Weining Wang

University of York

Professor

Department of Economics and Related Studies Univer

York, YO10 5DD

United Kingdom

affiliation not provided to SSRN

SCHOLARLY PAPERS

24

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Top 18,905

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3,728

SSRN CITATIONS
Rank 16,539

SSRN RANKINGS

Top 16,539

in Total Papers Citations

50

CROSSREF CITATIONS

16

Scholarly Papers (24)

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 K. Härdle
Stockholm University, University of Yorkaffiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 1,420 (18,712)
Citation 15

Abstract:

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

2.
Downloads 430 ( 93,362)
Citation 4

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 K. Härdle
Peking University, University of Yorkaffiliation not provided to SSRN, Peking University and Blockchain Research Center
Downloads 268 (155,467)
Citation 2

Abstract:

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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 162 (249,392)
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 K. Härdle, Chen Huang, Weining Wang and Weining Wang
Massachusetts Institute of Technology (MIT) - Department of Economics, Blockchain Research Center, Aarhus University - Department of Economics and Business Economics and University of Yorkaffiliation not provided to SSRN
Downloads 263 (159,125)
Citation 9

Abstract:

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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 225 (184,982)
Citation 3

Abstract:

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

5.

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 176 (230,940)

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

6.

Modelling Systemic Risk Using Neural Network Quantile Regression

Number of pages: 27 Posted: 29 Sep 2020
Georg Keilbar, Weining Wang and Weining Wang
Humboldt-Universität zu Berlin and University of Yorkaffiliation not provided to SSRN
Downloads 174 (233,206)
Citation 1

Abstract:

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Systemic risk, CoVaR, Quantile regression, Neural networks

7.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang K. Härdle, Weining Wang, Weining Wang and Lining Yu
Blockchain Research Center, University of Yorkaffiliation not provided to SSRN and Humboldt University of Berlin
Downloads 157 (254,180)
Citation 21

Abstract:

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

8.

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 153 (261,012)

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

9.

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 K. Härdle, Weining Wang, Weining Wang and Lixing Zhu
Renmin University of China, Blockchain Research Center, University of Yorkaffiliation not provided to SSRN and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 104 (347,418)
Citation 12

Abstract:

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

10.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang K. Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 102 (349,683)
Citation 2

Abstract:

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

11.

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 95 (365,903)

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

12.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Shih-Kang Chao, Wolfgang K. Härdle, Weining Wang and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 82 (400,351)
Citation 2

Abstract:

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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 52 (504,541)

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

14.

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 47 (526,353)

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

15.

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 14 Jul 2015
Wolfgang K. Härdle, Wei Cui, Weining Wang and Weining Wang
Blockchain Research Center, University College London and University of Yorkaffiliation not provided to SSRN
Downloads 40 (559,943)
Citation 1

Abstract:

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

16.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Wolfgang K. Härdle, Brenda López Cabrera, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 35 (586,337)

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

17.

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

Number of pages: 50 Posted: 05 Sep 2020
, 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
Downloads 33 (597,495)

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

18.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle, V. Spokoiny, Weining Wang and Weining Wang
Blockchain Research Center, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and University of Yorkaffiliation not provided to SSRN
Downloads 28 (627,724)

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

19.

The Common and Specific Components of Inflation Expectation Across European Countries

Number of pages: 33 Posted: 29 Sep 2020
Shi Chen, Wolfgang K. Härdle, Weining Wang and Weining Wang
Karlsruhe Institute of Technology - Department of Economics and Management, Blockchain Research Center and University of Yorkaffiliation not provided to SSRN
Downloads 22 (669,579)

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

20.

Uniform Confidence Bands for Pricing Kernels

SFB 649 Discussion Paper 2010-003
Number of pages: 30 Posted: 09 Jan 2017
Wolfgang K. Härdle, Yarema Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, University of Augsburg and University of Yorkaffiliation not provided to SSRN
Downloads 22 (669,579)
Citation 4

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

21.

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 K. Härdle, Ya'acov Ritov, Weining Wang and Weining Wang
Blockchain Research Center, Hebrew University of Jerusalem and University of Yorkaffiliation not provided to SSRN
Downloads 20 (684,350)

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

22.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang K. Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 20 (684,350)

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

23.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin, Weining Wang and Weining Wang
Blockchain Research Center, Humboldt University of Berlin - School of Business and Economics and University of Yorkaffiliation not provided to SSRN
Downloads 17 (707,396)

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

24.

Increasing Weather Risk: Fact or Fiction?

Number of pages: 17 Posted: 08 Jan 2017
Weining Wang, Weining Wang, Ihtiyor Bobojonov, Wolfgang K. 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 and Humboldt University of Berlin
Downloads 11 (757,555)

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