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IRTG 1792 Discussion Papers

From Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Contact information at EDIRC.

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2022-001: Hedging cryptos with Bitcoin futures Downloads
Francis Liu, Natalie Packham, Meng-Jou Lu and Wolfgang Härdle
2021-023: Networks of news and cross-sectional returns Downloads
Junjie Hu and Wolfgang Härdle
2021-022: A financial risk meter for China Downloads
Ruting Wang, Michael Althof and Wolfgang Härdle
2021-021: Hedging cryptocurrency options Downloads
Jovanka Matic, Natalie Packham and Wolfgang Härdle
2021-020: Advanced statistical learning on short term load process forecasting Downloads
Junjie Hu, Brenda López Cabrera and Awdesch Melzer
2021-019: Understanding jumps in high frequency digital asset markets Downloads
Danial Saef, Odett Nagy, Sergej Sizov and Wolfgang Härdle
2021-018: Robustifying Markowitz Downloads
Wolfgang Härdle, Yegor Klochkov, Alla Petukhina and Nikita Zhivotovskiy
2021-017: Green financial development improving energy efficiency and economic growth: A study of CPEC area in COVID-19 era Downloads
Linyun Zhang, Feiming Huang, Lu Lu and Xinwen Ni
2021-016: A time-varying network for cryptocurrencies Downloads
Li Guo, Wolfgang Härdle and Yubo Tao
2021-015: High-dimensional statistical learning techniques for time-varying limit order book networks Downloads
Shi Chen, Wolfgang Härdle and Melanie Schienle
2021-014: Indices on cryptocurrencies: An evaluation Downloads
Konstantin Häusler and Hongyu Xia
2021-013: Penalized weigted competing risks models based on quantile regression Downloads
Erqian Li, Wolfgang Härdle, Xiaowen Dai and Maozai Tian
2021-012: Correlation scenarios and correlation stress testing Downloads
Natalie Packham and Fabian Woebbeking
2021-011: Valuing cryptocurrencies: Three easy pieces Downloads
Michael Burda
2021-010: A data-driven explainable case-based reasoning approach for financial risk detection Downloads
Wei Li, Florentina Paraschiv and Georgios Sermpinis
2021-009: Von den Mühen der Ebenen und der Berge in den Wissenschaften Downloads
Annette Vogt
2021-008: Financial Risk Meter based on expectiles Downloads
Rui Ren, Meng-Jou Lu, Yingxing Li and Wolfgang Härdle
2021-007: Rodeo or ascot: Which hat to wear at the crypto race? Downloads
Konstantin Häusler and Wolfgang Härdle
2021-006: Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies Downloads
Yi-Hsuan Chen and Dmitri V. Vinogradov
2021-005: CATE meets ML: Conditional average treatment effect and machine learning Downloads
Daniel Jacob
2021-004: Understanding Smart Contracts: Hype or hope? Downloads
Elizaveta Zinovyev, Raphael Reule and Wolfgang Härdle
2021-003: K-expectiles clustering Downloads
Bingling Wang, Yingxing Li and Wolfgang Härdle
2021-002: FRM Financial Risk Meter for Emerging Markets Downloads
Souhir Ben Amor, Michael Althof and Wolfgang Härdle
2021-001: Surrogate Models for Optimization of Dynamical Systems Downloads
Kainat Khowaja, Mykhaylo Shcherbatyy and Wolfgang Härdle
2020-028: Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis Downloads
Rui Ren, Michael Althof and Wolfgang Härdle
2020-027: Blockchain mechanism and distributional characteristics of cryptos Downloads
Min-Bin Lin, Kainat Khowaja, Cathy Yi-Hsuan Chen and Wolfgang Härdle
2020-026: Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition Downloads
Kainat Khowaja, Danial Saef, Sergej Sizov and Wolfgang Härdle
2020-025: Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data Downloads
Konul Mustafayeva and Weining Wang
2020-024: Dynamic Spatial Network Quantile Autoregression Downloads
Xiu Xu, Weining Wang and Yongcheol Shin
2020-023: The common and speci fic components of inflation expectation across European countries Downloads
Shi Chen, Wolfgang Härdle and Weining Wang
2020-022: Tail Event Driven Factor Augmented Dynamic Model Downloads
Weining Wang, Lining Yu and Bingling Wang
2020-021: Improved Estimation of Dynamic Models of Conditional Means and Variances Downloads
Weining Wang, Jeffrey Wooldridge and Mengshan Xu
2020-020: Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing Downloads
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang
2020-019: Inference of breakpoints in high-dimensional time series Downloads
Likai Chen, Weining Wang and Wei Biao Wu
2020-018: A supreme test for periodic explosive GARCH Downloads
Stefan Richter, Weining Wang and Wei Biao Wu
2020-017: Using generalized estimating equations to estimate nonlinear models with spatial data Downloads
Cuicui Lu, Weining Wang and Jeffrey Wooldridge
2020-016: A data-driven P-spline smoother and the P-Spline-GARCH models Downloads
Yuanhua Feng and Wolfgang Härdle
2020-015: Tail-risk protection: Machine Learning meets modern Econometrics Downloads
Bruno Spilak and Wolfgang Härdle
2020-014: Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects Downloads
Daniel Jacob
2020-013: A Machine Learning Based Regulatory Risk Index for Cryptocurrencies Downloads
Xinwen Ni, Wolfgang Härdle and Taojun Xie
2020-012: On Cointegration and Cryptocurrency Dynamics Downloads
Georg Keilbar and Yanfen Zhang
2020-011: The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence Downloads
Lina Meng, Yinggang Zhou, Ruige Zhang, Zhen Ye, Senmao Xia, Giovanni Cerulli, Carter Casady and Wolfgang Härdle
2020-010: Kernel Estimation: the Equivalent Spline Smoothing Method Downloads
Wolfgang Härdle and Michael Nussbaum
2020-009: CRIX an Index for cryptocurrencies Downloads
Simon Trimborn and Wolfgang Härdle
2020-008: Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function Downloads
Kun Ho Kim, Shih-Kang Chao and Wolfgang Härdle
2020-007: Deep Learning application for fraud detection in financial statements Downloads
Patricia Craja, Alisa Kim and Stefan Lessmann
2020-006: Forex exchange rate forecasting using deep recurrent neural networks Downloads
Alexander Jakob Dautel, Wolfgang Härdle, Stefan Lessmann and Hsin-Vonn Seow
2020-005: Targeting Cutsomers Under Response-Dependent Costs Downloads
Johannes Haupt and Stefan Lessmann
2020-004: Factorisable Multitask Quantile Regression Downloads
Shih-Kang Chao, Wolfgang Härdle and Ming Yuan
2020-003: Structured climate financing: valuation of CDOs on inhomogeneous asset pools Downloads
Natalie Packham
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