Dominik Wied : Citation Profile

Are you Dominik Wied?

Universität zu Köln

10

H index

11

i10 index

346

Citations

RESEARCH PRODUCTION:

42

Articles

9

Papers

RESEARCH ACTIVITY:

   14 years (2010 - 2024). See details.
   Cites by year: 24
   Journals where Dominik Wied has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 29 (7.73 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwi327
   Updated: 2024-11-04    RAS profile: 2024-10-08    
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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)

Panagiotidis, Theodore (12)

Hong, Yongmiao (8)

Wagner, Martin (8)

Koopman, Siem Jan (8)

Schaumburg, Julia (6)

Blasques, Francisco (6)

Lucas, Andre (6)

Herrera, Rodrigo (5)

Gottschalk, Sylvia (5)

Golosnoy, Vasyl (5)

Cites to:

Krämer, Walter (27)

Hurlin, Christophe (15)

Engle, Robert (15)

Galeano, Pedro (14)

Andrews, Donald (14)

Ploberger, Werner (12)

Bollerslev, Tim (11)

Horvath, Lajos (10)

Hansen, Bruce (9)

Rothe, Christoph (9)

Lee, Lung-Fei (8)

Main data

Where Dominik Wied has published?

Journals with more than one article published# docs
Statistical Papers5
Empirical Economics4
Journal of Econometrics4
Econometric Reviews2
Computational Statistics & Data Analysis2
Journal of Empirical Finance2
Journal of Time Series Analysis2
Studies in Nonlinear Dynamics & Econometrics2
Metrika: International Journal for Theoretical and Applied Statistics2
Journal of Banking & Finance2
Economics Letters2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6

Recent works citing Dominik Wied (2024 and 2023)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Specification tests for generalized propensity scores using double projections. (2020). Song, Xiaojun. In: Papers. RePEc:arx:papers:2003.13803.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Bivariate 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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2023Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994.

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2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2023Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach. (2023). Wang, S ; Sun, J ; McCabe, B ; Linton, O B ; Hong, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2367.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2023Characterizing correlation matrices that admit a clustered factor representation. (2023). Hansen, Peter ; Tong, Chen. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004597.

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2023Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971.

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2023Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model. (2023). Park, Hyeonseok ; Han, Fang ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002294.

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2024Hypothesis testing on high dimensional quantile regression. (2024). Liu, XU ; Cheng, Vivian Xinyi. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002415.

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2024Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). Hong, Yongmiao ; Linton, Oliver ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

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2024Reprint: Hypothesis testing on high dimensional quantile regression. (2024). Liu, XU ; Cheng, Vivian Xinyi. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003676.

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2023Rage Against the Mean – A Review of Distributional Regression Approaches. (2023). Safken, Benjamin ; Silbersdorff, Alexander ; Kneib, Thomas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:99-123.

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2023Change point estimation under a copula-based Markov chain model for binomial time series. (2023). Sun, Li-Hsien ; Lai, Ching-Chieh ; Emura, Takeshi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:120-137.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Bivariate distribution regression with application to insurance data. (2023). Oka, Tatsushi ; Wang, Yunyun ; Zhu, Dan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:215-232.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

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2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533.

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2024A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets. (2024). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Manner, Hans ; Stockler, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1385-1403.

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2023Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023Risk mitigation services in cyber insurance: optimal contract design and price structure. (2023). Scherer, Matthias ; Zeller, Gabriela. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:2:d:10.1057_s41288-023-00289-7.

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2023Dynamic spatiotemporal correlation coefficient based on adaptive weight. (2023). Yu, Xuezeng ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00437-3.

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2023Strong Consistency for the Conditional Self-weighted M Estimator of GRCA(p) Models. (2023). Wang, Xuejun ; Yu, Wei ; Yao, Chi. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-022-09975-w.

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2023A portmanteau-type test for detecting serial correlation in locally stationary functional time series. (2023). Heinrichs, Florian ; Dette, Holger ; Bucher, Axel. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09285-5.

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2023Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model. (2023). Sampi, James ; Koopman, S J ; Gorgi, P ; Blasques, F. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230007.

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2023From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom. (2023). Gottschalk, Sylvia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2843-2873.

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2023Value‐at‐risk under market shifts through highly flexible models. (2018). Nguyen, Duc Khuong ; BenSaïda, Ahmed ; Boubaker, Sabri ; Bensaida, Ahmed ; Slim, Skander. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:8:p:790-804.

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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.
[Full Text][Citation analysis]		paper14
2015Nonparametric tests for constant tail dependence with an application to energy and finance.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2022Estimation and Inference in Factor Copula Models with Exogenous Covariates In: Papers.
[Full Text][Citation analysis]		paper0
2023Estimation and inference in factor copula models with exogenous covariates.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Reference Class Selection in Similarity-Based Forecasting of Sales Growth In: Papers.
[Full Text][Citation analysis]		paper0
2023Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations In: Papers.
[Full Text][Citation analysis]		paper1
2022Semiparametric Distribution Regression with Instruments and Monotonicity In: Papers.
[Full Text][Citation analysis]		paper0
2024Semiparametric distribution regression with instruments and monotonicity.(2024) In: Labour Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Quantile Granger Causality in the Presence of Instability In: Papers.
[Full Text][Citation analysis]		paper0
2024Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference In: Papers.
[Full Text][Citation analysis]		paper0
2016Detecting relevant changes in time series models In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article12
2013CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
2014Improved GMM estimation of random effects panel data models with spatially correlated error components In: Papers in Regional Science.
[Full Text][Citation analysis]		article0
2021A monitoring procedure for detecting structural breaks in factor copula models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2022Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models In: Studies in Nonlinear Dynamics & Econometrics.
[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]		article43
2017TESTING FOR CHANGES IN KENDALL’S TAU In: Econometric Theory.
[Full Text][Citation analysis]		article6
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]		article23
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]		article2
2019Testing for structural breaks in factor copula models In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2020Estimating derivatives of function-valued parameters in a class of moment condition models In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2015Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article9
2016Monitoring multivariate variance changes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article5
2014A new set of improved Value-at-Risk backtests In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article38
2016Evaluating Value-at-Risk forecasts: A new set of multivariate backtests In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article16
2012Misspecification Testing in a Class of Conditional Distributional Models In: IZA Discussion Papers.
[Full Text][Citation analysis]		paper45
2013Misspecification Testing in a Class of Conditional Distributional Models.(2013) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		article
2019Testing for constant correlation of filtered series under structural change In: The Econometrics Journal.
[Full Text][Citation analysis]		article7
2022Model and Moment Selection in Factor Copula Models* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
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]		article28
2016Spatial dependence in stock returns: local normalization and VaR forecasts In: Empirical Economics.
[Full Text][Citation analysis]		article0
2019Detecting structural changes in large portfolios In: Empirical Economics.
[Full Text][Citation analysis]		article2
2021Testing for relevant dependence change in financial data: a CUSUM copula approach 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]		article13
2018A residual-based multivariate constant correlation test In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		article3
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]		article14
2013On the application of new tests for structural changes on global minimum-variance portfolios In: Statistical Papers.
[Full Text][Citation analysis]		article9
2016J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition) In: Statistical Papers.
[Full Text][Citation analysis]		article0
2022Truncating the exponential with a uniform distribution 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]		article2
2017A nonparametric test for a constant correlation matrix In: Econometric Reviews.
[Full Text][Citation analysis]		article10
2021A specification test for dynamic conditional distribution models with function-valued parameters 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
2024Consistent Estimation of Multiple Breakpoints in Dependence Measures In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2014Monitoring Stationarity and Cointegration In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
[Full Text][Citation analysis]		paper1

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