Universität zu Köln

Journal Article

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