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Refereed publications in scientific journals

The type-setted and copy-edited versions can be requested by e-mail.

  1. T. Kutzker, F. Stark, D. Wied. "Testing for Relevant Dependence Change in Financial Data: A CUSUM Copula Approach", Empirical Economics, forthcoming, 2019+, doi, postprint, supplementary material
  2. F. Duan, H. Manner, D. Wied. "Model and Moment Selection in Factor Copula Models", Journal of Financial Econometrics, forthcoming, 2019+, postprint, supplementary material, MATLAB-code
  3. C. Rothe, D. Wied. "Estimating Derivatives of Function-Valued Parameters in a Class of Moment Condition Models", Journal of Econometrics, forthcoming, 2019+, postprint
  4. R. Löser, D. Wied, D. Ziggel. "New Backtests for Unconditional Coverage of the Expected Shortfall", Journal of Risk, 21(4), 39--60, 2019, online, postprint, R-Code
  5. P. Posch, D. Ullmann, D. Wied. "Testing for Structural Changes in Large Portfolios", Empirical Economics, 56(4), 1341-1357, 2019, doi, postprint
  6. M. Demetrescu, D. Wied. "Testing for Constant Correlaton of Filtered Series Under Structural Change", Econometrics Journal, 22(1), 10-33, 2019, doi, postprint, supplementary material
  7. H. Manner, F. Stark, D. Wied. "Testing for Structural Breaks in Factor Copula Models", Journal of Econometrics, 208(2), 324-345, 2019, doi, postprint
  8. F. Duan, D. Wied. "A Residual-Based Multivariate Constant Correlation Test", Metrika, 81(6), 653-687, 2018, doi, postprint
  9. H. Dehling, D. Vogel, M. Wendler, D. Wied. "Testing for Changes in Kendall's Tau", Econometric Theory, 33(6), 1352-1386, 2017, doi, postprint, supplementary material
  10. M. Wagner, D. Wied. "Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis", Journal of Time Series Analysis, 38(6), 960-980, 2017, doi, postprint, supplementary material
  11. P. Galeano, D. Wied. "Dating Multiple Change Points in the Correlation Matrix", TEST, 26(2), 331-352, 2017, doi, postprint, supplementary material
  12. Y. Hoga, D. Wied. "Sequential Monitoring of the Tail Behavior of Dependent Data", Journal of Statistical Planning and Inference, 182, 29-49, 2017, doi, postprint
  13. D. Wied. "A Nonparametric Test for a Constant Correlation Matrix", Econometric Reviews, 36(10), 1157-1172, 2017, doi, postprint
  14. M. Arnold, N. Raabe, D. Wied. "Identifying Different Areas of Inhomogeneous Mineral Subsoil: Spatial Fluctuation Approaches", Communications in Statistics - Simulation and Computation, 45(1), 252-263, 2016, doi, postprint (earlier separate working paper with additional simulations: pdf)
  15. H. Dette, D. Wied. "Detecting Relevant Changes in Time Series Models", Journal of the Royal Statistical Society Series B, 78(2), 371-394, 2016, doi, postprint, R-code
  16. K. Pape, D. Wied, P. Galeano. "Monitoring Multivariate Variance Changes", Journal of Empirical Finance, 39(A), 54-68, 2016, doi, postprint, supplementary material
  17. T. Schmitt, R. Schäfer, D. Wied, T. Guhr. "Spatial Dependence in Stock Returns - Local Normalization and VaR Forecasts", Empirical Economics, 50(3), 1091-1109, 2016, doi, postprint
  18. D. Wied, G. Weiß, D. Ziggel. "Evaluating Value-at-Risk Forecasting: A New Set of Multivariate Backtests", Journal of Banking and Finance, 72, 121-132, 2016, doi, postprint
  19. W. Krämer, D. Wied. "A Simple and Focused Backtest of Value at Risk", Economics Letters, 137, 29-31, 2015, doi, postprint
  20. T. Berens, G. Weiß, D. Wied. "Testing for Structural Breaks in Correlations: Does It Improve Value-at-Risk Forecasting?", Journal of Empirical Finance, 35, 135-152, 2015, doi, postprint
  21. A. Bücher, S. Jäschke, D. Wied. "Nonparametric Tests for Constant Tail Dependence With an Application to Energy and Finance", Journal of Econometrics, 187(1), 154-168, 2015, doi, postprint
  22. D. Ziggel, T. Berens, G. Weiß, D. Wied. "A New Set of Improved Value-at-Risk Backtests", Journal of Banking and Finance, 48, 29-41, 2014, doi, postprint, code
  23. M. Arnold, D. Wied. "Improved GMM estimation of Random Effects Panel Data Models With Spatially Correlated Error Components", Papers in Regional Science, 93(1), 77-99, 2014, doi, postprint
  24. T. Berens, D. Wied, D. Ziggel. "Automated Portfolio Optimization Based on a New Test for Structural Breaks", Acta Universitatis Danubius: Œconomica, 10(2), 241-262, 2014, link, pdf
  25. M. Borowski, N. Rudak, B. Hussong, D. Wied, S. Kuhnt, W. Tillmann. "On- and Offline Detection of Structural Breaks in Thermal Spraying Processes", Journal of Applied Statistics, 41(5), 1073-1090, 2014, doi, postprint
  26. P. Galeano, D. Wied. "Multiple Break Detection in the Correlation Structure of Random Variables", Computational Statistics and Data Analysis, 76, 262-282, 2014, doi, postprint
  27. D. Wied, H. Dehling, M. van Kampen, D. Vogel. "A Fluctuation Test for Constant Spearman's rho With Nuisance-free Limit Distribution", Computational Statistics and Data Analysis, 76, 723-736, 2014, doi, postprint
  28. M. Arnold, S. Stahlberg, D. Wied. "Modeling Different Kinds of Spatial Dependence in Stock Returns", Empirical Economics, 44(2), 761-774, 2013, doi, postprint
  29. C. Rothe, D. Wied. "Misspecification Testing in a Class of Conditional Distributional Models", Journal of the American Statistical Association, 108(501), 314-324, 2013, R-code, doi, postprint
  30. D. Wied. "CUSUM-type Testing for Changing Parameters in a Spatial Autoregressive Model for Stock Returns", Journal of Time Series Analysis, 34(1), 221-229, 2013, doi, postprint
  31. D. Wied, M. Arnold, N. Bissantz, D. Ziggel. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen", AStA Wirtschafts- und Sozialstatistisches Archiv, 6(3-4), 87-103, 2013, doi, postprint (in German; earlier version in English: pdf)
  32. D. Wied, P. Galeano. "Monitoring Correlation Change in a Sequence of Random Variables", Journal of Statistical Planning and Inference, 143(1), 186-196, 2013, doi, postprint
  33. D. Wied, D. Ziggel, T. Berens. "On the Application of New Tests for Structural Changes on Global Minimum-Variance Portfolios", Statistical Papers, 54(4), 955-975, 2013, doi, postprint
  34. D. Wied, M. Arnold, N. Bissantz, D. Ziggel. "A New Fluctuation Test for Constant Variances With Applications to Finance", Metrika, 75(8), 1111-1127, 2012, doi, postprint
  35. D. Wied, W. Krämer, H. Dehling. "Testing for a Change in Correlation at an Unknown Point in Time Using an Extended Functional Delta Method", Econometric Theory, 28(3), 570-589, 2012, doi, pdf, R-Code (Copyright: Cambridge University Press); earlier separate working paper about the delta method: pdf
  36. D. Wied, R. Weißbach. "Consistency of the Kernel Density Estimator: A Survey", Statistical Papers, 53(1), 1-21, 2012, doi, postprint
  37. M. Arnold, D. Wied. "Improved GMM Estimation of the Spatial Autoregressive Error Model", Economics Letters, 108(1), 65-68, 2010, doi, postprint