IRTG 1792 Discussion Papers

From Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2018-047: Inferences for a Partially Varying Coefficient Model With Endogenous Regressors

Zongwu Cai, Ying Fang, Ming Lin and Jia Su

2018-046: Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method

Ying Chen, Qian Han and Linlin Niu

2018-045: Predicative Ability of Similarity-based Futures Trading Strategies

Hsin-Yu Chiu, Mi-Hsiu Chiang and Wei-Yu Kuo

2018-044: Understanding Cryptocurrencies

Wolfgang Härdle, Campbell R. Harvey and Raphael Reule

2018-043: Textual Sentiment and Sector specific reaction

Elisabeth Bommes, Cathy Yi-Hsuan Chen and Wolfgang Härdle

2018-042: On Complete Convergence in Marcinkiewicz-Zygmund Type SLLN for END Random Variables and its Applications

Ji Gao Yan

2018-041: On complete convergence in Marcinkiewicz-Zygmund type SLLN for random variables

Anna Kuczmaszewska and Ji Gao Yan

2018-040: Complete Convergence and Complete Moment Convergence for Maximal Weighted Sums of Extended Negatively Dependent Random Variables

Ji Gao Yan

2018-039: Penalized Adaptive Forecasting with Large Information Sets and Structural Changes

Lenka Zbonakova, Xinjue Li and Wolfgang Härdle

2018-038: Tail-Risk Protection Trading Strategies

Natalie Packham, Jochen Papenbrock, Peter Schwendner and Fabian Woebbeking

2018-037: Default probabilities and default correlations under stress

Natalie Packham, Michael Kalkbrener and Ludger Overbeck

2018-036: Model risk of contingent claims

Nils Detering and Natalie Packham

2018-035: Correlation Under Stress In Normal Variance Mixture Models

Michael Kalkbrener and Natalie Packham

2018-034: A factor-model approach for correlation scenarios and correlation stress-testing

Natalie Packham and Fabian Woebbeking

2018-033: Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present

Natalie Packham

2018-032: Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective

Li Guo, Yubo Tao and Wolfgang Härdle

2018-031: Instrumental variables regression

Andzhey Koziuk and Vladimir Spokoiny

2018-030: Gaussian Process Forecast with multidimensional distributional entries

Francois Bachoc, Alexandra Suvorikova, Jean-Michel Loubes and Vladimir Spokoiny

2018-029: Pointwise adaptation via stagewise aggregation of local estimates for multiclass classification

Nikita Puchkin and Vladimir Spokoiny

2018-028: Toolbox: Gaussian comparison on Eucledian balls

Andzhey Koziuk and Vladimir Spokoiny

2018-027: Bayesian inference for spectral projectors of covariance matrix

Igor Silin and Vladimir Spokoiny

2018-026: Large ball probabilities, Gaussian comparison and anti-concentration

Friedrich Götze, Alexey Naumov, Vladimir Spokoiny and Vladimir Ulyanov

2018-025: Construction of Non-asymptotic Confidence Sets in 2 -Wasserstein Space

Johannes Ebert, Vladimir Spokoiny and Alexandra Suvorikova

2018-024: Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance

A. Naumov, V. Spokoiny and V. Ulyanovk

2018-023: Textual Sentiment, Option Characteristics, and Stock Return Predictability

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

2018-022: Learning from Errors: The case of monetary and fiscal policy regimes

Andreas Tryphonides

2018-021: LASSO-Driven Inference in Time and Space

Victor Chernozhukov, Wolfgang Härdle, Chen Huang and Weining Wang

2018-020: A Regime Shift Model with Nonparametric Switching Mechanism

Haiqiang Chen, Yingxing Li, Ming Lin and Yanli Zhu

2018-019: Lasso, knockoff and Gaussian covariates: a comparison

Laurie Davies

2018-018: Adaptive Nonparametric Clustering

Kirill Efimov, Larisa Adamyan and Vladimir Spokoiny

2018-017: Regularization Approach for Network Modeling of German Energy Market

Shi Chen, Wolfgang Härdle and Brenda López Cabrera

2018-016: Time-varying Limit Order Book Networks

Wolfgang Härdle, Shi Chen, Chong Liang and Melanie Schienle

2018-015: Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance

Tony Klein, Hien Pham Thu and Thomas Walther

2018-014: Price Discovery on Bitcoin Markets

Paolo Pagnottoni, Dirk G. Baur and Thomas Dimpfl

2018-013: Improving Crime Count Forecasts Using Twitter and Taxi Data

Lara Vomfell, Wolfgang Härdle and Stefan Lessmann

2018-012: Targeting customers for profit: An ensemble learning framework to support marketing decision making

Stefan Lessmann, Kristof Coussement, Koen W. De Bock and Johannes Haupt

2018-011: How to Measure a Performance of a Collaborative Research Centre

Alona Zharova, Janine Tellinger-Rice and Wolfgang Härdle

2018-010: How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?

Wolfgang Härdle and Chengxiu Ling

2018-009: Deregulated day-ahead electricity markets in Southeast Europe: Price forecasting and comparative structural analysis

Antanina Hryshchuk and Stefan Lessmann

2018-008: A Monetary Model of Blockchain

Anna Almosova

2018-007: Knowing me, knowing you: inventor mobility and the formation of technology-oriented alliances

Stefan Wagner and Martin C. Goossen

2018-006: A Note on Cryptocurrencies and Currency Competition

Anna Almosova

2018-005: Testing for bubbles in cryptocurrencies with time-varying volatility

Christian Hafner

2018-004: Pricing Cryptocurrency options: the case of CRIX and Bitcoin

Cathy Yi-Hsuan Chen, Wolfgang Härdle, Ai Jun Hou and Weining Wang

2018-003: Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices

Zihui Yang and Yinggang Zhou

2018-002: Nonparametric Variable Selection and Its Application to Additive Models

Zheng-Hui Feng, Lu Lin, Ruo-Qing Zhu and Li-Xing Zhu

2018-001: Data Driven Value-at-Risk Forecasting using a SVR-GARCH-KDE Hybrid

Marius Lux, Wolfgang Härdle and Stefan Lessmann