Melanie Schienle : Citation Profile


Are you Melanie Schienle?

Karlsruhe Institut für Technologie

9

H index

8

i10 index

401

Citations

RESEARCH PRODUCTION:

13

Articles

30

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 36
   Journals where Melanie Schienle has often published
   Relations with other researchers
   Recent citing documents: 105.    Total self citations: 17 (4.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc493
   Updated: 2022-01-15    RAS profile: 2021-10-11    
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Relations with other researchers


Works with:

Härdle, Wolfgang (2)

Rothe, Christoph (2)

Conrad, Christian (2)

Peltonen, Tuomas (2)

Hautsch, Nikolaus (2)

Schaumburg, Julia (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 (17)

Barigozzi, Matteo (13)

Brownlees, Christian (13)

Wang, Weining (13)

Giudici, Paolo (9)

Engle, Robert (8)

Hallin, Marc (8)

Gallo, Giampiero (8)

Billio, Monica (7)

Ahelegbey, Daniel Felix (7)

Caporin, Massimiliano (7)

Cites to:

Hautsch, Nikolaus (30)

Härdle, Wolfgang (18)

Engle, Robert (17)

Diebold, Francis (12)

Mammen, Enno (10)

Foucault, Thierry (8)

Yilmaz, Kamil (7)

Horst, Ulrich (7)

Vašíček, Bořek (7)

Pesaran, M (7)

Schaumburg, Julia (7)

Main data


Where Melanie Schienle has published?


Journals with more than one article published# docs
Journal of Financial Econometrics3
Journal of Business & Economic Statistics2
International Journal of Forecasting2

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 Management8
CFS Working Paper Series / Center for Financial Studies (CFS)3
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"2

Recent works citing Melanie Schienle (2021 and 2020)


YearTitle of citing document
2020Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2020Disentangling shock diffusion on complex networks: Identification through graph planarity. (2020). Chakrabarti, Anindya S ; di Matteo, Tiziana ; Kumar, Sudarshan. In: Papers. RePEc:arx:papers:2001.01518.

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2020Analysis of the Global Banking Network by Random Matrix Theory. (2020). Jafari, Reza G ; Haven, Emmanuel ; Hosseiny, Ali ; Hedayatifar, Leila ; Raei, Reza ; Ardalankia, Jamshid ; Namaki, Ali. In: Papers. RePEc:arx:papers:2007.14447.

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2020An AI approach to measuring financial risk. (2020). Benschop, Thijs ; Borke, Lukas ; Hardle, Wolfgang Karl ; Yu, Lining . In: Papers. RePEc:arx:papers:2009.13222.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020TailCoR. (2020). Ley, Christophe ; Babi, Sladjana ; Veredas, David ; Ricci, Lorenzo. In: Papers. RePEc:arx:papers:2011.14817.

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2020Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach to the Measurement Error Problem. (2020). Burtch, Gordon ; McFowland, Edward ; Yang, Mochen ; Adomavicius, Gediminas. In: Papers. RePEc:arx:papers:2012.10790.

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2020Quantile regression with generated dependent variable and covariates. (2020). Bhattacharya, Jayeeta. In: Papers. RePEc:arx:papers:2012.13614.

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2021On the RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2101.03626.

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2021Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021The Generalized Gamma distribution as a useful RND under Hestons stochastic volatility model. (2021). Boukai, Ben. In: Papers. RePEc:arx:papers:2108.07937.

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2021Portfolio optimization with idiosyncratic and systemic risks for financial networks. (2021). Han, Jihui ; Wang, Chao ; Chen, Lin ; Zhao, Longfeng ; Yang, Yajie. In: Papers. RePEc:arx:papers:2111.11286.

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2020Sparse vector error correction models with application to cointegration‐based trading. (2020). Wang, Xiaohang ; Lu, Renjie . In: Australian & New Zealand Journal of Statistics. RePEc:bla:anzsta:v:62:y:2020:i:3:p:297-321.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020Text-Based Linkages and Local Risk Spillovers in the Equity Market. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20115.

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2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

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2021A class of Birnbaum–Saunders type kernel density estimators for nonnegative data. (2021). Kakizawa, Yoshihide. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000839.

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2021Identification of information networks in stock markets. (2021). Baltakys, Kstutis ; Kanniainen, Juho ; Baltakien, Margarita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001524.

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2022Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions. (2022). Grigoriadis, Vasilis ; Fousekis, Panos. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002807.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2021Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059.

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2021Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2021Detecting granular time series in large panels. (2021). Mesters, Geert ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:544-561.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021An automated approach towards sparse single-equation cointegration modelling. (2021). Smeekes, Stephan ; Wijler, Etienne. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:247-276.

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2021Semiparametric estimation of dynamic discrete choice models. (2021). Xu, Haiqing ; Shum, Matthew ; Buchholz, Nicholas. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:2:p:312-327.

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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

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2021Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?. (2021). Chevallier, Julien ; Lin, Renda ; Liu, Jiahao ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321002942.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2021Extreme return connectedness and its determinants between clean/green and dirty energy investments. (2021). Alsulami, Hamed ; Bouri, Elie ; Saeed, Tareq. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988320303571.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Saeed, Tareq ; Lucey, Brian. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302489.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2020Financial network linkages to predict economic output. (2020). Wang, Dan ; Huang, Wei-qiang . In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301746.

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2021A realized EGARCH-MIDAS model with higher moments. (2021). Wu, Xinyu ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308505.

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2021Measuring the risk of Chinese Fintech industry: evidence from the stock index. (2021). Sun, Xiaolei ; Li, Jian Ping ; Yao, Yinhong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311055.

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2021Time domain and frequency domain Granger causality networks: Application to China’s financial institutions. (2021). Chevallier, Julien ; Xie, Chi ; Chen, Yang-Yang ; Si, Hui-Bin ; Wang, Gang-Jin. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319311419.

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2021The intrafirm complexity of systemically important financial institutions. (2021). Leibon, G ; Foti, N J ; Rockmore, D N ; Lumsdaine, R L ; Farmer, J D. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301030.

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2021Measuring the systemic importance of banks. (2021). Sakellaris, Plutarchos ; Moratis, Georgios. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000383.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2021Quantile connectedness in the cryptocurrency market. (2021). Vo, Xuan Vinh ; Roubaud, David ; Saeed, Tareq ; Bouri, Elie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000214.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2021Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2021Complexity, interconnectedness and stability: New perspectives applied to the European banking system. (2021). Bertrand, Jean-Louis ; Chabot, Miia. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:784-800.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2021Bank credit risk networks: Evidence from the Eurozone. (2021). Brownlees, Christian ; Nualart, Eulalia ; Hans, Christina . In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:585-599.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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2021Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach. (2021). Xu, Fuwei ; Su, Zhi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050.

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2020Risk contagion caused by interactions between credit and guarantee networks. (2020). Chen, Xiaohui ; Li, Liang ; Sui, Xin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316292.

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2020For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market. (2020). An, Biao ; Sun, Yafei ; Gao, Ting ; Borjigin, Sumuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437120302843.

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2021Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view. (2021). Huang, Wei-Qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307081.

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2021Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions. (2021). Zhang, Tianyi ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000376.

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2021Optimal time-varying tail risk network with a rolling window approach. (2021). Zhang, Shuai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004003.

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2021Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions. (2021). Chevallier, Julien ; Xie, Chi ; Si, Hui-Bin ; Chen, Yang-Yang ; Wang, Gang-Jin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:325-347.

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2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model. (2021). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:386-398.

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2020From me to you: Measuring connectedness between Eurozone financial institutions. (2020). Angelini, Eliana ; Foglia, Matteo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919301886.

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2021Measuring the deadly embrace: Systemic and sovereign risks. (2021). de Simone, Francisco Nadal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:56:y:2021:i:c:s0275531920309569.

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2020Statistical evaluation of data requirement for ramp metering performance assessment. (2020). Wu, Yao-Jan ; Karimpour, Abolfazl ; Ma, Xiaobo. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:141:y:2020:i:c:p:248-261.

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2020Likelihood inference on semiparametric models with generated regressors. (2019). Otsu, Taisuke ; Matsushita, Yukitoshi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102696.

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2021The financial reporting system - what is it?. (2021). Power, Michael. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:110220.

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2020Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470.

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2020A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector. (2020). Wanat, Stanisław ; Denkowska, Anna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:39-:d:348740.

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2020The Effect of Tuition Fee Constraints on Financial Management: Evidence from Korean Private Universities. (2020). Lee, Kwang-Hoon ; Kim, Kwon-Sik. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5066-:d:374585.

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2021The Influence of Potential Infection on the Relationship between Temperature and Confirmed Cases of COVID-19 in China. (2021). He, Qiuqin ; Lin, Weiran. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:15:p:8504-:d:604526.

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2021Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries. (2021). McIver, Ron P ; Kang, Sang Hoon ; Arreolahernandez, Jose ; Yoon, Seong-Min. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:4:d:10.1007_s10690-021-09339-3.

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2020Forecasting Financial Networks. (2020). Caraiani, Petre. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09925-8.

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2020Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (2020). , Antonio ; Antonio, ; Monteiro, Ana M. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09156-x.

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2020Network VAR models to Measure Financial Contagion. (2020). Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0178.

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2020A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181.

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2020Modeling Turning Points In Global Equity Market. (2020). Ahelegbey, Daniel Felix ; Billio, Monica ; Casarin, Roberto. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0195.

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2020Identification of Volatility Proxies as Expectations of Squared Financial Return. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:101953.

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2021Spillovers among Energy Commodities and the Russian Stock Market. (2021). Lorusso, Marco ; Costola, Michele. In: MPRA Paper. RePEc:pra:mprapa:108990.

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2021Measuring Systemic Risk in South African Banks. (2021). Sing, Marea ; Chatterjee, Somnath . In: Working Papers. RePEc:rbz:wpaper:11004.

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2021Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert F ; Conrad, Christian. In: Working Paper series. RePEc:rim:rimwps:21-05.

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2021A Structural Model of Market Friction with Time-Varying Volatility. (2021). Grassi, Stefano ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: CEIS Research Paper. RePEc:rtv:ceisrp:506.

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2020Semiparametric M-estimation with non-smooth criterion functions. (2020). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Delsol, Laurent . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:2:d:10.1007_s10463-018-0700-y.

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2021Mellin–Meijer kernel density estimation on $${{\mathbb {R}}}^+$$ R +. (2021). Geenens, Gery. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:5:d:10.1007_s10463-020-00772-1.

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2020Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid. (2020). Härdle, Wolfgang ; Lessmann, Stefan ; Hardle, Wolfgang Karl ; Lux, Marius. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-019-00934-7.

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2021On cointegration and cryptocurrency dynamics. (2021). Keilbar, Georg ; Zhang, Yanfen. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:1:d:10.1007_s42521-021-00027-5.

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2021Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model. (2021). Wen, Fenghua ; Yan, Lizhao ; Zhang, Ziting ; Liu, Jian. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00292-8.

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2020Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis. (2020). Pederzoli, Chiara ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00247-4.

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2020From FDI network topology to macroeconomic instability. (2020). Ricchiuti, Giorgio ; Masi, Giulia. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00275-0.

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2021Boundary estimation with the fuzzy set density estimator. (2021). Fajardo, Jesus ; Harmath, Pedro. In: METRON. RePEc:spr:metron:v:79:y:2021:i:3:d:10.1007_s40300-021-00210-z.

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2021Estimation in a general bulk-arrival Markovian multi-server finite queue. (2021). Quinino, R C ; F. L. P. Oliveira, ; M. A. C. Santos, ; F. R. B. Cruz, . In: Operational Research. RePEc:spr:operea:v:21:y:2021:i:1:d:10.1007_s12351-018-0433-y.

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2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices. (2021). Einmahl, John ; Laeven, Roger ; Can, S U. In: Discussion Paper. RePEc:tiu:tiucen:65a9e694-665d-4671-aaf1-4e2093fcec17.

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2021Two-Sample Testing for Tail Copulas with an Application to Equity Indices. (2021). Laeven, Roger ; Einmahl, John ; Can, S U. In: Other publications TiSEM. RePEc:tiu:tiutis:65a9e694-665d-4671-aaf1-4e2093fcec17.

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2020Realized density estimation using intraday prices. (2020). Josip, Arneri. In: Croatian Review of Economic, Business and Social Statistics. RePEc:vrs:crebss:v:6:y:2020:i:1:p:1-9:n:1.

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2021The triple (T3) dimension of systemic risk: Identifying systemically important banks. (2021). Angelini, Eliana ; Foglia, Matteo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:7-26.

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2021Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates. (2021). Nguyen, Duc Khuong ; Ji, Qiang ; Fan, Ying ; Liu, Bingyue. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2612-2636.

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2021Tail risk connectedness between US industries. (2021). Tan, Linzhi ; Nguyen, Linh H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3624-3650.

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More than 100 citations found, this list is not complete...

Works by Melanie Schienle:


YearTitleTypeCited
2021How have German University Tuition Fees Affected Enrollment Rates: Robust Model Selection and Design-based Inference in High-Dimensions In: Papers.
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2015Misspecification Testing in GARCH-MIDAS Models In: Working Papers.
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2016SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES In: Econometric Theory.
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article32
2011Semiparametric Estimation with Generated Covariates.(2011) In: SFB 649 Discussion Papers.
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2011Semiparametric Estimation with Generated Covariates.(2011) In: IZA Discussion Papers.
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2016Semiparametric estimation with generated covariates.(2016) In: Working Paper Series in Economics.
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paper
2014Nonparametric kernel density estimation near the boundary In: Computational Statistics & Data Analysis.
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article16
2012Nonparametric Kernel Density Estimation Near the Boundary.(2012) In: SFB 649 Discussion Papers.
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paper
2019Determination of vector error correction models in high dimensions In: Journal of Econometrics.
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article5
2019Determination of vector error correction models in high dimensions.(2019) In: Working Paper Series in Economics.
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paper
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
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article42
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: 42
paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
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article41
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
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paper
2019Measuring connectedness of euro area sovereign risk In: International Journal of Forecasting.
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article6
2015Measuring Connectedness of Euro Area Sovereign Risk.(2015) In: SFB 649 Discussion Papers.
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paper
2019Measuring connectedness of euro area sovereign risk.(2019) In: Working Paper Series in Economics.
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paper
2010Nonparametric Estimation of Risk-Neutral Densities In: SFB 649 Discussion Papers.
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paper21
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
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paper37
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: Journal of Financial Econometrics.
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article
2014Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37
article
2010Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2010) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37
paper
2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
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paper
2010Nonparametric Regression with Nonparametrically Generated Covariates In: SFB 649 Discussion Papers.
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paper25
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
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paper157
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
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paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 157
article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
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paper
2012Generated Covariates in Nonparametric Estimation: A Short Review. In: SFB 649 Discussion Papers.
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paper0
2012Additive Models: Extensions and Related Models. In: SFB 649 Discussion Papers.
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paper2
2021A pre-registered short-term forecasting study of COVID-19 in Germany and Poland during the second wave In: Nature Communications.
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2016Beyond Dimension two: A Test for Higher-Order Tail Risk In: Journal of Financial Econometrics.
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article1
2016Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics.
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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis In: ESRB Working Paper Series.
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2019Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis.(2019) In: Working Paper Series in Economics.
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paper
2020Testing for an Omitted Multiplicative Long-Term Component in GARCH Models In: Journal of Business & Economic Statistics.
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2019Testing for an omitted multiplicative long-term component in GARCH models.(2019) In: Working Paper Series in Economics.
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paper
2020Detecting Structural Differences in Tail Dependence of Financial Time Series In: Journal of Business & Economic Statistics.
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article2
2019Detecting structural differences in tail dependence of financial time series.(2019) 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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paper0
2018Time-varying Limit Order Book Networks In: IRTG 1792 Discussion Papers.
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paper2
2021High-dimensional statistical learning techniques for time-varying limit order book networks In: IRTG 1792 Discussion Papers.
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2015Misspecification Testing in GARCH-MIDAS Models In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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paper1

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