Weining Wang

affiliation not provided to SSRN

University of York

Professor

Department of Economics and Related Studies Univer

York, YO10 5DD

United Kingdom

  • University of York

SCHOLARLY PAPERS

26

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4,943

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Top 13,063

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92

CROSSREF CITATIONS

15

Scholarly Papers (26)

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1.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Ai Jun Hou, Weining Wang, Weining Wang, Cathy Yi‐Hsuan Chen and Wolfgang Karl Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 1,617 (19,583)
Citation 15

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Cryptocurrency IndeX, CRIX, Bitcoin, Cryptocurrency, SVCJ, Option pricing, OCRIX

2.

Network Quantile Autoregression

Downloads 489 (100,735)
Citation 8

Network Quantile Autoregression

SFB 649 Discussion Paper 2016-050
Number of pages: 56 Posted: 23 Nov 2016
Xuening Zhu, Weining Wang, Weining Wang, Hangsheng Wang and Wolfgang Karl Härdle
Peking University, University of Yorkaffiliation not provided to SSRN, Peking University and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 294 (176,855)
Citation 2

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Social Network, Quantile Regression, Autoregression, Systemic Risk, Financial Contagion, Shared Ownership

Network Quantile Autoregression

Number of pages: 30 Posted: 28 Apr 2018
Xuening Zhu, Weining Wang, Weining Wang, Hansheng Wang and Karl Wolfgang
Peking University, University of Yorkaffiliation not provided to SSRN, Peking University - Guanghua School of Management and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 195 (264,263)
Citation 3

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Social Network; Quantile Regression; Autoregression; Systemic Risk; Financial Contagion; Shared Ownership

3.

LASSO-Driven Inference in Time and Space

Number of pages: 76 Posted: 15 Jun 2018 Last Revised: 15 May 2020
Victor Chernozhukov, Wolfgang Karl Härdle, Chen Huang, Weining Wang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Blockchain Research Center Humboldt-Universität zu Berlin, Aarhus University - Department of Economics and Business Economics and University of Yorkaffiliation not provided to SSRN
Downloads 321 (162,275)
Citation 13

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LASSO, Time Series, Simultaneous Inference, System of Equations, Z-estimation, Bahadur Representation, Martingale Decomposition

4.

Inference of Break-Points in High-Dimensional Time Series

Number of pages: 73 Posted: 29 Sep 2020
Likai Chen, Weining Wang, Weining Wang and Weibiao Wu
University of Chicago - Department of Statistics, University of Yorkaffiliation not provided to SSRN and University of Chicago - Department of Statistics
Downloads 301 (173,577)
Citation 4

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high-dimensional time series, multiple change-points, Gaussian approximation, nonparametric estimation, heavy tailed, long-run covariance matrix

5.

Modelling Systemic Risk Using Neural Network Quantile Regression

Number of pages: 27 Posted: 29 Sep 2020
Georg Keilbar, Weining Wang and Weining Wang
University of Vienna - Department of Statistics and Operations Research and University of Yorkaffiliation not provided to SSRN
Downloads 239 (218,883)
Citation 1

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Systemic risk, CoVaR, Quantile regression, Neural networks

6.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang Karl Härdle, Weining Wang, Weining Wang and Lining Yu
Blockchain Research Center Humboldt-Universität zu Berlin, University of Yorkaffiliation not provided to SSRN and Humboldt University of Berlin
Downloads 229 (228,263)
Citation 21

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Systemic Risk, Systemic Risk Network, Generalized Quantile, Quantile Single-Index Regression, Value at Risk, CoVaR, Lasso

7.

Dynamic Network Quantile Regression Model

Number of pages: 83 Posted: 29 Sep 2020 Last Revised: 15 Nov 2021
Xiu Xu, Weining Wang, Weining Wang, Yongcheol Shin and Chaowen Zheng
Soochow University, University of Yorkaffiliation not provided to SSRN, University of York (UK) - Department of Economics and Related Studies and University of York - Department of Economics and Related Studies
Downloads 216 (242,104)
Citation 1

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Dynamic Network Quantile Regression Model, Simultaneous Network Endogeneity, IVQR Estimator, Quantile Connectedness

8.

Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 16 Aug 2021
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou, Weining Wang and Weining Wang
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and University of Yorkaffiliation not provided to SSRN
Downloads 200 (258,698)

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long-run betas; short-run betas; risk premia; business cycles; component GARCH model; MIDAS

9.

Improved Estimation of Dynamic Models of Conditional Means and Variances

Number of pages: 35 Posted: 29 Sep 2020
Weining Wang, Weining Wang, Jeffrey M. Wooldridge and Mengshan Xu
University of Yorkaffiliation not provided to SSRN, Michigan State University - Department of Economics and London School of Economics & Political Science (LSE)
Downloads 156 (321,080)

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Dynamic Models, GEE, QMLE, GARCH, Optimal Instrument, Efficiency

10.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 146 (339,020)
Citation 2

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lasso, quantile regression, systemic risk, high dimensions, penalization parameter

11.

Composite Quantile Regression for the Single-Index Model

SFB 649 Discussion Paper 2013-010
Number of pages: 43 Posted: 05 Jan 2017
Yan Fan, Wolfgang Karl Härdle, Weining Wang, Weining Wang and Lixing Zhu
Renmin University of China, Blockchain Research Center Humboldt-Universität zu Berlin, University of Yorkaffiliation not provided to SSRN and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 142 (346,642)
Citation 13

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Quantile Single-index Regression, Minimum Average Contrast Estimation, Co-VaR estimation, Composite quasi-maximum likelihood estimation, Lasso, Model selection

12.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Shih-Kang Chao, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 119 (396,382)
Citation 2

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CoVaR, Value-at-Risk, quantile regression, locally linear quantile regression, partial linear model, semiparametric model

13.

Testing for parameter change epochs in GARCH time series

Number of pages: 51 Posted: 22 Mar 2021
Weining Wang, Weining Wang, Wei Biao Wu and Stefan Richter
University of Yorkaffiliation not provided to SSRN, University of Chicago and affiliation not provided to SSRN
Downloads 97 (458,074)

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GARCH, IGARCH, Change-point Analysis, Concentration Inequalities, Uniform Test

14.

Peer Effects and Club Selections of a Unique Online Fishing Game

Number of pages: 31 Posted: 12 Aug 2022 Last Revised: 24 Dec 2022
Rui Ren, francis de vericourt, Weining Wang, Weining Wang and Ya Qian
Humboldt University of Berlin, ESMT European School of Management and Technology, University of Yorkaffiliation not provided to SSRN and Humboldt University of Berlin
Downloads 70 (556,768)

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peer effects, social interaction, self-selection, online games, decision making, data-driven analytics, digital business model

15.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Brenda López Cabrera, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 70 (556,768)

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weather derivatives, localising temperature residuals, seasonality, local model selection

16.

Dynamic Semiparametric Factor Model with Structural Breaks

Number of pages: 32 Posted: 16 Jun 2018 Last Revised: 18 Oct 2018
Likai Chen, Weining Wang, Weining Wang and Weibiao Wu
University of Chicago - Department of Statistics, University of Yorkaffiliation not provided to SSRN and University of Chicago - Department of Statistics
Downloads 67 (569,899)

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high dimensional time series, break point inference, temporal and cross-sectional dependence, vector autoregressive process

17.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang Karl Härdle, V. Spokoiny, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Yorkaffiliation not provided to SSRN
Downloads 60 (602,412)

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Conditional Quantiles, Semiparametric and Nonparametric Methods, Asymmetric Laplace Distribution, Exponential Risk Bounds, Adaptive Bandwidth Selection

18.

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 14 Jul 2015
Wolfgang Karl Härdle, Wei Cui, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University College London and University of Yorkaffiliation not provided to SSRN
Downloads 58 (612,562)
Citation 1

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

19.

Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting

Number of pages: 50 Posted: 05 Sep 2020
Xinjue Li, Lenka Zboňáková, Lenka Zboňáková, Weining Wang, Weining Wang and Wolfgang Karl Härdle
, Humboldt University of Berlin - Institute for Statistics and EconometricsHumboldt University of Berlin - Center for Applied Statistics and Economics (CASE), University of Yorkaffiliation not provided to SSRN and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 51 (650,108)

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SCAD penalty, propagation-separation, adaptive window choice, multiplier bootstrap, bond risk premia

20.

Uniform Confidence Bands for Pricing Kernels

SFB 649 Discussion Paper 2010-003
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang Karl Härdle, Yarema Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, University of Augsburg and University of Yorkaffiliation not provided to SSRN
Downloads 49 (661,350)
Citation 6

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Empirical Pricing Kernel, Confidence band, Bootstrap, Kernel Smoothing, Non-parametric

21.

The Common and Specific Components of Inflation Expectation Across European Countries

Number of pages: 33 Posted: 29 Sep 2020
Shi Chen, Wolfgang Karl Härdle, Weining Wang and Weining Wang
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 48 (667,182)

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inflation expectation, joint yield-curve modeling, factor model, common trend, spatial-temporal copula

22.

Tie the Straps: Uniform Bootstrap Confidence Bands for Bounded Influence Curve Estimators

SFB 649 Discussion Paper 2013-047
Number of pages: 33 Posted: 05 Jan 2017
Wolfgang Karl Härdle, Ya'acov Ritov, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Hebrew University of Jerusalem and University of Yorkaffiliation not provided to SSRN
Downloads 45 (685,404)

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Nonparametric Regression, Bootstrap, Quantile Regression, Confidence Bands, Additive Model, Robust Statistics

23.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang Karl Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 44 (691,712)
Citation 1

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

24.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang Karl Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center Humboldt-Universität zu Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 41 (711,244)

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

25.

Increasing Weather Risk: Fact or Fiction?

Number of pages: 17 Posted: 08 Jan 2017
Weining Wang, Weining Wang, Ihtiyor Bobojonov, Wolfgang Karl Härdle and Martin Odening
University of Yorkaffiliation not provided to SSRN, Humboldt University of Berlin - Department of Agricultural Economics and Social Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 35 (753,316)

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weather extremes, agricultural risk, change point test, quantile regressions

26.

Beta-Sorted Portfolios

FRB of New York Staff Report No. 1068, https://doi.org/10.59576/sr.1068
Number of pages: 103 Posted: 28 Jul 2023
Matias D. Cattaneo, Richard K. Crump, Weining Wang and Weining Wang
Princeton University, Federal Reserve Banks - Federal Reserve Bank of New York and University of Yorkaffiliation not provided to SSRN
Downloads 33 (768,222)

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beta pricing models, portfolio sorting, nonparametric estimation, partitioning, kernel regression, smoothly varying coefficients