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
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Working Papers
2024
- Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference
Papers, arXiv.org
- Quantile Granger Causality in the Presence of Instability
Papers, arXiv.org
2023
- Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations
Papers, arXiv.org View citations (2)
See also Journal Article Asymptotic properties of endogeneity corrections using nonlinear transformations, The Econometrics Journal, Royal Economic Society (2024) View citations (1) (2024)
2022
- 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)
- Reference Class Selection in Similarity-Based Forecasting of Sales Growth
Papers, arXiv.org
- 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
- Monitoring Stationarity and Cointegration
VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (2)
2013
- 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
- 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
- Asymptotic properties of endogeneity corrections using nonlinear transformations
The Econometrics Journal, 2024, 27, (3), 362-383 View citations (1)
See also Working Paper Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations, Papers (2023) View citations (2) (2023)
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
Journal of Business & Economic Statistics, 2024, 42, (2), 695-706
- Left-truncated health insurance claims data: theoretical review and empirical application
AStA Advances in Statistical Analysis, 2024, 108, (1), 31-68
- 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)
- Testing the correct specification of a system of spatial dependence models for stock returns
Empirical Economics, 2024, 66, (5), 2083-2103
2023
- 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)
- Reference class selection in similarity‐based forecasting of corporate sales growth
Journal of Forecasting, 2023, 42, (5), 1069-1085
2022
- 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)
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 1-24
- Truncating the exponential with a uniform distribution
Statistical Papers, 2022, 63, (4), 1247-1270 View citations (1)
2021
- A monitoring procedure for detecting structural breaks in factor copula models
Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (4), 171-192 View citations (1)
- A specification test for dynamic conditional distribution models with function-valued parameters
Econometric Reviews, 2021, 40, (2), 109-127 View citations (2)
- Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
Journal of Forecasting, 2021, 40, (7), 1291-1309
- Testing for relevant dependence change in financial data: a CUSUM copula approach
Empirical Economics, 2021, 60, (4), 1875-1894
2020
- 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
- Detecting structural changes in large portfolios
Empirical Economics, 2019, 56, (4), 1341-1357 View citations (2)
- Testing for constant correlation of filtered series under structural change
The Econometrics Journal, 2019, 22, (1), 10-33 View citations (7)
- Testing for structural breaks in factor copula models
Journal of Econometrics, 2019, 208, (2), 324-345 View citations (10)
2018
- A residual-based multivariate constant correlation test
Metrika: International Journal for Theoretical and Applied Statistics, 2018, 81, (6), 653-687 View citations (3)
2017
- A nonparametric test for a constant correlation matrix
Econometric Reviews, 2017, 36, (10), 1157-1172 View citations (12)
- 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)
- 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)
- TESTING FOR CHANGES IN KENDALL’S TAU
Econometric Theory, 2017, 33, (6), 1352-1386 View citations (9)
2016
- Detecting relevant changes in time series models
Journal of the Royal Statistical Society Series B, 2016, 78, (2), 371-394 View citations (13)
- Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
Journal of Banking & Finance, 2016, 72, (C), 121-132 View citations (16)
- J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition)
Statistical Papers, 2016, 57, (3), 845-845
- Monitoring multivariate variance changes
Journal of Empirical Finance, 2016, 39, (PA), 54-68 View citations (6)
- Spatial dependence in stock returns: local normalization and VaR forecasts
Empirical Economics, 2016, 50, (3), 1091-1109
2015
- A simple and focused backtest of value at risk
Economics Letters, 2015, 137, (C), 29-31 View citations (2)
- 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)
- 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
- A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution
Computational Statistics & Data Analysis, 2014, 76, (C), 723-736 View citations (7)
- A new set of improved Value-at-Risk backtests
Journal of Banking & Finance, 2014, 48, (C), 29-41 View citations (41)
- Automated Portfolio Optimization Based on a New Test for Structural Breaks
Acta Universitatis Danubius. OEconomica, 2014, (10(2)), 243-264 View citations (2)
- Improved GMM estimation of random effects panel data models with spatially correlated error components
Papers in Regional Science, 2014, 93, (1), 77-99
- Multiple break detection in the correlation structure of random variables
Computational Statistics & Data Analysis, 2014, 76, (C), 262-282 View citations (28)
- On- and offline detection of structural breaks in thermal spraying processes
Journal of Applied Statistics, 2014, 41, (5), 1073-1090
2013
- 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 (13)
- 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)
- Modeling different kinds of spatial dependence in stock returns
Empirical Economics, 2013, 44, (2), 761-774 View citations (30)
- On the application of new tests for structural changes on global minimum-variance portfolios
Statistical Papers, 2013, 54, (4), 955-975 View citations (11)
- Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen
AStA Wirtschafts- und Sozialstatistisches Archiv, 2013, 6, (3), 87-103 View citations (4)
2012
- 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)
- Consistency of the kernel density estimator: a survey
Statistical Papers, 2012, 53, (1), 1-21 View citations (14)
- 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
- Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction
Statistical Papers, 2011, 52, (3), 735-736
2010
- Improved GMM estimation of the spatial autoregressive error model
Economics Letters, 2010, 108, (1), 65-68 View citations (6)
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