Dominik Wied

University of Cologne

Albertus-Magnus-Platz

Cologne, 50923

Germany

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 25,433

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1,854

SSRN CITATIONS
Rank 30,179

SSRN RANKINGS

Top 30,179

in Total Papers Citations

5

CROSSREF CITATIONS

16

Scholarly Papers (14)

1.

A New Set of Improved Value-at-Risk Backtests

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 26 Aug 2013 Last Revised: 08 Jul 2014
Ruhr Universität Bochum, University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 387 (76,384)
Citation 5

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Value-at-Risk, backtesting, Monte Carlo simulation

2.

Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?

Journal of Empirical Finance, Forthcoming
Number of pages: 39 Posted: 17 May 2013 Last Revised: 16 Mar 2015
Tobias Berens, Gregor N. F. Weiss and Dominik Wied
University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 307 (99,286)
Citation 2

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CCC-GARCH, DCC-GARCH, Estimation window, Structural breaks, VaR-forecast

3.

Monitoring Stationarity and Cointegration

Number of pages: 71 Posted: 01 Jul 2015
Martin Wagner and Dominik Wied
Technical University of Dortmund and University of Cologne
Downloads 257 (119,917)
Citation 3

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Cointegration, Monitoring, Stationarity, Structural Change, Unit Roots

4.

Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets

Number of pages: 34 Posted: 29 Mar 2018 Last Revised: 01 Apr 2018
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS), Technical University of Dortmund and University of Cologne
Downloads 179 (169,605)
Citation 1

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Triangular Arbitrage Parity, Foreign Exchange Markets, Cryptocurrencies, Cointegration, Monitoring

5.

A Nonparametric Test for a Constant Correlation Matrix

Forthcoming in Econometric Reviews
Number of pages: 29 Posted: 19 Jan 2014 Last Revised: 30 Oct 2014
Dominik Wied
University of Cologne
Downloads 168 (179,341)
Citation 1

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Fluctuation test; Functional delta method; Gaussian process; Local power

6.

Evaluating Value-at-Risk Forecasts: A New Set of Multivariate Backtests

Number of pages: 38 Posted: 13 Apr 2015 Last Revised: 06 Dec 2015
Dominik Wied, Gregor N. F. Weiss and Daniel Ziggel
University of Cologne, University of Leipzig - Faculty of Economics and Management Science and Ruhr Universität Bochum
Downloads 126 (228,230)
Citation 1

Abstract:

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Model Risk, Multivariate Backtesting, Value-at-Risk

7.

Spatial Dependence in Stock Returns - Local Normalization and VaR Forecasts

Forthcoming in Empirical Economics
Number of pages: 20 Posted: 06 Sep 2013 Last Revised: 31 Jan 2015
University of Duisburg-Essen, University of Duisburg-Essen, University of Cologne and University of Duisburg-Essen
Downloads 126 (226,804)

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8.

Nonparametric Tests for Constant Tail Dependence with an Application to Energy and Finance

Forthcoming in Journal of Econometrics
Number of pages: 46 Posted: 10 Apr 2014 Last Revised: 04 Feb 2015
Axel Bücher, Stefan Jäschke and Dominik Wied
Ruhr Universität Bochum, RWE Group - RWE Supply & Trading GmbH and University of Cologne
Downloads 123 (231,014)
Citation 1

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Break-point detection, Multiplier bootstrap, Tail dependence, Weak convergence

9.

Dating Multiple Change Points in the Correlation Matrix

Number of pages: 35 Posted: 03 May 2014 Last Revised: 05 May 2015
Pedro Galeano and Dominik Wied
Universidad Carlos III de Madrid - Department of Statistics and University of Cologne
Downloads 105 (258,826)
Citation 1

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Binary segmentation algorithm; Correlation matrix; CUSUM statistics; Financial returns; Multiple change point detection; Nonparametric estimation

10.

Misspecification Testing in a Class of Conditional Distributional Models

IZA Discussion Paper No. 6364
Number of pages: 38 Posted: 25 Feb 2012
Christoph Rothe and Dominik Wied
Columbia University and University of Cologne
Downloads 55 (375,666)
Citation 1

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Cramer-von Mises distance, quantile regression, distributional regression, location-scale model, bootstrap, wage distribution

11.

Residual-Based Inference on Moment Hypotheses, With an Application to Testing for Constant Correlation

Number of pages: 26 Posted: 17 Feb 2018
Matei Demetrescu and Dominik Wied
Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Cologne
Downloads 20 (527,004)

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12.

CUSUM‐Type Testing for Changing Parameters in a Spatial Autoregressive Model for Stock Returns

Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 221-229, 2013
Number of pages: 9 Posted: 22 Feb 2013
Dominik Wied
University of Cologne
Downloads 1 (657,138)
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Brownian bridge, fluctuation test, GMM estimation, spatial dependence, stock returns

13.

New Backtests for Unconditional Coverage of Expected Shortfall

Journal of Risk, 21(4), 1–21
Number of pages: 21 Posted: 14 Aug 2018
Robert Löser, Dominik Wied and Daniel Ziggel
Technical University of Dortmund, University of Cologne and FOM Fachhochschule für Oekonomie & Management gGmbH
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expected shortfall (ES), model risk, multivariate backtesting, unconditional coverage, hypothesis testing.

14.

Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

Journal of Time Series Analysis, Vol. 38, Issue 6, pp. 960-980, 2017
Number of pages: 21 Posted: 18 Oct 2017
Martin Wagner and Dominik Wied
Technical University of Dortmund and University of Cologne
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cointegration, monitoring, structural change, US housing market