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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. E. Theising, D. Wied. "Monitoring Cointegration in Systems of Cointegrating Relationships", Econometrics and Statistics, forthcoming, 2023+, doi, postprint, R-codes and critical values
  2. T. Kutzker, D. Wied. "Testing the Correct Specification of a System of Spatial Dependence Models for Stock Returns", Empirical Economics, forthcoming, 66(5), 2083-2101, 2024, doi, postprint
  3. 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
  4. D. Wied. "Semiparametric Distribution Regression with Instruments and Monotonicity", Labour Economics, 2024, 90, 102565, doi, postprint, R-Code
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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
  11. 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
  12. R. Weißbach, D. Wied. "Truncating the Exponential with a Uniform Distribution", Statistical Papers, 63, 1247-1270, 2022, doi, postprint
  13. 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
  14. 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
  15. 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
  16. 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
  17. V. Troster, D. Wied. "A Specification Test for Dynamic Conditional Distributions", Econometric Reviews, 40(2), 109-127, 2021, doi, postprint
  18. 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
  19. 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
  20. P. Posch, D. Ullmann, D. Wied. "Testing for Structural Changes in Large Portfolios", Empirical Economics, 56(4), 1341-1357, 2019, doi, postprint
  21. 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
  22. 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
  23. F. Duan, D. Wied. "A Residual-Based Multivariate Constant Correlation Test", Metrika, 81(6), 653-687, 2018, doi, postprint, R-code
  24. 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
  25. 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
  26. P. Galeano, D. Wied. "Dating Multiple Change Points in the Correlation Matrix", TEST, 26(2), 331-352, 2017, doi, postprint, supplementary material
  27. 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
  28. D. Wied. "A Nonparametric Test for a Constant Correlation Matrix", Econometric Reviews, 36(10), 1157-1172, 2017, doi, postprint
  29. 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)
  30. 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
  31. K. Pape, D. Wied, P. Galeano. "Monitoring Multivariate Variance Changes", Journal of Empirical Finance, 39(A), 54-68, 2016, doi, postprint, supplementary material
  32. 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
  33. 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
  34. W. Krämer, D. Wied. "A Simple and Focused Backtest of Value at Risk", Economics Letters, 137, 29-31, 2015, doi, postprint
  35. 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
  36. 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
  37. 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
  38. 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
  39. 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
  40. 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
  41. 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
  42. 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
  43. M. Arnold, S. Stahlberg, D. Wied. "Modeling Different Kinds of Spatial Dependence in Stock Returns", Empirical Economics, 44(2), 761-774, 2013, doi, postprint
  44. 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
  45. 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
  46. 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)
  47. 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
  48. 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
  49. 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
  50. 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
  51. D. Wied, R. Weißbach. "Consistency of the Kernel Density Estimator: A Survey", Statistical Papers, 53(1), 1-21, 2012, doi, postprint
  52. M. Arnold, D. Wied. "Improved GMM Estimation of the Spatial Autoregressive Error Model", Economics Letters, 108(1), 65-68, 2010, doi, postprint