Details about Weining Wang

Access statistics for papers by Weining Wang.

Last updated 2023-10-20. Update your information in the RePEc Author Service.

Short-id: pwa606

Working Papers

2023

1. Beta-Sorted Portfolios
   Staff Reports, Federal Reserve Bank of New York

2020

2. A supreme test for periodic explosive GARCH
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
   Also in Papers, arXiv.org (2018)
3. Dynamic Spatial Network Quantile Autoregression
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
4. Improved Estimation of Dynamic Models of Conditional Means and Variances
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
5. Inference of breakpoints in high-dimensional time series
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (2)
   Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
6. Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
7. Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
8. Pricing Cryptocurrency Options
   Papers, arXiv.org View citations (33)
   See also Journal Article Pricing Cryptocurrency Options*, Journal of Financial Econometrics, Oxford University Press (2020) View citations (28) (2020)
9. Tail Event Driven Factor Augmented Dynamic Model
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
10. The common and speci fic components of inflation expectation across European countries
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
11. Using generalized estimating equations to estimate nonlinear models with spatial data
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    Also in Papers, arXiv.org (2018) View citations (1)

2019

12. Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
13. LASSO-Driven Inference in Time and Space
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
    Also in IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018) View citations (23)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (28)
14. Modelling Systemic Risk Using Neural Network Quantile Regression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)

2018

15. Pricing Cryptocurrency options: the case of CRIX and Bitcoin
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (13)

2017

16. Dynamic semiparametric factor model with a common break
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
17. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2016

18. Network quantile autoregression
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Network quantile autoregression, Journal of Econometrics, Elsevier (2019) View citations (30) (2019)
19. Time varying quantile Lasso
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2015

20. Estimation of NAIRU with inflation expectation data
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
21. Inflation co-movement across countries in multi-maturity term structure: An arbitrage-free approach
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2014

22. Nonparametric estimates for conditional quantiles of time series
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Nonparametric estimates for conditional quantiles of time series, AStA Advances in Statistical Analysis, Springer (2015) View citations (4) (2015)
23. TENET: Tail-Event driven NETwork risk
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article TENET: Tail-Event driven NETwork risk, Journal of Econometrics, Elsevier (2016) View citations (188) (2016)

2013

24. Composite quantile regression for the single-index model
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
25. Tie the straps: Uniform bootstrap con fidence bands for bounded influence curve estimators
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2012

26. HMM in dynamic HAC models
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
27. Quantile regression in risk calibration
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (4)

2011

28. Increasing weather risk: Fact of fiction?
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2010

29. Local quantile regression
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
30. Localising temperature risk
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
    See also Journal Article Localizing Temperature Risk, Journal of the American Statistical Association, Taylor & Francis Journals (2016) View citations (2) (2016)
31. Prognose mit nichtparametrischen Verfahren
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
32. Uniform confidence bands for pricing kernels
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Uniform Confidence Bands for Pricing Kernels, Journal of Financial Econometrics, Oxford University Press (2015) View citations (2) (2015)

Journal Articles

2020

1. Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials
   Applied Mathematics and Computation, 2020, 372, (C) View citations (6)
2. Pricing Cryptocurrency Options*
   Journal of Financial Econometrics, 2020, 18, (2), 250-279 View citations (28)
   See also Working Paper Pricing Cryptocurrency Options, Papers (2020) View citations (33) (2020)

2019

3. Network quantile autoregression
   Journal of Econometrics, 2019, 212, (1), 345-358 View citations (30)
   See also Working Paper Network quantile autoregression, SFB 649 Discussion Papers (2016) (2016)

2018

4. Single-Index-Based CoVaR With Very High-Dimensional Covariates
   Journal of Business & Economic Statistics, 2018, 36, (2), 212-226 View citations (14)

2016

5. Localizing Temperature Risk
   Journal of the American Statistical Association, 2016, 111, (516), 1491-1508 View citations (2)
   See also Working Paper Localising temperature risk, SFB 649 Discussion Papers (2010) View citations (1) (2010)
6. TENET: Tail-Event driven NETwork risk
   Journal of Econometrics, 2016, 192, (2), 499-513 View citations (188)
   See also Working Paper TENET: Tail-Event driven NETwork risk, SFB 649 Discussion Papers (2014) (2014)

2015

7. HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
   Econometric Theory, 2015, 31, (5), 981-1015 View citations (10)
8. Nonparametric estimates for conditional quantiles of time series
   AStA Advances in Statistical Analysis, 2015, 99, (1), 107-130 View citations (4)
   See also Working Paper Nonparametric estimates for conditional quantiles of time series, SFB 649 Discussion Papers (2014) (2014)
9. Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models
   Journal of Multivariate Analysis, 2015, 134, (C), 129-145 View citations (3)
10. Uniform Confidence Bands for Pricing Kernels
    Journal of Financial Econometrics, 2015, 13, (2), 376-413 View citations (2)
    See also Working Paper Uniform confidence bands for pricing kernels, SFB 649 Discussion Papers (2010) (2010)

2014

11. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 173-174