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Details about Weining Wang

Homepage:https://www.york.ac.uk/economics/our-people/staff-profiles/weining-wang/
Workplace:Department of Economics and Related Studies, University of York, (more information at EDIRC)
Institute for Fiscal Studies (IFS), (more information at EDIRC)

Access statistics for papers by Weining Wang.

Last updated 2021-03-10. Update your information in the RePEc Author Service.

Short-id: pwa606


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Working Papers

2020

  1. A supreme test for periodic explosive GARCH
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
    Also in Papers, arXiv.org (2018) Downloads
  2. Dynamic Spatial Network Quantile Autoregression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  3. Improved Estimation of Dynamic Models of Conditional Means and Variances
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (1)
  4. Inference of breakpoints in high-dimensional time series
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019) Downloads
  5. Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  6. Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  7. Pricing Cryptocurrency Options
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Journal of Financial Econometrics (2020)
  8. Tail Event Driven Factor Augmented Dynamic Model
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  9. The common and speci fic components of inflation expectation across European countries
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  10. Using generalized estimating equations to estimate nonlinear models with spatial data
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (1)
    Also in Papers, arXiv.org (2018) Downloads View citations (1)

2019

  1. Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads
  2. LASSO-Driven Inference in Time and Space
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (2)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) Downloads View citations (1)
    Working Papers, Department of Economics, City University London (2018) Downloads View citations (3)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) Downloads View citations (3)
  3. Modelling Systemic Risk Using Neural Network Quantile Regression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (1)

2018

  1. Pricing Cryptocurrency options: the case of CRIX and Bitcoin
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (4)

2017

  1. Dynamic Semiparametric Factor Model with a Common Break
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  2. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2016

  1. Estimation of NAIRU with In ation Expectation Data
    Working Papers, Department of Economics, City University London Downloads
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2015) Downloads View citations (1)
    Working Papers, Department of Economics, City University London (2016) Downloads
    Working Papers, Department of Economics, City University London (2016) Downloads
  2. Network Quantile Autoregression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    See also Journal Article in Journal of Econometrics (2019)
  3. Time Varying Quantile Lasso
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2014

  1. Nonparametric Estimates for Conditional Quantiles of Time Series
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in AStA Advances in Statistical Analysis (2015)
  2. TENET: Tail-Event driven NETwork risk
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2016)

2013

  1. Composite Quantile Regression for the Single-Index Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (6)
  2. Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

2012

  1. HMM in dynamic HAC models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
  2. Quantile Regression in Risk Calibration
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (15)

2011

  1. Local Quantile Regression
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (43)

2010

  1. Prognose mit nichtparametrischen Verfahren
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (10)
  2. Uniform confidence bands for pricing kernels
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (24)
    See also Journal Article in Journal of Financial Econometrics (2015)

Undated

  1. Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads

Journal Articles

2020

  1. Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials
    Applied Mathematics and Computation, 2020, 372, (C) Downloads View citations (4)
  2. Pricing Cryptocurrency Options*
    Journal of Financial Econometrics, 2020, 18, (2), 250-279 Downloads View citations (6)
    See also Working Paper (2020)

2019

  1. Network quantile autoregression
    Journal of Econometrics, 2019, 212, (1), 345-358 Downloads View citations (10)
    See also Working Paper (2016)

2018

  1. Single-Index-Based CoVaR With Very High-Dimensional Covariates
    Journal of Business & Economic Statistics, 2018, 36, (2), 212-226 Downloads View citations (11)

2016

  1. Localizing Temperature Risk
    Journal of the American Statistical Association, 2016, 111, (516), 1491-1508 Downloads View citations (1)
  2. TENET: Tail-Event driven NETwork risk
    Journal of Econometrics, 2016, 192, (2), 499-513 Downloads View citations (77)
    See also Working Paper (2014)

2015

  1. HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
    Econometric Theory, 2015, 31, (5), 981-1015 Downloads View citations (5)
  2. Nonparametric estimates for conditional quantiles of time series
    AStA Advances in Statistical Analysis, 2015, 99, (1), 107-130 Downloads View citations (2)
    See also Working Paper (2014)
  3. Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models
    Journal of Multivariate Analysis, 2015, 134, (C), 129-145 Downloads View citations (2)
  4. Uniform Confidence Bands for Pricing Kernels
    Journal of Financial Econometrics, 2015, 13, (2), 376-413 Downloads View citations (2)
    See also Working Paper (2010)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 173-174 Downloads
 
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