IRTG 1792 Discussion Papers
From Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Contact information at EDIRC.
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- 2022-001: Hedging cryptos with Bitcoin futures
- Francis Liu, Natalie Packham, Meng-Jou Lu and Wolfgang Härdle
- 2021-023: Networks of news and cross-sectional returns
- Junjie Hu and Wolfgang Härdle
- 2021-022: A financial risk meter for China
- Ruting Wang, Michael Althof and Wolfgang Härdle
- 2021-021: Hedging cryptocurrency options
- Jovanka Matic, Natalie Packham and Wolfgang Härdle
- 2021-020: Advanced statistical learning on short term load process forecasting
- Junjie Hu, Brenda López Cabrera and Awdesch Melzer
- 2021-019: Understanding jumps in high frequency digital asset markets
- Danial Saef, Odett Nagy, Sergej Sizov and Wolfgang Härdle
- 2021-018: Robustifying Markowitz
- Wolfgang Härdle, Yegor Klochkov, Alla Petukhina and Nikita Zhivotovskiy
- 2021-017: Green financial development improving energy efficiency and economic growth: A study of CPEC area in COVID-19 era
- Linyun Zhang, Feiming Huang, Lu Lu and Xinwen Ni
- 2021-016: A time-varying network for cryptocurrencies
- Li Guo, Wolfgang Härdle and Yubo Tao
- 2021-015: High-dimensional statistical learning techniques for time-varying limit order book networks
- Shi Chen, Wolfgang Härdle and Melanie Schienle
- 2021-014: Indices on cryptocurrencies: An evaluation
- Konstantin Häusler and Hongyu Xia
- 2021-013: Penalized weigted competing risks models based on quantile regression
- Erqian Li, Wolfgang Härdle, Xiaowen Dai and Maozai Tian
- 2021-012: Correlation scenarios and correlation stress testing
- Natalie Packham and Fabian Woebbeking
- 2021-011: Valuing cryptocurrencies: Three easy pieces
- Michael Burda
- 2021-010: A data-driven explainable case-based reasoning approach for financial risk detection
- Wei Li, Florentina Paraschiv and Georgios Sermpinis
- 2021-009: Von den Mühen der Ebenen und der Berge in den Wissenschaften
- Annette Vogt
- 2021-008: Financial Risk Meter based on expectiles
- Rui Ren, Meng-Jou Lu, Yingxing Li and Wolfgang Härdle
- 2021-007: Rodeo or ascot: Which hat to wear at the crypto race?
- Konstantin Häusler and Wolfgang Härdle
- 2021-006: Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies
- Yi-Hsuan Chen and Dmitri V. Vinogradov
- 2021-005: CATE meets ML: Conditional average treatment effect and machine learning
- Daniel Jacob
- 2021-004: Understanding Smart Contracts: Hype or hope?
- Elizaveta Zinovyev, Raphael Reule and Wolfgang Härdle
- 2021-003: K-expectiles clustering
- Bingling Wang, Yingxing Li and Wolfgang Härdle
- 2021-002: FRM Financial Risk Meter for Emerging Markets
- Souhir Ben Amor, Michael Althof and Wolfgang Härdle
- 2021-001: Surrogate Models for Optimization of Dynamical Systems
- Kainat Khowaja, Mykhaylo Shcherbatyy and Wolfgang Härdle
- 2020-028: Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis
- Rui Ren, Michael Althof and Wolfgang Härdle
- 2020-027: Blockchain mechanism and distributional characteristics of cryptos
- Min-Bin Lin, Kainat Khowaja, Cathy Yi-Hsuan Chen and Wolfgang Härdle
- 2020-026: Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition
- Kainat Khowaja, Danial Saef, Sergej Sizov and Wolfgang Härdle
- 2020-025: Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
- Konul Mustafayeva and Weining Wang
- 2020-024: Dynamic Spatial Network Quantile Autoregression
- Xiu Xu, Weining Wang and Yongcheol Shin
- 2020-023: The common and speci fic components of inflation expectation across European countries
- Shi Chen, Wolfgang Härdle and Weining Wang
- 2020-022: Tail Event Driven Factor Augmented Dynamic Model
- Weining Wang, Lining Yu and Bingling Wang
- 2020-021: Improved Estimation of Dynamic Models of Conditional Means and Variances
- Weining Wang, Jeffrey Wooldridge and Mengshan Xu
- 2020-020: Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
- Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang
- 2020-019: Inference of breakpoints in high-dimensional time series
- Likai Chen, Weining Wang and Wei Biao Wu
- 2020-018: A supreme test for periodic explosive GARCH
- Stefan Richter, Weining Wang and Wei Biao Wu
- 2020-017: Using generalized estimating equations to estimate nonlinear models with spatial data
- Cuicui Lu, Weining Wang and Jeffrey Wooldridge
- 2020-016: A data-driven P-spline smoother and the P-Spline-GARCH models
- Yuanhua Feng and Wolfgang Härdle
- 2020-015: Tail-risk protection: Machine Learning meets modern Econometrics
- Bruno Spilak and Wolfgang Härdle
- 2020-014: Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects
- Daniel Jacob
- 2020-013: A Machine Learning Based Regulatory Risk Index for Cryptocurrencies
- Xinwen Ni, Wolfgang Härdle and Taojun Xie
- 2020-012: On Cointegration and Cryptocurrency Dynamics
- Georg Keilbar and Yanfen Zhang
- 2020-011: The Effect of Control Measures on COVID-19 Transmission and Work Resumption: International Evidence
- Lina Meng, Yinggang Zhou, Ruige Zhang, Zhen Ye, Senmao Xia, Giovanni Cerulli, Carter Casady and Wolfgang Härdle
- 2020-010: Kernel Estimation: the Equivalent Spline Smoothing Method
- Wolfgang Härdle and Michael Nussbaum
- 2020-009: CRIX an Index for cryptocurrencies
- Simon Trimborn and Wolfgang Härdle
- 2020-008: Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function
- Kun Ho Kim, Shih-Kang Chao and Wolfgang Härdle
- 2020-007: Deep Learning application for fraud detection in financial statements
- Patricia Craja, Alisa Kim and Stefan Lessmann
- 2020-006: Forex exchange rate forecasting using deep recurrent neural networks
- Alexander Jakob Dautel, Wolfgang Härdle, Stefan Lessmann and Hsin-Vonn Seow
- 2020-005: Targeting Cutsomers Under Response-Dependent Costs
- Johannes Haupt and Stefan Lessmann
- 2020-004: Factorisable Multitask Quantile Regression
- Shih-Kang Chao, Wolfgang Härdle and Ming Yuan
- 2020-003: Structured climate financing: valuation of CDOs on inhomogeneous asset pools
- Natalie Packham
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