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Citations
Dominik Wied : Citation Profile
Universität zu Köln | RESEARCH PRODUCTION: 50 Articles 11 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2010 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Dominik Wied. | Is cited by:
| Cites to:
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Main data
Where Dominik Wied has published?
| Working Papers Series with more than one paper published | # docs |
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| Papers / arXiv.org | 7 |
Recent works citing Dominik Wied (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
| 2025 | Principal Component Copulas for Capital Modelling and Systemic Risk. (2024). Gubbels, K B ; Ypma, J Y ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2312.13195. Full description at Econpapers || Download paper |
| 2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper |
| 2025 | Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840. Full description at Econpapers || Download paper |
| 2025 | Testing the constancy of the variance for time series with a trend. (2025). Wang, Suojin ; Cai, LI ; Jin, Lei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:208:y:2025:i:c:s0167947325000234. Full description at Econpapers || Download paper |
| 2024 | Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615. Full description at Econpapers || Download paper |
| 2025 | How to select the number of factors in break point estimation of high-dimensional factor models?. (2025). Xiang, Jingjie. In: Economics Letters. RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525003076. Full description at Econpapers || Download paper |
| 2024 | Hypothesis testing on high dimensional quantile regression. (2024). Chen, Zhao ; Liu, XU ; Cheng, Vivian Xinyi. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002415. Full description at Econpapers || Download paper |
| 2024 | Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). LINTON, OLIVER ; Hong, Yongmiao ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196. Full description at Econpapers || Download paper |
| 2024 | Reprint: Hypothesis testing on high dimensional quantile regression. (2024). Chen, Zhao ; Liu, XU ; Cheng, Vivian Xinyi. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003676. Full description at Econpapers || Download paper |
| 2024 | An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239. Full description at Econpapers || Download paper |
| 2025 | Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155. Full description at Econpapers || Download paper |
| 2024 | Multinomial backtesting of distortion risk measures. (2024). Kim, Sojung ; Bettels, Sren ; Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145. Full description at Econpapers || Download paper |
| 2024 | A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets. (2024). Rodríguez, Gabriel ; Manner, Hans ; Rodriguez, Gabriel ; Stockler, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1385-1403. Full description at Econpapers || Download paper |
| 2025 | A Two-Stage Estimation Approach to Cox Regression Under the Five-Parameter Spline Model. (2025). Emura, Takeshi ; Furukawa, Kyoji ; Teranishi, Ren. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:4:p:616-:d:1590615. Full description at Econpapers || Download paper |
| 2024 | Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies. (2024). Balter, Janine ; McNeil, Alexander J. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:1:p:13-:d:1320809. Full description at Econpapers || Download paper |
| 2024 | “Wrong” skewness and endogenous regressors in stochastic frontier models: an instrument-free copula approach with an application to estimate firm efficiency in Vietnam. (2024). Haschka, Rouven E. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:62:y:2024:i:1:d:10.1007_s11123-024-00722-6. Full description at Econpapers || Download paper |
| 2024 | Gradual change-point analysis based on Spearman matrices for multivariate time series. (2024). Quessy, Jean-Franois. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:76:y:2024:i:3:d:10.1007_s10463-023-00891-5. Full description at Econpapers || Download paper |
| 2025 | Change point estimation for Gaussian time series data with copula-based Markov chain models. (2025). Chiu, Chi-Yang ; Emura, Takeshi ; Liu, Lien-Hsi ; Wang, Yu-Kai ; Sun, Li-Hsien. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:3:d:10.1007_s00180-024-01541-x. Full description at Econpapers || Download paper |
| 2024 | How does income level, cultural values, and government support influence entrepreneurship: an integrated framework. (2024). Andoh, Comfort ; Ahakwa, Isaac ; Liang, Gao ; Dackyirekpa, Shadrack Notob. In: Journal of Global Entrepreneurship Research. RePEc:spr:jglont:v:14:y:2024:i:1:d:10.1007_s40497-024-00410-7. Full description at Econpapers || Download paper |
| 2025 | Dealing with regression models’ endogeneity by means of an adjusted estimator for the Gaussian copula approach. (2025). Taylor, Luke ; Heiler, Phillip ; Ringle, Christian M ; Bennedsen, Mikkel ; Becker, Jan-Michael ; Liengaard, Benjamin D. In: Journal of the Academy of Marketing Science. RePEc:spr:joamsc:v:53:y:2025:i:1:d:10.1007_s11747-024-01055-4. Full description at Econpapers || Download paper |
| 2024 | A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. (2024). Pietrzyk, Radosaw ; Maecka, Marta. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:5:d:10.1007_s11135-024-01866-1. Full description at Econpapers || Download paper |
| 2024 | Endogeneity in stochastic frontier models with wrong skewness: copula approach without external instruments. (2024). Haschka, Rouven E. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-024-00750-4. Full description at Econpapers || Download paper |
| 2024 | Kendall’s tau-based inference for gradually changing dependence structures. (2024). Lemyre, Flix Camirand ; Quessy, Jean-Franois. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:4:d:10.1007_s00362-023-01471-8. Full description at Econpapers || Download paper |
| 2024 | Adaptive parametric change point inference under covariance structure changes. (2024). Jandhyala, Venkata K ; Pavlopoulos, Vasileios ; Fotopoulos, Stergios B ; Kaul, Abhishek. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01495-0. Full description at Econpapers || Download paper |
| 2024 | Robust change-point detection for functional time series based on U-statistics and dependent wild bootstrap. (2024). Wendler, Martin ; Wegner, Lea. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-024-01577-7. Full description at Econpapers || Download paper |
| 2025 | On the minimum information checkerboard copula under fixed Kendall’s $$\tau $$ τ. (2025). Sei, Tomonari ; Sukeda, Issey. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01648-9. Full description at Econpapers || Download paper |
| 2025 | GMM estimation of random effects semiparametric additive SAR panel model with spatiotemporal correlated errors. (2025). Li, Shuangshuang ; Chen, Jianbao. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:3:d:10.1007_s00362-025-01687-w. Full description at Econpapers || Download paper |
| 2025 | Online convex optimization for survival analysis: an adaptive and stochastic approach. (2025). Wintenberger, Olivier ; Gaillard, Pierre ; de Vilmarest, Joseph ; Fernandez, Camila. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01706-w. Full description at Econpapers || Download paper |
| 2025 | Gaussian Transforms Modeling and the Estimation of Distributional Regression Functions. (2025). Spady, Richard H ; Stouli, Sami. In: Econometrica. RePEc:wly:emetrp:v:93:y:2025:i:5:p:1885-1913. Full description at Econpapers || Download paper |
| 2024 | New runs‐based approach to testing value at risk forecasts. (2024). Maecka, Marta. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2021-2041. Full description at Econpapers || Download paper |
Works by Dominik Wied:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Nonparametric tests for constant tail dependence with an application to energy and finance In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 14 |
| 2015 | Nonparametric 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 | |
| 2022 | Estimation and Inference in Factor Copula Models with Exogenous Covariates In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Estimation 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 | |
| 2022 | Reference Class Selection in Similarity-Based Forecasting of Sales Growth In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2024 | Asymptotic properties of endogeneity corrections using nonlinear transformations.(2024) In: The Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2022 | Semiparametric Distribution Regression with Instruments and Monotonicity In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Semiparametric distribution regression with instruments and monotonicity.(2024) In: Labour Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2024 | Quantile Granger Causality in the Presence of Instability In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Quantile Granger causality in the presence of instability.(2025) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2025 | Quantile Granger Causality in the Presence of Instability.(2025) In: VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2025 | Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Practically significant differences between conditional distribution functions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Detecting relevant changes in time series models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 13 |
| 2013 | CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
| 2017 | Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
| 2014 | Improved GMM estimation of random effects panel data models with spatially correlated error components In: Papers in Regional Science. [Full Text][Citation analysis] | article | 1 |
| 2021 | A monitoring procedure for detecting structural breaks in factor copula models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2012 | TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD In: Econometric Theory. [Full Text][Citation analysis] | article | 43 |
| 2017 | TESTING FOR CHANGES IN KENDALL’S TAU In: Econometric Theory. [Full Text][Citation analysis] | article | 9 |
| 2014 | Automated Portfolio Optimization Based on a New Test for Structural Breaks In: Acta Universitatis Danubius. OEconomica. [Full Text][Citation analysis] | article | 1 |
| 2014 | Multiple break detection in the correlation structure of random variables In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 23 |
| 2014 | A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
| 2010 | Improved GMM estimation of the spatial autoregressive error model In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2015 | A simple and focused backtest of value at risk In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2019 | Testing for structural breaks in factor copula models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2020 | Estimating derivatives of function-valued parameters in a class of moment condition models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2015 | Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
| 2016 | Monitoring multivariate variance changes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2014 | A new set of improved Value-at-Risk backtests In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 42 |
| 2016 | Evaluating Value-at-Risk forecasts: A new set of multivariate backtests In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
| 2012 | Misspecification Testing in a Class of Conditional Distributional Models In: IZA Discussion Papers. [Full Text][Citation analysis] | paper | 45 |
| 2013 | Misspecification 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 | |
| 2025 | Skewness Issues in Quantifying Efficiency: Insights from Stochastic Frontier Panel Models Based on Closed Skew Normal Approximations In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Testing for constant correlation of filtered series under structural change In: The Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
| 2022 | Model and Moment Selection in Factor Copula Models* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| New backtests for unconditional coverage of expected shortfall In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
| 2024 | Left-truncated health insurance claims data: theoretical review and empirical application In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 0 |
| 2013 | Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen In: AStA Wirtschafts- und Sozialstatistisches Archiv. [Full Text][Citation analysis] | article | 3 |
| 2013 | Modeling different kinds of spatial dependence in stock returns In: Empirical Economics. [Full Text][Citation analysis] | article | 28 |
| 2016 | Spatial dependence in stock returns: local normalization and VaR forecasts In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Detecting structural changes in large portfolios In: Empirical Economics. [Full Text][Citation analysis] | article | 2 |
| 2021 | Testing for relevant dependence change in financial data: a CUSUM copula approach In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2024 | Testing the correct specification of a system of spatial dependence models for stock returns In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2012 | A new fluctuation test for constant variances with applications to finance In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 14 |
| 2018 | A residual-based multivariate constant correlation test In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Statistik bei der Risikobewertung von Bankenportfolios In: Springer Books. [Citation analysis] | chapter | 0 |
| 2011 | Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
| 2012 | Consistency of the kernel density estimator: a survey In: Statistical Papers. [Full Text][Citation analysis] | article | 14 |
| 2013 | On the application of new tests for structural changes on global minimum-variance portfolios In: Statistical Papers. [Full Text][Citation analysis] | article | 9 |
| 2016 | J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition) In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
| 2022 | Truncating the exponential with a uniform distribution In: Statistical Papers. [Full Text][Citation analysis] | article | 2 |
| 2017 | Dating 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] | article | 2 |
| 2017 | A nonparametric test for a constant correlation matrix In: Econometric Reviews. [Full Text][Citation analysis] | article | 10 |
| 2021 | A specification test for dynamic conditional distribution models with function-valued parameters In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2014 | On- and offline detection of structural breaks in thermal spraying processes In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 0 |
| 2024 | Consistent Estimation of Multiple Breakpoints in Dependence Measures In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2023 | Reference class selection in similarity‐based forecasting of corporate sales growth In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2014 | Monitoring Stationarity and Cointegration In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. [Full Text][Citation analysis] | paper | 1 |
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