Melanie Schienle

Karlsruhe Institute of Technology (KIT)

Professor of Econometrics

Institute of Economics (ECON)

Karlsruhe

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

445

CITATIONS

0

Scholarly Papers (4)

1.

Testing for an Omitted Multiplicative Long-Term Component in GARCH Models

Journal of Business & Economic Statistics, Forthcoming.
Number of pages: 58 Posted: 18 Jul 2015 Last Revised: 15 Jun 2018
Christian Conrad and Melanie Schienle
University of Heidelberg - Faculty of Economics and Social Studies and Karlsruhe Institute of Technology (KIT)
Downloads 193 (144,340)

Abstract:

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GARCH-MIDAS, LM test, Long-term Volatility, Volatility Component Models

2.

Systemic Risk Spillovers in the European Banking and Sovereign Network

CFS Working Paper, No. 467
Number of pages: 33 Posted: 04 Oct 2014
European Union - European Investment Bank, University of Vienna - Department of Statistics and Operations Research, European Central Bank (ECB) and Karlsruhe Institute of Technology (KIT)
Downloads 189 (147,197)

Abstract:

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systemic risk contribution, tail dependence, network topology, sovereignbank linkages, Value-at-Risk

3.

Systemic Risk Spillovers in the European Banking and Sovereign Network

Number of pages: 30 Posted: 01 Oct 2014
European Union - European Investment Bank, University of Vienna - Department of Statistics and Operations Research, European Central Bank (ECB) and Karlsruhe Institute of Technology (KIT)
Downloads 38 (398,771)

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systemic risk contribution; tail dependence; network topology; sovereign-bank linkages; Value-at-Risk

4.

Nonparametric Estimation of Risk-Neutral Densities

SFB 649 Discussion Paper 2010-021
Number of pages: 31 Posted: 10 Jan 2017
Maria Grith, Wolfgang K. Härdle and Melanie Schienle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Karlsruhe Institute of Technology (KIT)
Downloads 25 (455,321)

Abstract:

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Risk neutral density, Pricing kernel, Kernel smoothing, Local polynomials, Series methods