Weining Wang

Humboldt University of Berlin

Junior Professor

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 31,994

SSRN RANKINGS

Top 31,994

in Total Papers Downloads

1,435

SSRN CITATIONS
Rank 27,874

SSRN RANKINGS

Top 27,874

in Total Papers Citations

11

CROSSREF CITATIONS

13

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 616 (43,066)
Citation 8

Abstract:

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

2.
Downloads 313 ( 97,814)
Citation 3

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 207 (149,012)

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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 106 (260,084)
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: 37 Posted: 05 Oct 2017 Last Revised: 29 May 2019
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and Humboldt University of Berlin
Downloads 109 (253,682)
Citation 1

Abstract:

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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 97 (274,576)
Citation 3

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 71 (331,809)
Citation 1

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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 61 (359,348)
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 (401,325)

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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 (472,059)

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 7 (638,053)

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 (535,981)

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 (553,821)
Citation 2

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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 (559,876)

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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 (598,043)

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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 (604,688)

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 (611,210)

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 (617,779)
Citation 1

Abstract:

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