Dominik Wied

University of Cologne

Albertus-Magnus-Platz

Cologne, 50923

Germany

  • University of Cologne

SCHOLARLY PAPERS

12

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32

CROSSREF CITATIONS

10

Scholarly Papers (12)

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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
Daniel Ziggel, Tobias Berens, Tobias Berens, Gregor N. F. Weiss and Dominik Wied
Ruhr University of Bochum, zeb/rolfes.schierenbeck.associatesUniversity TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 465 (119,762)
Citation 13

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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, Tobias Berens, Gregor N. F. Weiss and Dominik Wied
zeb/rolfes.schierenbeck.associatesUniversity TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 425 (133,059)
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
Department of Economics, University of Klagenfurt and University of Cologne
Downloads 355 (162,958)
Citation 4

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Cointegration, Monitoring, Stationarity, Structural Change, Unit Roots

4.

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 202 (287,213)
Citation 1

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

5.

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
Charles III University of Madrid - Department of Statistics and University of Cologne
Downloads 184 (312,369)
Citation 1

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

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 University of Bochum
Downloads 181 (317,041)
Citation 3

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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
Thilo Schmitt, Rudi Schäfer, Dominik Wied and Thomas Guhr
University of Duisburg-Essen, University of Duisburg-Essen, University of Cologne and University of Duisburg-Essen
Downloads 166 (342,211)

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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 University of Bochum, RWE Group - RWE Supply & Trading GmbH and University of Cologne
Downloads 164 (345,785)
Citation 3

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

9.

Estimating Fixed Effects Stochastic Frontier Panel Models Under ‘Wrong’ Skewness with an Application to Health Care Efficiency in Germany

Number of pages: 38 Posted: 06 May 2022 Last Revised: 02 May 2024
Rouven E. Haschka and Dominik Wied
University of Cologne and University of Cologne
Downloads 138 (397,928)
Citation 3

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Fixed effects, panel data, skewness, stochastic frontier analysis

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 80 (581,595)
Citation 6

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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 54 (710,961)

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12.

Semiparametric distribution regression with instruments and monotonicity

Number of pages: 9 Posted: 11 Dec 2022 Last Revised: 20 Jun 2024
Dominik Wied
University of Cologne
Downloads 34 (850,754)

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JEL Classification: C26, J30 Control function, endogeneity, isotonic regression, Mincer-type equations