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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 Downloads
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 Downloads
Shiyi Chen, Wolfgang Härdle and Li Wang
2019-030: Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting Downloads
Xinjue Li, Lenka Zboňáková, Weining Wang and Wolfgang Härdle
2019-029: Antisocial Online Behavior Detection Using Deep Learning Downloads
Elizaveta Zinovyeva, Wolfgang Härdle and Stefan Lessmann
2019-028: Group Average Treatment Effects for Observational Studies Downloads
Daniel Jacob, Wolfgang Härdle and Stefan Lessmann
2019-027: VCRIX - a volatility index for crypto-currencies Downloads
Alisa Kim, Simon Trimborn and Wolfgang Härdle
2019-026: Affordable Uplift: Supervised Randomization in Controlled Exprtiments Downloads
Johannes Haupt, Daniel Jacob, Robin M. Gubela and Stefan Lessmann
2019-025: SONIC: SOcial Network with Influencers and Communities Downloads
Cathy Yi-Hsuan Chen, Wolfgang Härdle and Yegor Klochkov
2019-024: Risk of Bitcoin Market: Volatility, Jumps, and Forecasts Downloads
Junjie Hu, Weiyu Kuo and Wolfgang Härdle
2019-023: Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting Downloads
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 Downloads
Cemre Ünal and Ioana Ceasu
2019-021: FRM Financial Risk Meter Downloads
Andrija Mihoci, Michael Althof, Cathy Yi-Hsuan Chen and Wolfgang Härdle
2019-020: Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies Downloads
Alla A. Petukhina, Raphael Reule and Wolfgang Härdle
2019-019: Modelling Systemic Risk Using Neural Network Quantile Regression Downloads
Georg Keilbar and Weining Wang
2019-018: Phenotypic convergence of cryptocurrencies Downloads
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Härdle, Michalis Kolossiatis and Yannis Yatracos
2019-017: Portmanteau Test and Simultaneous Inference for Serial Covariances Downloads
Han Xiao and Wei Biao Wu
2019-016: What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble Downloads
Cathy Yi-Hsuan Chen, Roméo Després, Li Guo and Thomas Renault
2019-015: Media-expressed tone, Option Characteristics, and Stock Return Predictability Downloads
Cathy Yi-Hsuan Chen, Matthias Fengler, Wolfgang Härdle and Yanchu Liu
2019-014: Forecasting in Blockchain-based Local Energy Markets Downloads
Michael Kostmann and Wolfgang Härdle
2019-013: Inference of Break-Points in High-Dimensional Time Series Downloads
Likai Chen, Weining Wang and Wei Biao Wu
2019-012: Voting for Health Insurance Policy: the U.S. versus Europe Downloads
Xinwen Ni
2019-011: The role of medical expenses in the saving decision of elderly: a life cycle model Downloads
Xinwen Ni
2019-010: Understanding the Role of Housing in Inequality and Social Mobility Downloads
Yang Tang and Xinwen Ni
2019-009: Dynamic Network Perspective of Cryptocurrencies Downloads
Li Guo, Yubo Tao and Wolfgang Härdle
2019-008: Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks Downloads
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 Downloads
Larisa Adamyan, Kirill Efimov and Vladimir Spokoiny
2019-005: Usage Continuance in Software-as-a-Service Downloads
Elias Baumann, Jana Kern and Stefan Lessmann
2019-004: Constrained Kelly portfolios under alpha-stable laws Downloads
Niels Wesselhöfft and Wolfgang Härdle
2019-003: Estimating low sampling frequency risk measure by high-frequency data Downloads
Niels Wesselhöfft and Wolfgang Härdle
2019-002: Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns Downloads
Ya Qian, Jun Tu and Wolfgang Härdle
2019-001: Cooling Measures and Housing Wealth: Evidence from Singapore Downloads
Wolfgang Härdle, Rainer Schulz and Taojun Xie
2018-066: Deep learning-based cryptocurrency sentiment construction Downloads
Sergey Nasekin and Cathy Yi-Hsuan Chen
2018-065: Price Management in the Used-Car Market: An Evaluation of Survival Analysis Downloads
Alexander Born, Nikoleta Kovachka, Stefan Lessmann and Hsin-Vonn Seow
2018-064: Semiparametric Estimation and Variable Selection for Single-index Copula Models Downloads
Bingduo Yang, Christian Hafner, Guannan Liu and Wei Long
2018-062: Conversion uplift in e-commerce: A systematic benchmark of modeling strategies Downloads
Robin Gubela, Artem Bequé, Fabian Gebert and Stefan Lessmann
Yannis G. Yatracos
Yannis G. Yatracos
2018-059: Towards the interpretation of time-varying regularization parameters in streaming penalized regression models Downloads
Lenka Zbonakova, Ricardo Pio Monti and Wolfgang Härdle
2018-058: Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies Downloads
Alla Petukhina, Simon Trimborn, Wolfgang Härdle and Hermann Elendner
2018-057: Trending Mixture Copula Models with Copula Selection Downloads
Bingduo Yang, Zongwu Cai, Christian Hafner and Guannan Liu
2018-056: Cryptocurrencies, Metcalfe's law and LPPL models Downloads
Daniel Traian Pele and Miruna Mazurencu-Marinescu-Pele
2018-055: Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book Downloads
Markus Bibinger, Christopher Neely and Lars Winkelmann
2018-054: Topic Modeling for Analyzing Open-Ended Survey Responses Downloads
Andra-Selina Pietsch and Stefan Lessmann
2018-053: The impact of temperature on gaming productivity: evidence from online games Downloads
Xiaojia Bao and Qingliang (Michael) Fan
2018-052: Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective Downloads
Qingliang (Michael) Fan and Wei Zhong
2018-051: Property Investment and Rental Rate under Housing Price Uncertainty: A Real Options Approach Downloads
Honglin Wang, Fan Yu and Yinggang Zhou
2018-050: Variable selection and direction estimation for single-index models via DC-TGDR method Downloads
Wei Zhong, Xi Liu and Shuangge Ma
2018-049: Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models Downloads
Shaojun Guo, Dong Li and Muyi Li
2018-048: A Regime Shift Model with Nonparametric Switching Mechanism Downloads
Haiqiang Chen, Yingxing Li, Ming Lin and Yanli Zhu
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