Melanie Schienle

Karlsruhe Institute of Technology (KIT)

Professor of Econometrics

Institute of Economics (ECON)

Karlsruhe

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

949

SSRN CITATIONS

13

CROSSREF CITATIONS

0

Scholarly Papers (8)

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
Heidelberg University - Alfred Weber Institute for Economics and Karlsruhe Institute of Technology (KIT)
Downloads 305 (179,487)
Citation 3

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 235 (233,620)
Citation 5

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

3.

High-dimensional Statistical Learning Techniques for Time-varying Limit Order Book Networks

Number of pages: 56 Posted: 24 Jan 2021 Last Revised: 26 Aug 2021
Shi Chen, Wolfgang Karl Härdle and Melanie Schienle
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center Humboldt-Universität zu Berlin and Karlsruhe Institute of Technology (KIT)
Downloads 145 (358,580)

Abstract:

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limit order book, high-dimensional statistical learning, liquidity networks, high frequency dynamics, market impact, bootstrap

4.

Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests

Number of pages: 45 Posted: 04 Apr 2022 Last Revised: 24 Jun 2022
Konstantin Görgen, Jonas Meirer and Melanie Schienle
Karlsruhe Institute of Technology, affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT)
Downloads 78 (553,390)
Citation 3

Abstract:

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Generalized Random Forests, Value at Risk, Quantile Prediction, Backtesting, Cryptocurrencies, Conditional Predictive Ability

5.

Nonparametric Estimation of Risk-Neutral Densities

SFB 649 Discussion Paper 2010-021
Number of pages: 31 Posted: 10 Jan 2017
Maria Grith, Wolfgang Karl Härdle and Melanie Schienle
Erasmus University Rotterdam (EUR) - Erasmus School of Economics, Blockchain Research Center Humboldt-Universität zu Berlin and Karlsruhe Institute of Technology (KIT)
Downloads 72 (578,798)
Citation 1

Abstract:

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

6.

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 72 (578,798)

Abstract:

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

7.

Effectiveness of Policy and Regulation in European Sovereign Credit Risk Markets: A Network Analysis

ESRB: Working Paper Series No. 2019/90
Number of pages: 46 Posted: 05 Nov 2020
Rebekka Buse, Melanie Schienle and Joerg Urban
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology (KIT) and University of Basel
Downloads 42 (743,716)

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bootstrap spillover-measures, financial crises, financial stability and systemic risk in the eurozone, high-frequency cds, policy and regulation

8.

Model Diagnostics and Forecast Evaluation for Quantiles

Annual Review of Statistics and Its Application, Vol. 10, Issue 1, pp. 597-621, 2023
Posted: 15 Mar 2023
Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Institute of Automation and Applied Informatics, Karlsurhe Institute of Technology (KIT), Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Karlsruhe Institute of Technology and Karlsruhe Institute of Technology (KIT)

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