Dominik Wied : Citation Profile


Are you Dominik Wied?

Universität zu Köln

9

H index

9

i10 index

275

Citations

RESEARCH PRODUCTION:

38

Articles

6

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 22
   Journals where Dominik Wied has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 24 (8.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwi327
   Updated: 2022-11-19    RAS profile: 2022-09-29    
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Relations with other researchers


Works with:

Troster, Victor (2)

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

Is cited by:

Horvath, Lajos (13)

Wagner, Martin (8)

Blasques, Francisco (6)

Lucas, Andre (6)

Koopman, Siem Jan (6)

Schaumburg, Julia (6)

Li, Youwei (4)

Panagiotidis, Theodore (4)

Gordy, Michael (4)

Melly, Blaise (4)

Chernozhukov, Victor (4)

Cites to:

Krämer, Walter (23)

Engle, Robert (15)

Hurlin, Christophe (15)

Galeano, Pedro (14)

Andrews, Donald (13)

Campbell, John (11)

Ploberger, Werner (11)

Bollerslev, Tim (11)

Horvath, Lajos (10)

Christoffersen, Peter (9)

Prucha, Ingmar (8)

Main data


Where Dominik Wied has published?


Journals with more than one article published# docs
Statistical Papers5
Empirical Economics4
Journal of Econometrics3
Journal of Empirical Finance2
Studies in Nonlinear Dynamics & Econometrics2
Econometric Theory2
Metrika: International Journal for Theoretical and Applied Statistics2
Journal of Banking & Finance2
Econometric Reviews2
Journal of Time Series Analysis2
Economics Letters2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3

Recent works citing Dominik Wied (2022 and 2021)


YearTitle of citing document
2021Distribution Regression in Duration Analysis: an Application to Unemployment Spells. (2019). Sant'Anna, Pedro ; Garcia-Suaza, Andres ; Delgado, Miguel A. In: Papers. RePEc:arx:papers:1904.06185.

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2022Clustering Coefficients in Weighted Undirected Multilayer Networks. (2021). Grassi, Rosanna ; Clemente, Gian Paolo ; Bartesaghi, Paolo. In: Papers. RePEc:arx:papers:2105.14325.

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2022Correlation scenarios and correlation stress testing. (2021). Woebbeking, F ; Packham, N. In: Papers. RePEc:arx:papers:2107.06839.

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2021Cross-ownership as a structural explanation for rising correlations in crisis times. (2021). Araneda, Axel A ; Bertschinger, Nils. In: Papers. RePEc:arx:papers:2112.04824.

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2022Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2022Bivariate Distribution Regression with Application to Insurance Data. (2022). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2203.12228.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2022An endogeneity correction based on a nonparametric control function approach. (2022). Breitung, Jörg ; Wied, Dominik. In: Papers. RePEc:arx:papers:2207.09246.

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2021A new approach for open?end sequential change point monitoring. (2021). Dette, Holger ; Kley, Tobias ; Gosmann, Josua. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:63-84.

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2021Maximum pseudo?likelihood estimation based on estimated residuals in copula semiparametric models. (2021). Neumeyer, Natalie ; Hudecova, Arka ; Omelka, Marek. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:4:p:1433-1473.

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2021Conditional Quantile Estimators: A Small Sample Theory. (2021). Wüthrich, Kaspar ; Wuthrich, Kaspar ; Gafarov, Bulat ; Franguridi, Grigory. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9046.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2021A model of dynamic tail dependence between crude oil prices and exchange rates. (2021). Ye, Wuyi ; Guo, Ranran. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001534.

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2022Quantile regression methods for first-price auctions. (2022). Guerre, Emmanuel ; Gimenes, Nathalie. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:224-247.

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2022Nonparametric inference for quantile cointegrations with stationary covariates. (2022). Wang, Qiying ; Liang, Han-Ying ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:453-482.

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2021Bayesian Value-at-Risk backtesting: The case of annuity pricing. (2021). Li, Youwei ; Leung, Melvern ; Vigne, Samuel A ; Pantelous, Athanasios A. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:786-801.

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2021How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?. (2021). Sakurai, Yuji. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000706.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2021Systemic risk allocation using the asymptotic marginal expected shortfall. (2021). Zhou, Chen ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000571.

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2021Pitfalls in the cointegration analysis of housing prices with the macroeconomy: Evidence from OECD countries. (2021). Gueye, Ghislain Nono. In: Journal of Housing Economics. RePEc:eee:jhouse:v:51:y:2021:i:c:s1051137721000012.

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2022Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). Prange, Philipp ; Peter, Franziska J ; Thomas, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115.

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2021Ordinal pattern dependence as a multivariate dependence measure. (2021). Schnurr, Alexander ; Nussgen, Ines ; Dehling, Herold ; Betken, Annika. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000762.

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2022Change-point problems for multivariate time series using pseudo-observations. (2022). Bahraoui, Tarik ; Remillard, Bruno N ; Nasri, Bouchra R. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x21001354.

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2022Change point analysis of covariance functions: A weighted cumulative sum approach. (2022). Horvath, Lajos ; Zhao, Yuqian ; Rice, Gregory. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x2100155x.

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2022Anomaly detection: A functional analysis perspective. (2022). Kon, Mark ; Castrillon-Candas, Julio E. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001639.

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2022Density ratio model with data-adaptive basis function. (2022). Chen, Jiahua ; Zhang, Archer Gong. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:191:y:2022:i:c:s0047259x22000586.

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2022Credit booms and crisis-emergent asset comovement: The problem of latent correlation. (2022). Gimenez, Gabriel A ; Chibane, Messaoud ; Gabriel, Amadeus. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:270-279.

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2021What are bitcoin market reactions to its-related events?. (2021). Dong, Hao ; Chen, Liming ; Li, Zhenghui. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:1-10.

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2021Inversions Distribution and Testing Correlation Changes for Rates of Return. (2021). Kurylek, Zbigniew ; Czekala, Mariusz. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:3b:p:633-650.

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2021Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model. (2021). Maecka, Marta. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:1:p:145-162.

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2021Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. (2021). Wagner, Martin ; Knorre, Fabian ; Grupe, Maximilian. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:12-:d:516201.

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2021.

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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2022Impact of the Covid19 Pandemic on Remittances to Mexico. (2022). Cruz, Miguel ; Mendoza, Alfredo Cuecuecha. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:17:y:2022:i:3:a:3.

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2021A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

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2022The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market. (2022). Li, Xin ; Feng, Yun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-021-10092-y.

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2022Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?. (2022). Vasileiou, Evangelos. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10123-8.

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2021Shadow rates and spillovers across the Eurozone: a spatial dynamic panel model. (2021). Fiorelli, Cristiana ; Foglia, Matteo ; Cartone, Alfredo. In: Empirica. RePEc:kap:empiri:v:48:y:2021:i:1:d:10.1007_s10663-020-09483-5.

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2021Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression. (2021). Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:142.

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2021Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets. (2021). Wagner, Martin ; Sogner, Leopold ; Reynolds, Julia. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:2:p:105-146.

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2021Structural breaks in cointegration models. (2021). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0429.

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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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2021Does cross-shareholding lead to Chinas stock returns comovement? Evidence from a GMM-based spatial AR model. (2021). Li, Xin ; Feng, Yun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02002-2.

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2022Heterogeneous Effects of Job Displacement on Earnings. (2022). Callaway, Brantly ; Jahromi, Afrouz Azadikhah. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:1:d:10.1007_s00181-020-01961-w.

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2022Disaggregating the impact of oil prices on European industrial equity indices: a spatial econometric analysis. (2022). Naveed, Amjad ; Hussain, Syed Mujahid ; Ahmad, Nisar ; Ahmed, Sheraz. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02116-1.

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2022Tests for segmented cointegration: an application to US governments budgets. (2022). , Paulo ; Martins, Luis F. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:2:d:10.1007_s00181-021-02156-7.

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2021A self-normalization break test for correlation matrix. (2021). Shin, Dong Wan ; Choi, Ji-Eun. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:5:d:10.1007_s00362-020-01188-y.

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2022Quantifying the data-dredging bias in structural break tests. (2022). Hoga, Yannick. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:1:d:10.1007_s00362-021-01233-4.

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2022Rejoinder on: Hybrid semiparametric Bayesian networks. (2022). Bielza, Concha ; Larraaga, Pedro ; Atienza, David. 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_s11749-022-00821-2.

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2021Dynamic effects of network exposure on equity markets. (2021). Volkov, Vladimir ; Kangogo, Moses. In: Working Papers. RePEc:tas:wpaper:37326.

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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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2022Nonparametric C- and D-vine-based quantile regression. (2022). Claudia, Czado ; Gerda, Claeskens ; Jing, Zhou ; Marija, Tepegjozova. In: Dependence Modeling. RePEc:vrs:demode:v:10:y:2022:i:1:p:1-21:n:1.

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2021Tail risk interdependence. (2021). Chiu, Chingwai ; Stoja, Evarist ; Polanski, Arnold. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5499-5511.

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2021Correlation scenarios and correlation stress testing. (2021). Woebbeking, Fabian ; Packham, Natalie. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021012.

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2022Forecasting risk measures based on structural breaks in the correlation matrix. (2022). Duan, Fang. In: Ruhr Economic Papers. RePEc:zbw:rwirep:945.

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Works by Dominik Wied:


YearTitleTypeCited
2013Nonparametric tests for constant tail dependence with an application to energy and finance In: LIDAM Discussion Papers ISBA.
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paper12
2015Nonparametric tests for constant tail dependence with an application to energy and finance.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 12
article
2022Estimation and Inference in Factor Copula Models with Exogenous Covariates In: Papers.
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paper0
2021Reference Class Selection in Similarity-Based Forecasting of Sales Growth In: Papers.
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paper0
2022An endogeneity correction based on a nonparametric control function approach In: Papers.
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paper0
2016Detecting relevant changes in time series models In: Journal of the Royal Statistical Society Series B.
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article7
2013CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns In: Journal of Time Series Analysis.
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article7
2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis In: Journal of Time Series Analysis.
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article9
2014Improved GMM estimation of random effects panel data models with spatially correlated error components In: Papers in Regional Science.
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article0
2021A monitoring procedure for detecting structural breaks in factor copula models In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2022Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2012TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD In: Econometric Theory.
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article35
2017TESTING FOR CHANGES IN KENDALL’S TAU In: Econometric Theory.
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article3
2014Multiple break detection in the correlation structure of random variables In: Computational Statistics & Data Analysis.
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article19
2014A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution In: Computational Statistics & Data Analysis.
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article6
2010Improved GMM estimation of the spatial autoregressive error model In: Economics Letters.
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article5
2015A simple and focused backtest of value at risk In: Economics Letters.
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article0
2019Testing for structural breaks in factor copula models In: Journal of Econometrics.
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article3
2020Estimating derivatives of function-valued parameters in a class of moment condition models In: Journal of Econometrics.
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article1
2015Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? In: Journal of Empirical Finance.
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article8
2016Monitoring multivariate variance changes In: Journal of Empirical Finance.
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article5
2014A new set of improved Value-at-Risk backtests In: Journal of Banking & Finance.
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article29
2016Evaluating Value-at-Risk forecasts: A new set of multivariate backtests In: Journal of Banking & Finance.
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article11
2012Misspecification Testing in a Class of Conditional Distributional Models In: IZA Discussion Papers.
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paper39
2013Misspecification Testing in a Class of Conditional Distributional Models.(2013) In: Journal of the American Statistical Association.
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This paper has another version. Agregated cites: 39
article
2019Testing for constant correlation of filtered series under structural change In: The Econometrics Journal.
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article2
2013Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen In: AStA Wirtschafts- und Sozialstatistisches Archiv.
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article4
2013Modeling different kinds of spatial dependence in stock returns In: Empirical Economics.
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article23
2016Spatial dependence in stock returns: local normalization and VaR forecasts In: Empirical Economics.
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article0
2019Detecting structural changes in large portfolios In: Empirical Economics.
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article2
2021Testing for relevant dependence change in financial data: a CUSUM copula approach In: Empirical Economics.
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article0
2012A new fluctuation test for constant variances with applications to finance In: Metrika: International Journal for Theoretical and Applied Statistics.
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article11
2018A residual-based multivariate constant correlation test In: Metrika: International Journal for Theoretical and Applied Statistics.
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article3
2011Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction In: Statistical Papers.
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article0
2012Consistency of the kernel density estimator: a survey In: Statistical Papers.
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article13
2013On the application of new tests for structural changes on global minimum-variance portfolios In: Statistical Papers.
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article9
2016J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition) In: Statistical Papers.
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article0
2022Truncating the exponential with a uniform distribution In: Statistical Papers.
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article0
2017Dating multiple change points in the correlation matrix In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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article1
2017A nonparametric test for a constant correlation matrix In: Econometric Reviews.
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article7
2021A specification test for dynamic conditional distribution models with function-valued parameters In: Econometric Reviews.
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article0
2014On- and offline detection of structural breaks in thermal spraying processes In: Journal of Applied Statistics.
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article0
2021Cointegration, information transmission, and the lead?lag effect between industry portfolios and the stock market In: Journal of Forecasting.
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article0
2014Monitoring Stationarity and Cointegration In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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paper1

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