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Details about Dominik Wied

Homepage:http://www.wisostat.uni-koeln.de/institut/professoren/wied/
Workplace:Wirtschafts- und Sozialwissenschaftliche Fakultät (Faculty of Social and Economic Sciences), Universität zu Köln (University of Cologne), (more information at EDIRC)

Access statistics for papers by Dominik Wied.

Last updated 2019-05-16. Update your information in the RePEc Author Service.

Short-id: pwi327


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Working Papers

2014

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

2012

  1. Misspecification Testing in a Class of Conditional Distributional Models
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (7)
    See also Journal Article in Journal of the American Statistical Association (2013)

Journal Articles

2019

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

2018

  1. A residual-based multivariate constant correlation test
    Metrika: International Journal for Theoretical and Applied Statistics, 2018, 81, (6), 653-687 Downloads View citations (1)

2017

  1. A nonparametric test for a constant correlation matrix
    Econometric Reviews, 2017, 36, (10), 1157-1172 Downloads View citations (3)
  2. Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
    Journal of Time Series Analysis, 2017, 38, (6), 960-980 Downloads
  3. 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 Downloads View citations (2)
  4. TESTING FOR CHANGES IN KENDALL’S TAU
    Econometric Theory, 2017, 33, (06), 1352-1386 Downloads View citations (1)

2016

  1. Detecting relevant changes in time series models
    Journal of the Royal Statistical Society Series B, 2016, 78, (2), 371-394 Downloads View citations (4)
  2. Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
    Journal of Banking & Finance, 2016, 72, (C), 121-132 Downloads View citations (5)
  3. J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition)
    Statistical Papers, 2016, 57, (3), 845-845 Downloads
  4. Monitoring multivariate variance changes
    Journal of Empirical Finance, 2016, 39, (PA), 54-68 Downloads View citations (1)
  5. Spatial dependence in stock returns: local normalization and VaR forecasts
    Empirical Economics, 2016, 50, (3), 1091-1109 Downloads

2015

  1. A simple and focused backtest of value at risk
    Economics Letters, 2015, 137, (C), 29-31 Downloads
  2. Nonparametric tests for constant tail dependence with an application to energy and finance
    Journal of Econometrics, 2015, 187, (1), 154-168 Downloads View citations (1)
  3. Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?
    Journal of Empirical Finance, 2015, 32, (C), 135-152 Downloads View citations (3)

2014

  1. A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution
    Computational Statistics & Data Analysis, 2014, 76, (C), 723-736 Downloads View citations (6)
  2. A new set of improved Value-at-Risk backtests
    Journal of Banking & Finance, 2014, 48, (C), 29-41 Downloads View citations (18)
  3. Automated Portfolio Optimization Based on a New Test for Structural Breaks
    Acta Universitatis Danubius. OEconomica, 2014, (10(2)), 243-264 Downloads View citations (2)
  4. Improved GMM estimation of random effects panel data models with spatially correlated error components
    Papers in Regional Science, 2014, 93, (1), 77-99 Downloads
  5. Multiple break detection in the correlation structure of random variables
    Computational Statistics & Data Analysis, 2014, 76, (C), 262-282 Downloads View citations (14)
  6. On- and offline detection of structural breaks in thermal spraying processes
    Journal of Applied Statistics, 2014, 41, (5), 1073-1090 Downloads

2013

  1. CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
    Journal of Time Series Analysis, 2013, 34, (2), 221-229 Downloads View citations (10)
  2. Misspecification Testing in a Class of Conditional Distributional Models
    Journal of the American Statistical Association, 2013, 108, (501), 314-324 Downloads View citations (19)
    See also Working Paper (2012)
  3. Modeling different kinds of spatial dependence in stock returns
    Empirical Economics, 2013, 44, (2), 761-774 Downloads View citations (13)
  4. On the application of new tests for structural changes on global minimum-variance portfolios
    Statistical Papers, 2013, 54, (4), 955-975 Downloads View citations (5)
  5. Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2013, 6, (3), 87-103 Downloads View citations (4)

2012

  1. A new fluctuation test for constant variances with applications to finance
    Metrika: International Journal for Theoretical and Applied Statistics, 2012, 75, (8), 1111-1127 Downloads View citations (9)
  2. Consistency of the kernel density estimator: a survey
    Statistical Papers, 2012, 53, (1), 1-21 Downloads View citations (8)
  3. TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
    Econometric Theory, 2012, 28, (03), 570-589 Downloads View citations (31)

2011

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

2010

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