Weining Wang

Humboldt University of Berlin

Junior Professor

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 30,833

SSRN RANKINGS

Top 30,833

in Total Papers Downloads

1,539

SSRN CITATIONS
Rank 28,797

SSRN RANKINGS

Top 28,797

in Total Papers Citations

9

CROSSREF CITATIONS

15

Scholarly Papers (15)

1.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Stockholm University, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 695 (37,545)
Citation 9

Abstract:

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

2.
Downloads 322 ( 96,884)
Citation 2

Network Quantile Autoregression

SFB 649 Discussion Paper 2016-050
Number of pages: 56 Posted: 23 Nov 2016
Peking University, Humboldt University of Berlin, Peking University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 210 (150,142)
Citation 1

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
Peking University, Humboldt University of Berlin, Peking University - Guanghua School of Management and Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)
Downloads 112 (255,197)
Citation 3

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

3.

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

Number of pages: 39 Posted: 05 Oct 2017 Last Revised: 21 Nov 2019
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and Humboldt University of Berlin
Downloads 117 (246,167)

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

4.

TENET: Tail-Event Driven NETwork Risk

Number of pages: 40 Posted: 24 Jul 2015 Last Revised: 06 Jun 2016
Wolfgang K. Härdle, Weining Wang and Lining Yu
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 101 (272,818)
Citation 4

Abstract:

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

5.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 72 (335,800)
Citation 1

Abstract:

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

6.

Composite Quantile Regression for the Single-Index Model

SFB 649 Discussion Paper 2013-010
Number of pages: 43 Posted: 05 Jan 2017
Renmin University of China, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 62 (363,539)
Citation 10

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

7.

Quantile Regression in Risk Calibration

SFB 649 Discussion Paper 2012-006
Number of pages: 26 Posted: 07 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 48 (409,020)

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

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 and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, University College London and Humboldt University of Berlin
Downloads 33 (481,437)

Abstract:

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NAIRU; New Keynesian Phillips Curve; Infation Expectation

Estimation of NAIRU with Inflation Expectation Data

SFB 649 Discussion Paper 2015-010
Number of pages: 31 Posted: 11 Dec 2017
Wei Cui, Wolfgang K. Härdle and Weining Wang
University College London, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 9 (636,361)

Abstract:

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NAIRU; New Keynesian Phillips Curve; Inflation Expectation

9.

Localising Temperature Risk

SFB 649 Discussion Paper 2011-001
Number of pages: 31 Posted: 09 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 19 (546,708)

Abstract:

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

10.

Hidden Markov Structures for Dynamic Copulae

Number of pages: 45 Posted: 02 Mar 2016
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 16 (564,964)

Abstract:

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Hidden Markov Model, Hierarchical Archimedean Copulae, Multivariate Distribution

11.

Local Quantile Regression

SFB 649 Discussion Paper 2011-005
Number of pages: 32 Posted: 09 Jan 2017
Wolfgang K. Härdle, V. Spokoiny and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Weierstras Institute for Applied Analysis and Stochastics (WIAS) and Humboldt University of Berlin
Downloads 15 (571,146)

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

12.

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
Humboldt University of Berlin - Institute for Statistics and Econometrics, Hebrew University of Jerusalem and Humboldt University of Berlin
Downloads 9 (610,430)

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

13.

HMM in Dynamic HAC Models

SFB 649 Discussion Paper 2012-001
Number of pages: 29 Posted: 07 Jan 2017
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Downloads 8 (617,107)

Abstract:

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Hidden Markov model, Hierarchical Archimedean Copulae, Multivariate Distribution

14.

Increasing Weather Risk: Fact or Fiction?

Number of pages: 17 Posted: 08 Jan 2017
Humboldt University of Berlin, Humboldt University of Berlin - Department of Agricultural Economics and Social Sciences, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 7 (623,805)

Abstract:

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

15.

Uniform Confidence Bands for Pricing Kernels

SFB 649 Discussion Paper 2010-003
Number of pages: 30 Posted: 09 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Augsburg and Humboldt University of Berlin
Downloads 6 (630,589)
Citation 3

Abstract:

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