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Wirtschafts- und Sozialwissenschaftliche FakultätInstitut für Ökonometrie und Statistik

Refereed publications in scientific journals

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

  1. S. Knappe, D. Wied, T. Jansen. “Unveiling Spatial Dependencies - Investigating the Determinants of Firm Exit in Germany”, Journal of Regional Science, forthcoming, 2025+, doi, postprint
  2. A. Mayer, D. Wied. "Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference", Oxford Bulletin of Economics and Statistics, 88(1), 45-56, 2026, doi, postprint
  3. E. Theising, D. Wied. "Monitoring Cointegration in Systems of Cointegrating Relationships", Econometrics and Statistics, 37, 61-88, 2026, doi, postprint, R-codes and critical values
  4. R.E. Haschka, D. Wied. "Estimating Fixed Effects Stochastic Frontier Panel Models Under ‘Wrong’ Skewness with an Application to Health Care Efficiency in Germany", Computational Economics, 66, 4381-4416, 2025, doi, postprint
  5. A. Mayer, D. Wied, V. Troster. “Quantile Granger causality in the Presence of Instability”, Journal of Econometrics, 249, 105992, 2025, doi, pdf
  6. T. Kutzker, D. Wied. "Testing the Correct Specification of a System of Spatial Dependence Models for Stock Returns", Empirical Economics, 66(5), 2083-2101, 2024, doi, postprint
  7. J. Breitung, A. Mayer, D. Wied. "Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations", Econometrics Journal, 27(3), 362--383, 2024, doi, postprint, R-code
  8. D. Wied. "Semiparametric Distribution Regression with Instruments and Monotonicity", Labour Economics, 2024, 90, 102565, doi, postprint, R-Code
  9. M. Borsch, A. Mayer, D. Wied. "Consistent Estimation of Multiple Breakpoints in Dependence Measures", Journal of Business and Economic Statistics, 42(2), 695-706, 2024, doi, postprint
  10. R. Weißbach, A. Dörre, D. Wied, G. Doblhammer, A. Fink. "Left-Truncated Health Insurance Claims Data: Theoretical Review and Empirical Application", AStA Advances in Statistical Analysis, 108(1), 31-68, 2024, doi, postprint
  11. T. Kutzker, N. Klein, D. Wied. "Flexible Specification Testing in Semi-Parametric Quantile Regression Models", Scandinavian Journal of Statistics, forthcoming, 51(1), 353-383, 2024, doi, postprint
  12. E. Theising, D. Wied, D. Ziggel. "Reference Class Selection in Similarity-Based Forecasting of Sales Growth", Journal of Forecasting, forthcoming, 42(5), 1069-1085, 2023, doi, postprint, additional material
  13. A. Mayer, D. Wied. "Estimation and Inference in Factor Copula Models with Exogenous Covariates", Journal of Econometrics, 235(2), 1500-1521, 2023, doi, postprint, MATLAB-Code
  14. F. Duan, H. Manner, D. Wied. "Model and Moment Selection in Factor Copula Models", Journal of Financial Econometrics, 20(1), 45-75, 2022, doi, postprint, supplementary material, MATLAB-code
  15. M. Kaldorf, D. Wied. "Testing Constant Cross-Sectional Dependence With Time-Varying Marginal Distributions", Studies in Nonlinear Dynamics & Econometrics, 26(1), 1-22, 2022, doi, postprint, supplementary material
  16. R. Weißbach, D. Wied. "Truncating the Exponential with a Uniform Distribution", Statistical Papers, 63, 1247-1270, 2022, doi, postprint
  17. T. Kutzker, F. Stark, D. Wied. "Testing for Relevant Dependence Change in Financial Data: A CUSUM Copula Approach", Empirical Economics, 60, 1875-1894, 2021, doi, postprint, supplementary material
  18. H. Manner, F. Stark, D. Wied. "A Monitoring Procedure for Detecting Structural Breaks in Factor Copula Models", Studies in Nonlinear Dynamics & Econometrics, 25(4), 171-192, 2021, doi, postprint
  19. K. Pape, P. Galeano, D. Wied. "Sequential Detection of Parameter Changes in Dynamic Conditional Correlation Models", Applied Stochastic Models in Business and Industry, 37(3), 475-495, 2021, doi, postprint
  20. V. Troster, J. Penalva, A. Taamouti, D. Wied. "Cointegration, Information Transmission, and the Lead-Lag Effect between Industry Portfolios and the Stock Market", Journal of Forecasting, 40(7), 1291-1309, 2021, doi, postprint
  21. V. Troster, D. Wied. "A Specification Test for Dynamic Conditional Distributions", Econometric Reviews, 40(2), 109-127, 2021, doi, postprint
  22. C. Rothe, D. Wied. "Estimating Derivatives of Function-Valued Parameters in a Class of Moment Condition Models", Journal of Econometrics, 217(1), 1-19, 2020, doi, postprint, R-Code
  23. 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
  24. P. Posch, D. Ullmann, D. Wied. "Testing for Structural Changes in Large Portfolios", Empirical Economics, 56(4), 1341-1357, 2019, doi, postprint
  25. M. Demetrescu, D. Wied. "Testing for Constant Correlation of Filtered Series Under Structural Change", Econometrics Journal, 22(1), 10-33, 2019, doi (including R-code), postprint, supplementary material
  26. H. Manner, F. Stark, D. Wied. "Testing for Structural Breaks in Factor Copula Models", Journal of Econometrics, 208(2), 324-345, 2019, doi, postprint, MATLAB-code, MATLAB-code moment test
  27. F. Duan, D. Wied. "A Residual-Based Multivariate Constant Correlation Test", Metrika, 81(6), 653-687, 2018, doi, postprint, R-code
  28. 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
  29. 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
  30. P. Galeano, D. Wied. "Dating Multiple Change Points in the Correlation Matrix", TEST, 26(2), 331-352, 2017, doi, postprint, supplementary material
  31. 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
  32. D. Wied. "A Nonparametric Test for a Constant Correlation Matrix", Econometric Reviews, 36(10), 1157-1172, 2017, doi, postprint
  33. 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)
  34. 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
  35. K. Pape, D. Wied, P. Galeano. "Monitoring Multivariate Variance Changes", Journal of Empirical Finance, 39(A), 54-68, 2016, doi, postprint, supplementary material
  36. 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
  37. 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, R-Code
  38. W. Krämer, D. Wied. "A Simple and Focused Backtest of Value at Risk", Economics Letters, 137, 29-31, 2015, doi, postprint
  39. 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
  40. 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, MATLAB code
  41. 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
  42. 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
  43. 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
  44. 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
  45. 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
  46. 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
  47. M. Arnold, S. Stahlberg, D. Wied. "Modeling Different Kinds of Spatial Dependence in Stock Returns", Empirical Economics, 44(2), 761-774, 2013, doi, postprint
  48. 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
  49. 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
  50. 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)
  51. 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
  52. 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
  53. 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
  54. 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
  55. D. Wied, R. Weißbach. "Consistency of the Kernel Density Estimator: A Survey", Statistical Papers, 53(1), 1-21, 2012, doi, postprint
  56. M. Arnold, D. Wied. "Improved GMM Estimation of the Spatial Autoregressive Error Model", Economics Letters, 108(1), 65-68, 2010, doi, postprint

Other published work

  • D. Wied, R. Löser, R. Statistics in the Risk Assessment of Bank Portfolios, in: C. Weihs, W. Krämer, S. Buschfeld, (Hrsg.) Statistics Today. Society, Environment and Statistics. Springer, Berlin, Heidelberg, 117--123, 2024, doi
  • D. Wied, R. Löser. Statistik bei der Risikobewertung von Bankenportfolios, in: W. Krämer und C. Weihs (Hrsg.), Faszination Statistik, Springer, 105-111, 2019, doi
  • D. Wied. "J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition)", Statistical Papers, 57(3), 845, 2016, doi, postprint (book review)
  • P. Aschersleben, M. Wagner, D. Wied. "Monitoring Euro Area Real Exchange Rates", Springer Proceedings in Mathematics and Statistics, 122, 363-370, 2015, ISBN 978-3-319-13880-0, pdf (12th Workshop on Stochastic Models, Statistics and Their Applications)
  • D. Ziggel, T. Berens, D. Wied, G. Weiß. "Value-at-Risk: Der unevaluierte Standard im Risikomanagement", Risiko Manager, 24/2013, 1 & 7-9, 2013, pdf (in German)
  • D. Ziggel, D. Wied. "Trading Strategies Based on New Fluctuation Tests", IFTA-Journal, Edition 2012, 17-20, 2012, pdf (the paper is based on a contribution for the VTAD award 2011 in German: link)
  • K. Webel, D. Wied. Stochastische Prozesse - Verständliche Einführung für Statistiker und Datenwissenschaftler, Gabler, 2011 (2. Auflage 2016 with Springer-Gabler), official website with supplementary material, book review by R. Weißbach (textbook, in German)
  • D. Wied. "Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction", Statistical Papers, 52(3), 735-736, 2011, doi, postprint (book review)
  • D. Wied. "Ein Fluktuationstest auf konstante Korrelation", dissertation, TU Dortmund, 2010, eldorado (referees: Prof. Dr. Walter Krämer, JProf. Dr. Uwe Ligges, Prof. Dr. Herold Dehling; in German)

Current working papers

  • H. Dette, K. Möllenhoff, D. Wied. “Practically Significant Differences between Conditional Distribution Functions”, arXiv: 2506.06545, R-Code