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Detecting relevant changes in time series models

Journal of the Royal Statistical Society. Series B, Statistical methodology, 2016-03, Vol.78 (2), p.371-394

2016

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Testing for relevant dependence change in financial data: a CUSUM copula approach

Empirical economics, 2021-04, Vol.60 (4), p.1875-1894

2021

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Semiparametric distribution regression with instruments and monotonicity

Labour economics, 2024-10, Vol.90, p.102565, Article 102565

Wied, Dominik

2024

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Left-truncated health insurance claims data: theoretical review and empirical application

Advances in statistical analysis : AStA : a journal of the German Statistical Society, 2024-03, Vol.108 (1), p.31-68

2024

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Estimation and inference in factor copula models with exogenous covariates

Journal of econometrics, 2023-08, Vol.235 (2), p.1500-1521

2023

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A nonparametric test for a constant correlation matrix

Econometric reviews, 2017-11, Vol.36 (10), p.1157-1172

Wied, Dominik

2017

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Testing the correct specification of a system of spatial dependence models for stock returns

Empirical economics, 2024-05, Vol.66 (5), p.2083-2103

2024

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Estimating derivatives of function-valued parameters in a class of moment condition models

Journal of econometrics, 2020-07, Vol.217 (1), p.1-19

2020

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Misspecification Testing in a Class of Conditional Distributional Models

Journal of the American Statistical Association, 2013-03, Vol.108 (501), p.314-324

2013

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Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models

Studies in nonlinear dynamics and econometrics, 2022-02, Vol.26 (1), p.1-24

2022

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A specification test for dynamic conditional distribution models with function-valued parameters

Econometric reviews, 2021-02, Vol.40 (2), p.109-127

2021

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Consistent Estimation of Multiple Breakpoints in Dependence Measures

Journal of business & economic statistics, 2024-04, Vol.42 (2), p.695-706

2024

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Multiple break detection in the correlation structure of random variables

Computational statistics & data analysis, 2014-08, Vol.76, p.262-282

2014

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Monitoring cointegration in systems of cointegrating relationships

Econometrics and statistics, 2023-01

2023

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Flexible specification testing in quantile regression models

Scandinavian journal of statistics, 2024-03, Vol.51 (1), p.355-383

2024

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Sequential monitoring of the tail behavior of dependent data

Journal of statistical planning and inference, 2017-03, Vol.182, p.29-49

2017

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Testing for structural breaks in factor copula models

Journal of econometrics, 2019-02, Vol.208 (2), p.324-345

2019

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Stochastische Prozesse: Eine Einführung für Statistiker und Datenwissenschaftler

2nd Aufl 2016th edition, 2016

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Reference class selection in similarity‐based forecasting of corporate sales growth

Journal of forecasting, 2023-08, Vol.42 (5), p.1069-1085

2023

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Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

Journal of time series analysis, 2017-11, Vol.38 (6), p.960-980

2017

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CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns

Journal of time series analysis, 2013-03, Vol.34 (2), p.221-229

Wied, Dominik

2013

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Testing for constant correlation of filtered series under structural change

The econometrics journal, 2019-01, Vol.22 (1), p.10-33

2019

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Dating multiple change points in the correlation matrix

Test (Madrid, Spain), 2017-06, Vol.26 (2), p.331-352

2017

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Truncating the exponential with a uniform distribution

Statistical papers (Berlin, Germany), 2022-08, Vol.63 (4), p.1247-1270

2022

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A residual-based multivariate constant correlation test

Metrika, 2018-08, Vol.81 (6), p.653-687

2018

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Detecting relevant changes in time series models

Testing for relevant dependence change in financial data: a CUSUM copula approach

Semiparametric distribution regression with instruments and monotonicity

Left-truncated health insurance claims data: theoretical review and empirical application

Estimation and inference in factor copula models with exogenous covariates

A nonparametric test for a constant correlation matrix

Testing the correct specification of a system of spatial dependence models for stock returns

Estimating derivatives of function-valued parameters in a class of moment condition models

Misspecification Testing in a Class of Conditional Distributional Models

Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models

A specification test for dynamic conditional distribution models with function-valued parameters

Consistent Estimation of Multiple Breakpoints in Dependence Measures

Multiple break detection in the correlation structure of random variables

Monitoring cointegration in systems of cointegrating relationships

Flexible specification testing in quantile regression models

Sequential monitoring of the tail behavior of dependent data

Testing for structural breaks in factor copula models

Stochastische Prozesse: Eine Einführung für Statistiker und Datenwissenschaftler

Reference class selection in similarity‐based forecasting of corporate sales growth

Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns

Testing for constant correlation of filtered series under structural change

Dating multiple change points in the correlation matrix

Truncating the exponential with a uniform distribution

A residual-based multivariate constant correlation test

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