Weining Wang : Citation Profile


Are you Weining Wang?

University of York (92% share)
Institute for Fiscal Studies (IFS) (8% share)

10

H index

11

i10 index

345

Citations

RESEARCH PRODUCTION:

11

Articles

38

Papers

RESEARCH ACTIVITY:

   10 years (2010 - 2020). See details.
   Cites by year: 34
   Journals where Weining Wang has often published
   Relations with other researchers
   Recent citing documents: 98.    Total self citations: 15 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa606
   Updated: 2022-11-19    RAS profile: 2021-03-10    
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Relations with other researchers


Works with:

Härdle, Wolfgang (8)

Chernozhukov, Victor (4)

Wooldridge, Jeffrey (3)

Christiansen, Charlotte (2)

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

Is cited by:

Härdle, Wolfgang (47)

Schienle, Melanie (8)

Horst, Ulrich (7)

Fiocco, Raffaele (6)

Hafner, Christian (6)

Hautsch, Nikolaus (6)

López Cabrera, Brenda (5)

Althof, Michael (5)

Weron, Rafał (5)

Wang, Gang-Jin (5)

Reiss, Markus (4)

Cites to:

Härdle, Wolfgang (33)

Engle, Robert (29)

Chernozhukov, Victor (27)

Diebold, Francis (19)

Schienle, Melanie (17)

Hautsch, Nikolaus (17)

Schaumburg, Julia (12)

Viceira, Luis (12)

Nelson, Charles (10)

Rudebusch, Glenn (9)

Campbell, John (9)

Main data


Where Weining Wang has published?


Journals with more than one article published# docs
Journal of Econometrics2
The Journal of Financial Econometrics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
IRTG 1792 Discussion Papers / Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"14
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany14
Working Papers / Department of Economics, City University London4
Papers / arXiv.org3
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies2

Recent works citing Weining Wang (2022 and 2021)


YearTitle of citing document
2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2021Policy Targeting under Network Interference. (2019). Viviano, Davide. In: Papers. RePEc:arx:papers:1906.10258.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2021Blockchain mechanism and distributional characteristics of cryptos. (2020). Lin, Min-Bin ; Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Papers. RePEc:arx:papers:2011.13240.

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2022Rodeo or Ascot: which hat to wear at the crypto race?. (2021). Hardle, Wolfgang Karl ; Hausler, Konstantin. In: Papers. RePEc:arx:papers:2103.12461.

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2022Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2022Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777.

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2022Exploring Financial Networks Using Quantile Regression and Granger Causality. (2022). Basu, Sumanta ; Mukherjee, Diganta ; Lahiry, Samriddha ; Karpman, Kara. In: Papers. RePEc:arx:papers:2207.10705.

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2022Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614.

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2021Pricing wind power futures. (2021). Härdle, Wolfgang ; Melzer, Awdesch ; Cabrera, Brenda Lopez ; Hardle, Wolfgang Karl. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:4:p:1083-1102.

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2021Mark my words: the transmission of central bank communication to the general public via the print media. (2021). Munday, Tim ; Brookes, James. In: Bank of England working papers. RePEc:boe:boeewp:0944.

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2021Systemic Risk in Indian Banking: Measurement and Impact of COVID-19. (2021). Trivedi, Krina. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2021:i:1:p:143-151.

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2021Addressing the endogeneity of slack in Phillips Curves. (2021). Koester, Gerrit ; Nickel, Christiane ; Dovi, Max-Sebastian. In: Working Paper Series. RePEc:ecb:ecbwps:20212619.

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2021Higher dimensional semi-relativistic time-fractional Vlasov-Maxwell code for numerical simulation based on linear polarization and 2D Landau damping instability. (2021). Usman, Muhammad ; Lu, Tiao ; Zubair, Tamour. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:401:y:2021:i:c:s009630032100148x.

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2021Novel operational matrices-based finite difference/spectral algorithm for a class of time-fractional Burger equation in multidimensions. (2021). Liu, Moubin ; Hamid, Muhammad ; Usman, Muhammad. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077921000540.

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2022Analytic simulation of the synergy of spatial-temporal memory indices with proportional time delay. (2022). Yusuf, Abdullahi ; Sulaiman, Tukur A ; al Quran, Marwan ; Alquran, Marwan ; Jaradat, Imad. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000297.

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2022Design of intelligent computing networks for nonlinear chaotic fractional Rossler system. (2022). Shu, Chi-Min ; Kiani, Adiqa Kausar ; Shoaib, Muhammad ; Rafiq, Naila ; Zahoor, Muhammad Asif ; Bukhari, Ayaz Hussain. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001953.

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2021Robust communication-efficient distributed composite quantile regression and variable selection for massive data. (2021). Zhang, Benle ; Li, Shaomin ; Wang, Kangning. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000967.

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2022Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. (2022). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000219.

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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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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2021TrAffic LIght system for systemic Stress: TALIS3. (2021). Caporin, Massimiliano ; Jimenez-Martin, Juan-angel ; Garcia-Jorcano, Laura. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000772.

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2022Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819.

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2022Return and volatility spillovers across the Western and MENA countries. (2022). Mohammadi, Hassan ; Habibi, Hamidreza. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000031.

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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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2022? in the tails. (2022). Reno, Roberto ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:134-150.

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2022SONIC: SOcial Network analysis with Influencers and Communities. (2022). Klochkov, Yegor ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:177-220.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Identifying systemically important financial institutions in complex network: A case study of Chinese stock market. (2022). Jiang, Cheng ; Hou, Xiaoli ; Chen, Wei. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000443.

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2022Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective. (2022). Wang, Gang-Jin ; Xie, Chi ; Ling, Yu-Xiu. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000292.

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2022High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2021Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477.

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2022Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?. (2022). Zhao, Wanru ; Zhu, Huiming ; Tan, Anqi ; Ren, Yinghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000552.

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2021Tail-risk spillovers in cryptocurrency markets. (2021). Zhang, Yixuan ; Xu, Qiuhua. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s154461231930755x.

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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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2022COVID-19 and Tail-event Driven Network Risk in the Eurozone. (2022). Doukas, John A ; Foglia, Matteo ; Duc, Toan Luu. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001513.

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2022Tail event-based sovereign credit risk transmission network during COVID-19 pandemic. (2022). Naifar, Nader ; Hussain, Syed Jawad. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002543.

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2022A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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2022Tail-event driven network of cryptocurrencies and conventional assets. (2022). Zhang, Ruige ; Xu, Qiuhua ; Jiang, Wen. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s154461232100413x.

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2022Sovereign risk spillovers: A network approach. (2022). Le, Anh ; Dickinson, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000341.

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2022The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752.

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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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2022Bearish Vs Bullish risk network: A Eurozone financial system analysis. (2022). Angelini, Eliana ; Wang, Gang-Jin ; Addi, Abdelhamid ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000142.

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2022Factor volatility spillover and its implications on factor premia. (2022). Shi, Huai-Long ; Zhou, Wei-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001068.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2022Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach. (2022). Pun, Chi Seng ; Liu, Ruicheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426622000164.

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2022How collective stress affects price fairness perceptions: The role of nostalgia. (2022). Roggeveen, Anne L ; Xia, Lan. In: Journal of Business Research. RePEc:eee:jbrese:v:152:y:2022:i:c:p:361-371.

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2022Financial Risk Meter FRM based on Expectiles. (2022). Hardle, Wolfgang Karl ; Li, Yingxing ; Lu, Meng-Jou ; Ren, Rui. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001597.

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2021Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach. (2021). Shi, Xunpeng ; Zhou, Yuqin ; Ding, Zhihua ; Wu, Shan ; Zhai, Pengxiang ; Liu, Zhenhua. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003901.

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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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2022Leverage effect in cryptocurrency markets. (2022). Huang, Jingzhi ; Xu, LI ; Ni, Jun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000683.

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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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2021Analysis of global stock markets’ connections with emphasis on the impact of COVID-19. (2021). Zhang, Xin ; Yu, Hang ; Zhao, Xinyao ; Guo, Hongfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000467.

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2021Neuronal dynamics and electrophysiology fractional model: A modified wavelet approach. (2021). Ul, Rizwan ; Khan, Zafar Hayat ; Hamid, Muhammad ; Usman, Muhammad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:570:y:2021:i:c:s0378437121000777.

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2021Multiscale and partial correlation networks analysis of risk connectedness in global equity markets. (2021). Zhai, Kaikai ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121001837.

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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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2022Dynamic correlation of market connectivity, risk spillover and abnormal volatility in stock price. (2022). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007792.

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2022A new measure of the resilience for networks of funds with applications to socially responsible investments. (2022). nicolosi, marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s037843712200070x.

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2022NetVIX — A network volatility index of financial markets. (2022). Giudici, Paolo ; Ahelegbey, Daniel Felix. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000917.

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2021Pricing virtual currency-linked derivatives with time-inhomogeneity. (2021). Chen, Jun-Home ; Lian, Yu-Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:424-439.

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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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2022Financial Risk Meter for emerging markets. (2022). Hardle, Wolfgang Karl ; Althof, Michael ; ben Amor, Souhir. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002154.

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2022Quantifying systemic risk in US industries using neural network quantile regression. (2022). Tiwari, Aviral Kumar ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000368.

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2022Multilayer network analysis of investor sentiment and stock returns. (2022). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Xiong, LU ; Wang, Gang-Jin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000952.

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2022.

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2021Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413.

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2022A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View. (2022). Gonalves, Tiago Cruz ; Almeida, Jose . In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:5:p:107-:d:819454.

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2021COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. (2021). Vuković, Darko ; Maiti, Moinak ; Frömmel, Michael ; Vukovic, Darko ; Frommel, Michael ; Grigorieva, Elena M ; Grubisic, Zoran. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:15:p:8578-:d:606381.

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2021Heterogeneous Effects of ICT across Multiple Economic Development in Chinese Cities: A Spatial Quantile Regression Model. (2021). Ye, Azhong ; Chen, Congbo. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:2:p:954-:d:482685.

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2022Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach. (2022). Ye, Wuyi ; Jiao, Shoukun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10125-6.

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2022Estimation of Expected Shortfall Using Quantile Regression: A Comparison Study. (2022). Grabchak, Michael ; Christou, Eliana. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10164-z.

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2021A network autoregressive model with GARCH effects and its applications. (2021). Lin, Yu-Jun ; Chiang, Hsin-Han ; Huang, Shih-Feng. In: PLOS ONE. RePEc:plo:pone00:0255422.

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2021Hedging Cryptocurrency Options. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: MPRA Paper. RePEc:pra:mprapa:110774.

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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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2021Copula and composite quantile regression-based estimating equations for longitudinal data. (2021). Shan, Wen ; Wang, Kangning. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:3:d:10.1007_s10463-020-00756-1.

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2021Detecting bubbles in Bitcoin price dynamics via market exuberance. (2021). Figà-Talamanca, Gianna ; Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03321-z.

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2021Penalized weighted composite quantile regression for partially linear varying coefficient models with missing covariates. (2021). Liu, Shuangzhe ; Dai, Jiajia ; Ma, Tiefeng ; Jin, Jun. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:1:d:10.1007_s00180-020-01012-z.

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2021Blockchain and cryptocurrencies: economic and financial research. (2021). Cretarola, Alessandra ; Grunspan, Cyril ; Figa-Talamanca, Gianna. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00366-3.

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2021Cryptocurrency volatility markets. (2021). Woebbeking, Fabian. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:3:d:10.1007_s42521-021-00037-3.

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2022Modelling systemic risk using neural network quantile regression. (2022). Keilbar, Georg ; Wang, Weining. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:1:d:10.1007_s00181-021-02035-1.

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2021Network vector autoregression with individual effects. (2021). Huang, Tao ; Bai, Yang ; Tang, Yiming. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:84:y:2021:i:6:d:10.1007_s00184-020-00805-y.

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2021Robust and efficient estimating equations for longitudinal data partial linear models and its applications. (2021). Sun, Xiaofei ; Hao, Mengjie ; Wang, Kangning. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:5:d:10.1007_s00362-020-01181-5.

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2022Single-index composite quantile regression for ultra-high-dimensional data. (2022). Sun, Mengxian ; Jiang, Rong. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:31:y:2022:i:2:d:10.1007_s11749-021-00785-9.

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2021Dynamic return and volatility spillovers among S&P 500, crude oil, and gold. (2021). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:153-170.

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2021Systemic risk in the Chinese financial system: A copula?based network approach. (2021). Zhang, Dayong ; Ji, Qiang ; Wu, Fei. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2044-2063.

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2021Is euro area lowflation here to stay? Insights from a time?varying parameter model with survey data. (2021). Wauters, Joris ; Stevens, Arnoud. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:566-586.

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2021Convolution?based filtering and forecasting: An application to WTI crude oil prices. (2021). Tong, Michelle ; Jasiak, Joann ; Gourieroux, Christian. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1230-1244.

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2021Valuation of bitcoin options. (2021). Celik, Batur ; Cao, Melanie. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1007-1026.

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2022Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. (2022). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: EconStor Open Access Articles and Book Chapters. RePEc:zbw:espost:249340.

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2021Rodeo or ascot: Which hat to wear at the crypto race?. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Hausler, Konstantin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021007.

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2021Financial Risk Meter based on expectiles. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Li, Yingxing ; Lu, Meng-Jou ; Ren, Rui. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021008.

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2021Valuing cryptocurrencies: Three easy pieces. (2021). Burda, Michael. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021011.

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2021A financial risk meter for China. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Althof, Michael ; Wang, Ruting. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021022.

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2021Networks of news and cross-sectional returns. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Hu, Junjie. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021023.

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Works by Weining Wang:


YearTitleTypeCited
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing In: CREATES Research Papers.
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2018Using generalized estimating equations to estimate nonlinear models with spatial data In: Papers.
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2020Using generalized estimating equations to estimate nonlinear models with spatial data.(2020) In: IRTG 1792 Discussion Papers.
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2018A supreme test for periodic explosive GARCH In: Papers.
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2020A supreme test for periodic explosive GARCH.(2020) In: IRTG 1792 Discussion Papers.
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2020Pricing Cryptocurrency Options In: Papers.
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2020Pricing Cryptocurrency Options*.(2020) In: The Journal of Financial Econometrics.
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2016Estimation of NAIRU with In ation Expectation Data In: Working Papers.
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2016Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach In: Working Papers.
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2016Time Varying Quantile Lasso In: Working Papers.
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paper1
2018LASSO-Driven Inference in Time and Space In: Working Papers.
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paper3
2015HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE In: Econometric Theory.
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article5
2020Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials In: Applied Mathematics and Computation.
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article6
2016TENET: Tail-Event driven NETwork risk In: Journal of Econometrics.
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article94
2014TENET: Tail-Event driven NETwork risk.(2014) In: SFB 649 Discussion Papers.
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paper
2019Network quantile autoregression In: Journal of Econometrics.
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article15
2016Network Quantile Autoregression.(2016) In: SFB 649 Discussion Papers.
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paper
2015Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models In: Journal of Multivariate Analysis.
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article2
2010Uniform confidence bands for pricing kernels In: SFB 649 Discussion Papers.
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paper24
2015Uniform Confidence Bands for Pricing Kernels.(2015) In: The Journal of Financial Econometrics.
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article
2010Prognose mit nichtparametrischen Verfahren In: SFB 649 Discussion Papers.
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paper10
2011Local Quantile Regression In: SFB 649 Discussion Papers.
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paper42
2012HMM in dynamic HAC models In: SFB 649 Discussion Papers.
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paper1
2012Quantile Regression in Risk Calibration In: SFB 649 Discussion Papers.
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paper16
2013Composite Quantile Regression for the Single-Index Model In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper6
2013Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper0
2014Nonparametric Estimates for Conditional Quantiles of Time Series In: SFB 649 Discussion Papers.
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paper3
2015Nonparametric estimates for conditional quantiles of time series.(2015) In: AStA Advances in Statistical Analysis.
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This paper has another version. Agregated cites: 3
article
2015Estimation of NAIRU with Inflation Expectation Data In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper3
2015Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Time Varying Quantile Lasso In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper0
2017Dynamic Semiparametric Factor Model with a Common Break In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper0
2019LASSO-Driven Inference in Time and Space In: CeMMAP working papers.
[Full Text][Citation analysis]
paper31
2018LASSO-driven inference in time and space.(2018) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 31
paper
2018LASSO-Driven Inference in Time and Space.(2018) In: IRTG 1792 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2016Localizing Temperature Risk In: Journal of the American Statistical Association.
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article42
2014Comment In: Journal of Business & Economic Statistics.
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article0
2018Single-Index-Based CoVaR With Very High-Dimensional Covariates In: Journal of Business & Economic Statistics.
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article11
2018Pricing Cryptocurrency options: the case of CRIX and Bitcoin In: IRTG 1792 Discussion Papers.
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paper12
2019Inference of Break-Points in High-Dimensional Time Series In: IRTG 1792 Discussion Papers.
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2020Inference of breakpoints in high-dimensional time series.(2020) In: IRTG 1792 Discussion Papers.
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2019Modelling Systemic Risk Using Neural Network Quantile Regression In: IRTG 1792 Discussion Papers.
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paper1
2019Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting In: IRTG 1792 Discussion Papers.
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paper0
2020Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing In: IRTG 1792 Discussion Papers.
[Full Text][Citation analysis]
paper0
2020Improved Estimation of Dynamic Models of Conditional Means and Variances In: IRTG 1792 Discussion Papers.
[Full Text][Citation analysis]
paper0
2020Tail Event Driven Factor Augmented Dynamic Model In: IRTG 1792 Discussion Papers.
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paper0
2020The common and speci fic components of inflation expectation across European countries In: IRTG 1792 Discussion Papers.
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2020Dynamic Spatial Network Quantile Autoregression In: IRTG 1792 Discussion Papers.
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paper1
2020Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data In: IRTG 1792 Discussion Papers.
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