Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Melanie Schienle : Citation Profile


Are you Melanie Schienle?

Karlsruhe Institut für Technologie

6

H index

6

i10 index

169

Citations

RESEARCH PRODUCTION:

7

Articles

21

Papers

RESEARCH ACTIVITY:

   6 years (2010 - 2016). See details.
   Cites by year: 28
   Journals where Melanie Schienle has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 14 (7.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psc493
   Updated: 2018-02-17    RAS profile: 2017-11-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Hautsch, Nikolaus (7)

Schaumburg, Julia (5)

Peltonen, Tuomas (2)

Conrad, Christian (2)

Rothe, Christoph (2)

Malec, Peter (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 (10)

Brownlees, Christian (7)

Hallin, Marc (6)

Horst, Ulrich (6)

Caporin, Massimiliano (5)

Engle, Robert (5)

Giudici, Paolo (5)

Cipollini, Fabrizio (4)

GAO, Jiti (4)

Gallo, Giampiero (4)

Cites to:

Härdle, Wolfgang (22)

Hautsch, Nikolaus (19)

Engle, Robert (10)

Mammen, Enno (10)

Horst, Ulrich (7)

Weron, Rafał (6)

LINTON, OLIVER (6)

Nautz, Dieter (6)

Malec, Peter (6)

Schaumburg, Julia (5)

Wang, Weining (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 (2018 and 2017)


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

Full description at Econpapers || Download paper

2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

Full description at Econpapers || Download paper

2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

Full description at Econpapers || Download paper

2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Early warning model based on correlated networks in global crude oil markets. (2018). Xie, Wen-Jie ; Yu, Jia-Wei ; Jiang, Zhi-Qiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1335-1343.

Full description at Econpapers || Download paper

2017High-low Strategy of Portfolio Composition using Evolino RNN Ensembles. (2017). Stankeviciene, Jelena ; Maknickas, Algirdas ; Maknickiene, Nijole. In: Engineering Economics. RePEc:exl:25engi:v:28:y:2017:i:2:p:162-169.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Cipollini, Fabrizio ; Gallo, Giampiero M ; Engle, Robert F. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Works by Melanie Schienle:


YearTitleTypeCited
2015Misspecification Testing in GARCH-MIDAS Models In: Working Papers.
[Full Text][Citation analysis]
paper1
2016SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES In: Econometric Theory.
[Full Text][Citation analysis]
article21
2011Semiparametric Estimation with Generated Covariates.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2011Semiparametric Estimation with Generated Covariates.(2011) In: IZA Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2016Semiparametric estimation with generated covariates.(2016) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2014Nonparametric kernel density estimation near the boundary In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2012Nonparametric Kernel Density Estimation Near the Boundary.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2016Systemic risk spillovers in the European banking and sovereign network In: Journal of Financial Stability.
[Full Text][Citation analysis]
article5
2016Systemic risk spillovers in the European banking and sovereign network.(2016) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2014Forecasting systemic impact in financial networks In: International Journal of Forecasting.
[Full Text][Citation analysis]
article20
2013Forecasting systemic impact in financial networks.(2013) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2010Nonparametric Estimation of Risk-Neutral Densities In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper16
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper20
2013Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes.(2013) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
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: 20
paper
2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes.(2011) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2010Nonparametric Regression with Nonparametrically Generated Covariates In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper16
2011Financial Network Systemic Risk Contributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper62
2012Financial Network Systemic Risk Contributions.(2012) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
paper
2015Financial Network Systemic Risk Contributions.(2015) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
article
2013Financial network systemic risk contributions.(2013) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 62
paper
2012Generated Covariates in Nonparametric Estimation: A Short Review. In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper0
2012Additive Models: Extensions and Related Models. In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper2
2015Measuring Connectedness of Euro Area Sovereign Risk In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper1
2016Beyond Dimension two: A Test for Higher-Order Tail Risk In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2016Beyond dimension two: A test for higher-order tail risk.(2016) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2014A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015Misspecification Testing in GARCH-MIDAS Models In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team