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Current working papers

  • M. Kaldorf, D. Wied. "Testing Constant Cross-Sectional Dependence With Time-Varying Marginal Distributions", version April 2019, supplementary material
  • T. Kutzker, D. Wied. "Testing the Correct Specification of a Spatial Dependence Panel Model for Stock Returns", version April 2019
  • H. Manner, F. Stark, D. Wied. "A Monitoring Procedure for Detecting Structural Breaks in Factor Copula Models", version March 2019
  • K. Pape, P. Galeano, D. Wied. "Sequential Detection of Parameter Changes in Dynamic Conditional Correlation Models", version February 2019, supplementary material
  • J. Reynolds, L. Sögner, M. Wagner, D. Wied. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets", version November 2018
  • V. Troster, J. Penalva, A. Taamouti, D. Wied. "Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market", version December 2019
  • V. Troster, D. Wied. "A Specification Test for Dynamic Conditional Distributions", version April 2019