Melanie Schienle : Citation Profile


Are you Melanie Schienle?

Karlsruhe Institut für Technologie

6

H index

6

i10 index

157

Citations

RESEARCH PRODUCTION:

7

Articles

21

Papers

RESEARCH ACTIVITY:

   6 years (2010 - 2016). See details.
   Cites by year: 26
   Journals where Melanie Schienle has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 14 (8.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc493
   Updated: 2017-09-23    RAS profile: 2016-10-17    
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Relations with other researchers


Works with:

Hautsch, Nikolaus (8)

Schaumburg, Julia (6)

Rothe, Christoph (3)

Malec, Peter (3)

Conrad, Christian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Melanie Schienle.

Is cited by:

Härdle, Wolfgang (13)

Barigozzi, Matteo (8)

Brownlees, Christian (6)

Horst, Ulrich (6)

Caporin, Massimiliano (5)

Engle, Robert (5)

Giudici, Paolo (5)

GAO, Jiti (4)

Lucas, Andre (4)

Gnabo, Jean-Yves (4)

Gallo, Giampiero (4)

Cites to:

Härdle, Wolfgang (22)

Hautsch, Nikolaus (19)

Engle, Robert (10)

Mammen, Enno (10)

Horst, Ulrich (7)

Nautz, Dieter (6)

Malec, Peter (6)

Weron, Rafał (6)

LINTON, OLIVER (6)

Wang, Weining (5)

Schaumburg, Julia (5)

Main data


Where Melanie Schienle has published?


Journals with more than one article published# docs
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany11
Working Paper Series in Economics / Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering3
CFS Working Paper Series / Center for Financial Studies (CFS)3

Recent works citing Melanie Schienle (2017 and 2016)


YearTitle of citing document
2016EU ETS Facets in the Net: How Account Types Influence the Structure of the System. (2016). Borghesi, Simone ; Flori, Andrea . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:232214.

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2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2016On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2017Financial Stability in Europe: Banking and Sovereign Risk. (2017). Kočenda, Evžen ; Bruha, Jan ; Kocenda, Even . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6453.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Bank networks from text: interrelations, centrality and determinants. (2016). Ronnqvist, Samuel ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20161876.

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2017Density estimation on manifolds with boundary. (2017). Berry, Tyrus ; Sauer, Timothy . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:1-17.

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2016Unobserved heterogeneity and endogeneity in nonparametric frontier estimation. (2016). Vanhems, Anne ; Simar, Leopold ; van Keilegom, Ingrid ; VanKeilegom, Ingrid . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:360-373.

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2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Yu, Lining ; Wang, Weining ; Hardle, Wolfgang Karl . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2016A network approach to portfolio selection. (2016). Zareei, Abalfazl ; Peralta, Gustavo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2017Money market funds, shadow banking and systemic risk in United Kingdom. (2017). Pellegrini, Carlo Bellavite ; Urga, Giovanni ; Meoli, Michele . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:163-171.

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2016Banks and sovereign risk: A granular view. (2016). Koetter, Michael ; Buch, Claudia ; Ohls, Jana . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:1-15.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Credit risk interconnectedness: What does the market really know?. (2017). Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina ; Brownlees, Christian . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2017Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model. (2017). Touazi, A ; Adjabi, S ; Aissani, D ; Benouaret, Z. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:78-83.

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2016Systemic risk among European banks: A copula approach. (2016). Kleinow, Jacob ; Moreira, Fernando . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:42:y:2016:i:c:p:27-42.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2016A financial network perspective of financial institutions’ systemic risk contributions. (2016). Yao, Shuang ; Uryasev, Stan ; Zhuang, Xin-Tian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:456:y:2016:i:c:p:183-196.

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2016On testing whether burn-in is required under the long-run average cost. (2016). Mohammadi, Faezeh ; Lai, Chin-Diew ; Izadi, Muhyiddin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:110:y:2016:i:c:p:217-224.

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2016Performance of discrete associated kernel estimators through the total variation distance. (2016). Kokonendji, Celestin C ; Varron, Davit . In: Statistics & Probability Letters. RePEc:eee:stapro:v:110:y:2016:i:c:p:225-235.

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2016EU ETS Facets in the Net: How Account Types Influence the Structure of the System. (2016). Borghesi, Simone ; Flori, Andrea . In: Working Papers. RePEc:fem:femwpa:2016.08.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_04.

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2017Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_02.

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2016Functional Principal Component Analysis for Derivatives of Multivariate Curves. (2016). Härdle, Wolfgang ; Grith, Maria ; Wagner, Heiko ; Kneip, Alois ; Hardle, Wolfgang K. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-033.

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2016Time Varying Quantile Lasso. (2016). Härdle, Wolfgang ; Zbonakova, Lenka ; Wang, Weining ; Hardle, Wolfgang Karl . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-047.

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2017FRM: a Financial Risk Meter based on penalizing tail events occurrence. (2017). Härdle, Wolfgang ; Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-003.

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2017Tail event driven networks of SIFIs. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Okhrin, Yarema . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-004.

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2016Spatial Dependence and Data-Driven Networks of International Banks. (2016). Saldias, Martin ; Saldas, Martn ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:16/184.

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2016The Value of Knowing the Propensity Score for Estimating Average Treatment Effects. (2016). Rothe, Christoph. In: IZA Discussion Papers. RePEc:iza:izadps:dp9989.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2016CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0116.

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2016The multivariate nature of systemic risk: direct and common exposures. (2016). Giudici, Paolo ; Spelta, Alessandro ; Sarlin, Peter . In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0118.

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2016Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0124.

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2016Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen . In: MPRA Paper. RePEc:pra:mprapa:68931.

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2017SRISK: a conditional capital shortfall measure of systemic risk. (2017). Engle, Robert ; Brownlees, Christian. In: ESRB Working Paper Series. RePEc:srk:srkwps:201737.

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2017Estimation and model-based combination of causality networks. (2017). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:165.

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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166.

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Works by Melanie Schienle:


YearTitleTypeCited
2015Misspecification Testing in GARCH-MIDAS Models In: Working Papers.
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paper1
2016SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES In: Econometric Theory.
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article21
2011Semiparametric Estimation with Generated Covariates.(2011) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 21
paper
2011Semiparametric Estimation with Generated Covariates.(2011) In: IZA Discussion Papers.
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This paper has another version. Agregated cites: 21
paper
2016Semiparametric estimation with generated covariates.(2016) In: Working Paper Series in Economics.
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This paper has another version. Agregated cites: 21
paper
2014Nonparametric kernel density estimation near the boundary In: Computational Statistics & Data Analysis.
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article4
2012Nonparametric Kernel Density Estimation Near the Boundary.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
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article5
2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
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This paper has another version. Agregated cites: 5
paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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article16
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2010Nonparametric Estimation of Risk-Neutral Densities In: SFB 649 Discussion Papers.
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paper16
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
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paper18
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 18
article
2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 18
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2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 18
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2010Nonparametric Regression with Nonparametrically Generated Covariates In: SFB 649 Discussion Papers.
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paper16
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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paper56
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 56
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2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 56
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2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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This paper has another version. Agregated cites: 56
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2012Generated Covariates in Nonparametric Estimation: A Short Review. In: SFB 649 Discussion Papers.
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2012Additive Models: Extensions and Related Models. In: SFB 649 Discussion Papers.
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2015Measuring Connectedness of Euro Area Sovereign Risk In: SFB 649 Discussion Papers.
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2016Beyond Dimension two: A Test for Higher-Order Tail Risk In: Journal of Financial Econometrics.
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2016Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics.
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2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
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2015Misspecification Testing in GARCH-MIDAS Models In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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paper1

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