8417

Kaldorf, Matthias and Wied, Dominik (2022). Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models. Stud. Nonlinear Dyn. Econom., 26 (1). S. 1 - 25. BERLIN: WALTER DE GRUYTER GMBH. ISSN 1558-3708

2021

Kutzker, Tim, Stark, Florian ORCID: 0000-0001-7419-6702 and Wied, Dominik ORCID: 0000-0003-4252-2918 (2021). Testing for relevant dependence change in financial data: a CUSUM copula approach. Empir. Econ., 60 (4). S. 1875 - 1895. HEIDELBERG: PHYSICA-VERLAG GMBH & CO. ISSN 1435-8921

Manner, Hans, Stark, Florian and Wied, Dominik ORCID: 0000-0003-4252-2918 (2021). A monitoring procedure for detecting structural breaks in factor copula models. Stud. Nonlinear Dyn. Econom., 25 (4). S. 171 - 193. BERLIN: WALTER DE GRUYTER GMBH. ISSN 1558-3708

Troster, Victor, Penalva, Jose ORCID: 0000-0002-1793-9642, Taamouti, Abderrahim ORCID: 0000-0002-1360-8803 and Wied, Dominik ORCID: 0000-0003-4252-2918 (2021). Cointegration, information transmission, and the lead-lag effect between industry portfolios and the stock market. J. Forecast., 40 (7). S. 1291 - 1310. HOBOKEN: WILEY. ISSN 1099-131X

2020

Rothe, Christoph and Wied, Dominik (2020). Estimating derivatives of function-valued parameters in a class of moment condition models. J. Econom., 217 (1). S. 1 - 20. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895

2019

Demetrescu, Matei and Wied, Dominik (2019). Testing for constant correlation of filtered series under structural change. Econom. J., 22 (1). S. 10 - 47. OXFORD: OXFORD UNIV PRESS. ISSN 1368-423X

Loeser, Robert, Wied, Dominik and Ziggel, Daniel (2019). New backtests for unconditional coverage of expected shortfall. J. Risk, 21 (4). S. 39 - 60. LONDON: INCISIVE MEDIA. ISSN 1755-2842

Manner, Hans, Stark, Florian and Wied, Dominik (2019). Testing for structural breaks in factor copula models. J. Econom., 208 (2). S. 324 - 346. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895

Posch, Peter N., Ullmann, Daniel and Wied, Dominik (2019). Detecting structural changes in large portfolios. Empir. Econ., 56 (4). S. 1341 - 1358. HEIDELBERG: PHYSICA-VERLAG GMBH & CO. ISSN 1435-8921

2018

Duan, Fang and Wied, Dominik (2018). A residual-based multivariate constant correlation test. Metrika, 81 (6). S. 653 - 688. HEIDELBERG: SPRINGER HEIDELBERG. ISSN 1435-926X

2017

Dehling, Herold, Vogel, Daniel, Wendler, Martin and Wied, Dominik (2017). TESTING FOR CHANGES IN KENDALL'S TAU. Economet. Theory, 33 (6). S. 1352 - 1387. NEW YORK: CAMBRIDGE UNIV PRESS. ISSN 1469-4360

Galeano, Pedro ORCID: 0000-0003-2577-2747 and Wied, Dominik (2017). Dating multiple change points in the correlation matrix. Test, 26 (2). S. 331 - 353. NEW YORK: SPRINGER. ISSN 1863-8260

Hoga, Yannick ORCID: 0000-0002-6332-5561 and Wied, Dominik (2017). Sequential monitoring of the tail behavior of dependent data. J. Stat. Plan. Infer., 182. S. 29 - 50. AMSTERDAM: ELSEVIER. ISSN 1873-1171

Wagner, Martin ORCID: 0000-0002-6123-4797 and Wied, Dominik (2017). Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis. J. Time Ser. Anal., 38 (6). S. 960 - 981. HOBOKEN: WILEY. ISSN 1467-9892

2016

Pape, Katharina, Wied, Dominik and Galeano, Pedro ORCID: 0000-0003-2577-2747 (2016). Monitoring multivariate variance changes. J. Empir. Financ., 39. S. 54 - 69. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1879-1727

Wied, Dominik, Weiss, Gregor N. F. and Ziggel, Daniel (2016). Evaluating Value-at-Risk forecasts: A new set of multivariate backtests. J. Bank Financ., 72. S. 121 - 133. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1872-6372

2015

Kraemer, Walter and Wied, Dominik (2015). A simple and focused backtest of value at risk. Econ. Lett., 137. S. 29 - 32. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1873-7374