Details about Dominik Wied

Access statistics for papers by Dominik Wied.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pwi327

Working Papers

2025

1. Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference
   Papers, arXiv.org

2024

2. Quantile Granger Causality in the Presence of Instability
   Papers, arXiv.org

2023

3. Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations
   Papers, arXiv.org View citations (3)
   See also Journal Article Asymptotic properties of endogeneity corrections using nonlinear transformations, The Econometrics Journal, Royal Economic Society (2024) View citations (2) (2024)

2022

4. Estimation and Inference in Factor Copula Models with Exogenous Covariates
   Papers, arXiv.org
   See also Journal Article Estimation and inference in factor copula models with exogenous covariates, Journal of Econometrics, Elsevier (2023) (2023)
5. Reference Class Selection in Similarity-Based Forecasting of Sales Growth
   Papers, arXiv.org
6. Semiparametric Distribution Regression with Instruments and Monotonicity
   Papers, arXiv.org
   See also Journal Article Semiparametric distribution regression with instruments and monotonicity, Labour Economics, Elsevier (2024) (2024)

2014

7. Monitoring Stationarity and Cointegration
   VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (2)

2013

8. Nonparametric tests for constant tail dependence with an application to energy and finance
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
   See also Journal Article Nonparametric tests for constant tail dependence with an application to energy and finance, Journal of Econometrics, Elsevier (2015) View citations (14) (2015)

2012

9. Misspecification Testing in a Class of Conditional Distributional Models
   IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (7)
   See also Journal Article Misspecification Testing in a Class of Conditional Distributional Models, Journal of the American Statistical Association, Taylor & Francis Journals (2013) View citations (45) (2013)

Journal Articles

2024

1. Asymptotic properties of endogeneity corrections using nonlinear transformations
   The Econometrics Journal, 2024, 27, (3), 362-383 View citations (2)
   See also Working Paper Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations, Papers (2023) View citations (3) (2023)
2. Consistent Estimation of Multiple Breakpoints in Dependence Measures
   Journal of Business & Economic Statistics, 2024, 42, (2), 695-706
3. Left-truncated health insurance claims data: theoretical review and empirical application
   AStA Advances in Statistical Analysis, 2024, 108, (1), 31-68
4. Semiparametric distribution regression with instruments and monotonicity
   Labour Economics, 2024, 90, (C)
   See also Working Paper Semiparametric Distribution Regression with Instruments and Monotonicity, Papers (2022) (2022)
5. Testing the correct specification of a system of spatial dependence models for stock returns
   Empirical Economics, 2024, 66, (5), 2083-2103

2023

6. Estimation and inference in factor copula models with exogenous covariates
   Journal of Econometrics, 2023, 235, (2), 1500-1521
   See also Working Paper Estimation and Inference in Factor Copula Models with Exogenous Covariates, Papers (2022) (2022)
7. Reference class selection in similarity‐based forecasting of corporate sales growth
   Journal of Forecasting, 2023, 42, (5), 1069-1085

2022

8. Model and Moment Selection in Factor Copula Models*
   (Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings)
   Journal of Financial Econometrics, 2022, 20, (1), 45-75 View citations (1)
9. Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 1-24
10. Truncating the exponential with a uniform distribution
    Statistical Papers, 2022, 63, (4), 1247-1270 View citations (2)

2021

11. A monitoring procedure for detecting structural breaks in factor copula models
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (4), 171-192 View citations (1)
12. A specification test for dynamic conditional distribution models with function-valued parameters
    Econometric Reviews, 2021, 40, (2), 109-127 View citations (2)
13. Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
    Journal of Forecasting, 2021, 40, (7), 1291-1309
14. Testing for relevant dependence change in financial data: a CUSUM copula approach
    Empirical Economics, 2021, 60, (4), 1875-1894 View citations (1)

2020

15. Estimating derivatives of function-valued parameters in a class of moment condition models
    Journal of Econometrics, 2020, 217, (1), 1-19 View citations (3)

2019

16. Detecting structural changes in large portfolios
    Empirical Economics, 2019, 56, (4), 1341-1357 View citations (2)
17. Testing for constant correlation of filtered series under structural change
    The Econometrics Journal, 2019, 22, (1), 10-33 View citations (8)
18. Testing for structural breaks in factor copula models
    Journal of Econometrics, 2019, 208, (2), 324-345 View citations (10)

2018

19. A residual-based multivariate constant correlation test
    Metrika: International Journal for Theoretical and Applied Statistics, 2018, 81, (6), 653-687 View citations (3)

2017

20. A nonparametric test for a constant correlation matrix
    Econometric Reviews, 2017, 36, (10), 1157-1172 View citations (12)
21. Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
    Journal of Time Series Analysis, 2017, 38, (6), 960-980 View citations (9)
22. Dating multiple change points in the correlation matrix
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2017, 26, (2), 331-352 View citations (4)
23. TESTING FOR CHANGES IN KENDALL’S TAU
    Econometric Theory, 2017, 33, (6), 1352-1386 View citations (10)

2016

24. Detecting relevant changes in time series models
    Journal of the Royal Statistical Society Series B, 2016, 78, (2), 371-394 View citations (14)
25. Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
    Journal of Banking & Finance, 2016, 72, (C), 121-132 View citations (17)
26. J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition)
    Statistical Papers, 2016, 57, (3), 845-845
27. Monitoring multivariate variance changes
    Journal of Empirical Finance, 2016, 39, (PA), 54-68 View citations (6)
28. Spatial dependence in stock returns: local normalization and VaR forecasts
    Empirical Economics, 2016, 50, (3), 1091-1109 View citations (1)

2015

29. A simple and focused backtest of value at risk
    Economics Letters, 2015, 137, (C), 29-31 View citations (2)
30. Nonparametric tests for constant tail dependence with an application to energy and finance
    Journal of Econometrics, 2015, 187, (1), 154-168 View citations (14)
    See also Working Paper Nonparametric tests for constant tail dependence with an application to energy and finance, LIDAM Discussion Papers ISBA (2013) (2013)
31. Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?
    Journal of Empirical Finance, 2015, 32, (C), 135-152 View citations (12)

2014

32. A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution
    Computational Statistics & Data Analysis, 2014, 76, (C), 723-736 View citations (9)
33. A new set of improved Value-at-Risk backtests
    Journal of Banking & Finance, 2014, 48, (C), 29-41 View citations (42)
34. Automated Portfolio Optimization Based on a New Test for Structural Breaks
    Acta Universitatis Danubius. OEconomica, 2014, (10(2)), 243-264 View citations (2)
35. Improved GMM estimation of random effects panel data models with spatially correlated error components
    Papers in Regional Science, 2014, 93, (1), 77-99
36. Multiple break detection in the correlation structure of random variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 262-282 View citations (28)
37. On- and offline detection of structural breaks in thermal spraying processes
    Journal of Applied Statistics, 2014, 41, (5), 1073-1090

2013

38. CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
    Journal of Time Series Analysis, 2013, 34, (2), 221-229 View citations (14)
39. Misspecification Testing in a Class of Conditional Distributional Models
    Journal of the American Statistical Association, 2013, 108, (501), 314-324 View citations (45)
    See also Working Paper Misspecification Testing in a Class of Conditional Distributional Models, IZA Discussion Papers (2012) View citations (7) (2012)
40. Modeling different kinds of spatial dependence in stock returns
    Empirical Economics, 2013, 44, (2), 761-774 View citations (31)
41. On the application of new tests for structural changes on global minimum-variance portfolios
    Statistical Papers, 2013, 54, (4), 955-975 View citations (11)
42. Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2013, 6, (3), 87-103 View citations (4)

2012

43. A new fluctuation test for constant variances with applications to finance
    Metrika: International Journal for Theoretical and Applied Statistics, 2012, 75, (8), 1111-1127 View citations (17)
44. Consistency of the kernel density estimator: a survey
    Statistical Papers, 2012, 53, (1), 1-21 View citations (14)
45. TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
    Econometric Theory, 2012, 28, (3), 570-589 View citations (56)

2011

46. Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction
    Statistical Papers, 2011, 52, (3), 735-736

2010

47. Improved GMM estimation of the spatial autoregressive error model
    Economics Letters, 2010, 108, (1), 65-68 View citations (6)