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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.
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
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
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
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
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
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
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
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
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
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
Pape, Katharina, Galeano, Pedro and Wied, Dominik . Sequential detection of parameter changes in dynamic conditional correlation models. Appl. Stoch. Models. Bus. Ind.. HOBOKEN: WILEY. ISSN 1526-4025
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
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
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
Theising, Etienne, Wied, Dominik and Ziggel, Daniel . Reference class selection in similarity-based forecasting of corporate sales growth. J. Forecast.. HOBOKEN: WILEY. ISSN 1099-131X
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
Troster, Victor and Wied, Dominik . A specification test for dynamic conditional distribution models with function-valued parameters. Econom. Rev.. PHILADELPHIA: TAYLOR & FRANCIS INC. ISSN 1532-4168
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
Weissbach, Rafael and Wied, Dominik ORCID: 0000-0003-4252-2918
.
Truncating the exponential with a uniform distribution.
Stat. Pap..
NEW YORK:
SPRINGER.
ISSN 1613-9798
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