IRTG 1792 Discussion Papers

From Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
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2020-002: Service Data Analytics and Business Intelligence

Desheng Dang Wu and Wolfgang Härdle

2020-001: Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk

Shiyi Chen, Wolfgang Härdle and Li Wang

2019-030: Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting

Xinjue Li, Lenka Zboňáková, Weining Wang and Wolfgang Härdle

2019-029: Antisocial Online Behavior Detection Using Deep Learning

Elizaveta Zinovyeva, Wolfgang Härdle and Stefan Lessmann

2019-028: Group Average Treatment Effects for Observational Studies

Daniel Jacob, Wolfgang Härdle and Stefan Lessmann

2019-027: VCRIX - a volatility index for crypto-currencies

Alisa Kim, Simon Trimborn and Wolfgang Härdle

2019-026: Affordable Uplift: Supervised Randomization in Controlled Exprtiments

Johannes Haupt, Daniel Jacob, Robin M. Gubela and Stefan Lessmann

2019-025: SONIC: SOcial Network with Influencers and Communities

Cathy Yi-Hsuan Chen, Wolfgang Härdle and Yegor Klochkov

2019-024: Risk of Bitcoin Market: Volatility, Jumps, and Forecasts

Junjie Hu, Weiyu Kuo and Wolfgang Härdle

2019-023: Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting

A. Kolesnikova, Y. Yang, S. Lessmann, T. Ma, M.-C. Sung and J.E.V. Johnson

2019-022: A Machine Learning Approach Towards Startup Success Prediction

Cemre Ünal and Ioana Ceasu

2019-021: FRM Financial Risk Meter

Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen and Wolfgang Härdle

2019-020: Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Alla A. Petukhina, Raphael Reule and Wolfgang Härdle

2019-019: Modelling Systemic Risk Using Neural Network Quantile Regression

Georg Keilbar and Weining Wang

2019-018: Phenotypic convergence of cryptocurrencies

Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Härdle, Michalis Kolossiatis and Yannis Yatracos

2019-017: Portmanteau Test and Simultaneous Inference for Serial Covariances

Han Xiao and Wei Biao Wu

2019-016: What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble

Cathy Yi-Hsuan Chen, Roméo Després, Li Guo and Thomas Renault

2019-015: Media-expressed tone, Option Characteristics, and Stock Return Predictability

Cathy Yi-Hsuan Chen, Matthias Fengler, Wolfgang Härdle and Yanchu Liu

2019-014: Forecasting in Blockchain-based Local Energy Markets

Michael Kostmann and Wolfgang Härdle

2019-013: Inference of Break-Points in High-Dimensional Time Series

Likai Chen, Weining Wang and Wei Biao Wu

2019-012: Voting for Health Insurance Policy: the U.S. versus Europe

Xinwen Ni

2019-011: The role of medical expenses in the saving decision of elderly: a life cycle model

Xinwen Ni

2019-010: Understanding the Role of Housing in Inequality and Social Mobility

Yang Tang and Xinwen Ni

2019-009: Dynamic Network Perspective of Cryptocurrencies

Li Guo, Yubo Tao and Wolfgang Härdle

2019-008: Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks

Alexander J. Dautel, Wolfgang Härdle, Stefan Lessmann and Hsin-Vonn Seow

2019-007: Localizing Multivariate CAViaR

Yegor Klochkov, Wolfgang Härdle and Xiu Xu

2019-006: Adaptive Nonparametric Community Detection

Larisa Adamyan, Kirill Efimov and Vladimir Spokoiny

2019-005: Usage Continuance in Software-as-a-Service

Elias Baumann, Jana Kern and Stefan Lessmann

2019-004: Constrained Kelly portfolios under alpha-stable laws

Niels Wesselhöfft and Wolfgang Härdle

2019-003: Estimating low sampling frequency risk measure by high-frequency data

Niels Wesselhöfft and Wolfgang Härdle

2019-002: Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Ya Qian, Jun Tu and Wolfgang Härdle

2019-001: Cooling Measures and Housing Wealth: Evidence from Singapore

Wolfgang Härdle, Rainer Schulz and Taojun Xie

2018-066: Deep learning-based cryptocurrency sentiment construction

Sergey Nasekin and Cathy Yi-Hsuan Chen

2018-065: Price Management in the Used-Car Market: An Evaluation of Survival Analysis

Alexander Born, Nikoleta Kovachka, Stefan Lessmann and Hsin-Vonn Seow

2018-064: Semiparametric Estimation and Variable Selection for Single-index Copula Models

Bingduo Yang, Christian Hafner, Guannan Liu and Wei Long

2018-062: Conversion uplift in e-commerce: A systematic benchmark of modeling strategies

Robin Gubela, Artem Bequé, Fabian Gebert and Stefan Lessmann

2018-061: PLUG-IN L2-UPPER ERROR BOUNDS IN DECONVOLUTION, FOR A MIXING DENSITY ESTIMATE IN Rd AND FOR ITS DERIVATIVES

Yannis G. Yatracos

2018-060: RESIDUAL'S INFLUENCE INDEX (RINFIN), BAD LEVERAGE AND UNMASKING IN HIGH DIMENSIONAL L2-REGRESSION

Yannis G. Yatracos

2018-059: Towards the interpretation of time-varying regularization parameters in streaming penalized regression models

Lenka Zbonakova, Ricardo Pio Monti and Wolfgang Härdle

2018-058: Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies

Alla Petukhina, Simon Trimborn, Wolfgang Härdle and Hermann Elendner

2018-057: Trending Mixture Copula Models with Copula Selection

Bingduo Yang, Zongwu Cai, Christian Hafner and Guannan Liu

2018-056: Cryptocurrencies, Metcalfe's law and LPPL models

Daniel Traian Pele and Miruna Mazurencu-Marinescu-Pele

2018-055: Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

Markus Bibinger, Christopher Neely and Lars Winkelmann

2018-054: Topic Modeling for Analyzing Open-Ended Survey Responses

Andra-Selina Pietsch and Stefan Lessmann

2018-053: The impact of temperature on gaming productivity: evidence from online games

Xiaojia Bao and Qingliang (Michael) Fan

2018-052: Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective

Qingliang (Michael) Fan and Wei Zhong

2018-051: Property Investment and Rental Rate under Housing Price Uncertainty: A Real Options Approach

Honglin Wang, Fan Yu and Yinggang Zhou

2018-050: Variable selection and direction estimation for single-index models via DC-TGDR method

Wei Zhong, Xi Liu and Shuangge Ma

2018-049: Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models

Shaojun Guo, Dong Li and Muyi Li

2018-048: A Regime Shift Model with Nonparametric Switching Mechanism

Haiqiang Chen, Yingxing Li, Ming Lin and Yanli Zhu