Dominik Wied : Citation Profile


Are you Dominik Wied?

Universität zu Köln

6

H index

5

i10 index

135

Citations

RESEARCH PRODUCTION:

32

Articles

2

Papers

RESEARCH ACTIVITY:

   9 years (2010 - 2019). See details.
   Cites by year: 15
   Journals where Dominik Wied has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 20 (12.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwi327
   Updated: 2019-06-16    RAS profile: 2019-05-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Wagner, Martin (2)

Galeano, Pedro (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 (9)

Lucas, Andre (6)

Koopman, Siem Jan (6)

Blasques, Francisco (6)

Schaumburg, Julia (4)

Gordy, Michael (4)

Füss, Roland (4)

Melly, Blaise (4)

Chernozhukov, Victor (4)

Peracchi, Franco (3)

Leorato, Samantha (3)

Cites to:

Krämer, Walter (23)

Galeano, Pedro (16)

Engle, Robert (15)

Andrews, Donald (11)

Ploberger, Werner (11)

Bollerslev, Tim (11)

Horvath, Lajos (10)

Hurlin, Christophe (10)

Christoffersen, Peter (9)

Prucha, Ingmar (8)

Mantegna, Rosario (7)

Main data


Where Dominik Wied has published?


Journals with more than one article published# docs
Statistical Papers4
Empirical Economics3
Computational Statistics & Data Analysis2
Econometric Theory2
Metrika: International Journal for Theoretical and Applied Statistics2
Economics Letters2
Journal of Empirical Finance2
Journal of Banking & Finance2
Journal of Time Series Analysis2
Journal of Econometrics2

Recent works citing Dominik Wied (2019 and 2018)


YearTitle of citing document
2019Correcting for Misreporting of Government Benefits. (2019). Mittag, Nikolas. In: American Economic Journal: Economic Policy. RePEc:aea:aejpol:v:11:y:2019:i:2:p:142-64.

Full description at Econpapers || Download paper

2018Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2018). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142.

Full description at Econpapers || Download paper

2019Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

Full description at Econpapers || Download paper

2019A factor-model approach for correlation scenarios and correlation stress-testing. (2018). Packham, Natalie ; Woebbeking, Fabian. In: Papers. RePEc:arx:papers:1807.11381.

Full description at Econpapers || Download paper

2018Capital Regulation, Efficiency, and Risk Taking: A Spatial Panel Analysis of U.S. Banks. (2018). Ding, Dong ; Sickles, Robin C. In: Working Papers. RePEc:ecl:riceco:18-004.

Full description at Econpapers || Download paper

2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

Full description at Econpapers || Download paper

2019Moving block bootstrapping for a CUSUM test for correlation change. (2019). Shin, Dong Wan ; Choi, Ji-Eun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:95-106.

Full description at Econpapers || Download paper

2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

Full description at Econpapers || Download paper

2019Mark to market value at risk. (2019). Chen, YU ; Zhang, Zhengjun ; Wang, Zhicheng. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:299-321.

Full description at Econpapers || Download paper

2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

Full description at Econpapers || Download paper

2018Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88.

Full description at Econpapers || Download paper

2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

Full description at Econpapers || Download paper

2019A factor-model approach for correlation scenarios and correlation stress testing. (2019). Woebbeking, C F ; Packham, N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

Full description at Econpapers || Download paper

2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

Full description at Econpapers || Download paper

2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

Full description at Econpapers || Download paper

2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407.

Full description at Econpapers || Download paper

2017Monitoring multivariate time series. (2017). Hoga, Yannick. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:105-121.

Full description at Econpapers || Download paper

2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

Full description at Econpapers || Download paper

2018Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

Full description at Econpapers || Download paper

2018Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-21.

Full description at Econpapers || Download paper

2017Testing for a Structural Break in a Spatial Panel Model. (2017). Sengupta, Aparna . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:12-:d:92290.

Full description at Econpapers || Download paper

2018Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?. (2018). Altun, Emrah ; Nadarajah, Saralees ; Ozel, Gamze ; Tatlidil, Huseyin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:7-:d:128249.

Full description at Econpapers || Download paper

2017Change Point Detection and Estimation of the Two-Sided Jumps of Asset Returns Using a Modified Kalman Filter. (2017). Theodosiadou, Ourania ; Tsaklidis, George ; Skaperas, Sotiris . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:15-:d:92028.

Full description at Econpapers || Download paper

2018The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Fink, Holger ; Port, Henry ; Fuest, Andreas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

Full description at Econpapers || Download paper

2018VOLATILITY SPILLOVERS WITH SPATIAL EFFECTS ON THE OIL AND GAS MARKET. (2018). Efrosiniya, Karatetskaya ; Valeriya, Lakshina. In: HSE Working papers. RePEc:hig:wpaper:72/fe/2018.

Full description at Econpapers || Download paper

2017Dynamic Semiparametric Factor Model with a Common Break. (2017). Chen, Likai ; Wu, Wei Biao ; Wang, Weining. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-026.

Full description at Econpapers || Download paper

2018Minimum Wages and the Gender Gap in Pay: New Evidence from the UK and Ireland. (2018). Van Kerm, Philippe ; Doorley, Karina ; Bargain, Olivier. In: IZA Discussion Papers. RePEc:iza:izadps:dp11502.

Full description at Econpapers || Download paper

2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

Full description at Econpapers || Download paper

2017Alternative GMM estimators for spatial regression models. (2017). Breitung, Jörg ; Wigger, Christoph . In: Working Paper Series in Economics. RePEc:kls:series:0089.

Full description at Econpapers || Download paper

2018Testing for randomness in a random coefficient autoregression model. (). Horvath, Lajos ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/03.

Full description at Econpapers || Download paper

2018A structural break test for extremal dependence in β-mixing random vectors. (2018). Hoga, Y. In: Biometrika. RePEc:oup:biomet:v:105:y:2018:i:3:p:627-643..

Full description at Econpapers || Download paper

2018An innovative risk management methodology for trading equity indices based on change points. (2018). Gosmann, Josua ; Ziggel, Daniel. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0062-7.

Full description at Econpapers || Download paper

2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837.

Full description at Econpapers || Download paper

2018Test for model selection using Cramér–von Mises distance in a fixed design regression setting. (2018). Chen, Hong ; Jensen, Uwe ; Doring, Maik . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:102:y:2018:i:4:d:10.1007_s10182-017-0317-0.

Full description at Econpapers || Download paper

2018Special Issue with papers from the “3rd workshop on Goodness-of-fit and change-point problems”. (2018). Henze, N ; Meintanis, S G ; Kirch, C. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0677-9.

Full description at Econpapers || Download paper

2018Sequential monitoring of portfolio betas. (2018). Golosnoy, Vasyl. In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:2:d:10.1007_s00362-016-0783-6.

Full description at Econpapers || Download paper

2018A note on estimating the conditional expectation under censoring and association: strong uniform consistency. (2018). Menni, Nassira ; Tatachak, Abdelkader . In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:3:d:10.1007_s00362-016-0801-8.

Full description at Econpapers || Download paper

2018Towards a better understanding of the dual representation of phi divergences. (2018). al Mohamad, Diaa. In: Statistical Papers. RePEc:spr:stpapr:v:59:y:2018:i:3:d:10.1007_s00362-016-0812-5.

Full description at Econpapers || Download paper

2017Testing for Structural Breaks via Ordinal Pattern Dependence. (2017). Schnurr, Alexander ; Dehling, Herold. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:518:p:706-720.

Full description at Econpapers || Download paper

2017A near optimal test for structural breaks when forecasting under square error loss. (2017). Boot, Tom ; Pick, Andreas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170039.

Full description at Econpapers || Download paper

2017KNOWLEDGE MANAGEMENT FOR OPEN INNOVATION: COMPARING RESEARCH RESULTS BETWEEN SMEs AND LARGE COMPANIES. (2017). Vayrynen, Hannele ; Vasell, Tytti ; Helander, Nina. In: International Journal of Innovation Management (ijim). RePEc:wsi:ijimxx:v:21:y:2017:i:05:n:s1363919617400047.

Full description at Econpapers || Download paper

Works by Dominik Wied:


YearTitleTypeCited
2016Detecting relevant changes in time series models In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article4
2013CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article6
2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2014Improved GMM estimation of random effects panel data models with spatially correlated error components In: Papers in Regional Science.
[Full Text][Citation analysis]
article0
2012TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD In: Econometric Theory.
[Full Text][Citation analysis]
article21
2017TESTING FOR CHANGES IN KENDALL’S TAU In: Econometric Theory.
[Full Text][Citation analysis]
article0
2014Automated Portfolio Optimization Based on a New Test for Structural Breaks In: Acta Universitatis Danubius. OEconomica.
[Full Text][Citation analysis]
article1
2014Multiple break detection in the correlation structure of random variables In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article9
2014A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article6
2010Improved GMM estimation of the spatial autoregressive error model In: Economics Letters.
[Full Text][Citation analysis]
article5
2015A simple and focused backtest of value at risk In: Economics Letters.
[Full Text][Citation analysis]
article0
2015Nonparametric tests for constant tail dependence with an application to energy and finance In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2019Testing for structural breaks in factor copula models In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2015Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
2016Monitoring multivariate variance changes In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article0
2014A new set of improved Value-at-Risk backtests In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article17
2016Evaluating Value-at-Risk forecasts: A new set of multivariate backtests In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article5
2012Misspecification Testing in a Class of Conditional Distributional Models In: IZA Discussion Papers.
[Full Text][Citation analysis]
paper23
2013Misspecification Testing in a Class of Conditional Distributional Models.(2013) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
article
2019Testing for constant correlation of filtered series under structural change In: Econometrics Journal.
[Full Text][Citation analysis]
article0
2013Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen In: AStA Wirtschafts- und Sozialstatistisches Archiv.
[Full Text][Citation analysis]
article3
2013Modeling different kinds of spatial dependence in stock returns In: Empirical Economics.
[Full Text][Citation analysis]
article11
2016Spatial dependence in stock returns: local normalization and VaR forecasts In: Empirical Economics.
[Full Text][Citation analysis]
article1
2019Detecting structural changes in large portfolios In: Empirical Economics.
[Full Text][Citation analysis]
article0
2012A new fluctuation test for constant variances with applications to finance In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]
article5
2018A residual-based multivariate constant correlation test In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]
article1
2011Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction In: Statistical Papers.
[Full Text][Citation analysis]
article0
2012Consistency of the kernel density estimator: a survey In: Statistical Papers.
[Full Text][Citation analysis]
article10
2013On the application of new tests for structural changes on global minimum-variance portfolios In: Statistical Papers.
[Full Text][Citation analysis]
article3
2016J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition) In: Statistical Papers.
[Full Text][Citation analysis]
article0
2017Dating multiple change points in the correlation matrix In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]
article0
2017A nonparametric test for a constant correlation matrix In: Econometric Reviews.
[Full Text][Citation analysis]
article1
2014On- and offline detection of structural breaks in thermal spraying processes In: Journal of Applied Statistics.
[Full Text][Citation analysis]
article0
2014Monitoring Stationarity and Cointegration In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 4 2019. Contact: CitEc Team