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  • Hoga, Y.: General Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles - (Forthcoming). In: Journal of Financial Econometrics (2020), S. 1-27. doi:10.1093/jjfinec/nbz032 BIB Download Details
  • Hoga, Y.: Where Does the Tail Begin? An Approach Based on Scoring Rules - (Forthcoming). In: Econometric Reviews (2020), S. 1-24. doi:10.1080/07474938.2019.1697087 BIB Download Details
  • Massing, T.: What is the best Lévy model for stock indices? A comparative study with a view to time consistency. In: Financial Markets and Portfolio Management, Jg. 33 (2019) Nr. 3, S. 277-344. doi:10.1007/s11408-019-00335-2 BIB Download Details
  • Arnold, M.; Hanck, C.: On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions. In: Journal of Risk and Financial Management, Jg. 12 (2019) Nr. 117. Volltext BIB Download Details
  • Hoga, Y.: Confidence Intervals for Conditional Tail Risk Measures in ARMA-GARCH Models. In: Journal of Business & Economic Statistics, Jg. 37 (2019) Nr. 4, S. 613-624. doi:10.1080/07350015.2017.1401543 Volltext BIB Download Details
  • Berrisch, J.; Rammert, T.; Klüver, C.: Implementation of a Self-Enforcing Network to Identify Determinants of the WiFi Quality on German Highspeed Trains. In: Gonçalves, G.; van Moergestel, L. (Hrsg.): INTELLI 2019 : The Eighth International Conference on Intelligent Systems and Applications. IARIA, Rome 2019, S. 1-6. Volltext BIB Download Details
  • Massing, T.: Local asymptotic normality for Student-Lévy processes under high-frequency sampling. In: Statistics, Jg. 53 (2019) Nr. 4, S. 721-752. doi:10.1080/02331888.2019.1618856 Volltext BIB Download Details
  • Hoga, Y.: Extending the Limits of Backtesting via the ‘Vanishing p’ Approach. In: Journal of Time Series Analysis, Jg. 40 (2019), S. 858-866. doi:10.1111/jtsa.12450 BIB Download Details
  • Hoga, Y.: Extreme Conditional Tail Moment Estimation under Serial Dependence. In: Journal of Financial Econometrics, Jg. 17 (2019) Nr. 4, S. 587-615. doi:10.1093/jjfinec/nby016 BIB Download Details

    , forthcoming

  • Massing, T.: Stochastic Properties of Student-Lévy Processes with Applications (1). 2019. doi:10.17185/duepublico/70020 Volltext BIB Download Details
  • Massing, T., Schwinning, N., Striewe, M., Hanck, C.; Goedicke, M.: E-Assessment Using Variable-Content Exercises in Mathematical Statistics. In: Journal of Statistics Education, Jg. 2018 (2018) Nr. 26-3, S. 174-189. doi:10.1080/10691898.2018.1518121 Volltext BIB Download Details
  • Massing, T.: Simulation of Student–Lévy processes using series representations. In: Computational Statistics, Jg. 33 (2018) Nr. 4. doi:10.1007/s00180-018-0814-y Volltext BIB Download Details
  • Hanck C.; Arnold M.; Gerber A.; Schmelzer M.: Introduction to Econometrics with R (3). 2018. Volltext BIB Download Details
  • Massing, T.; Reckmann, N.; Otto, B.; Hermann, K.; Hanck, C.; Goedicke, M.: Klausurprognose mit Hilfe von E-Assessment-Nutzerdaten. In: DeLFI 2018 - Die 16. E-Learning Fachtagung Informatik (2018) Nr. 284, S. 171-176. BIB Download Details
  • Prüser, J.: Adaptive learning from model space (Accepted in Journal of Forecasting). In: Journal of Forecasting (2018). doi:10.1002/for.2549 PDF Volltext BIB Download Details
  • Prüser, J.; Schlösser, A.: On the Time-Varying Effects of Economic Policy Uncertainty on the US Economy. In: Ruhr Economic Papers (2018) Nr. 761. Volltext BIB Download Details
  • Prüser, J.: Forecasting US inflation using Markov Dimension Switching. In: Ruhr Economic Papers (2018) Nr. 710. PDF BIB Download Details
  • Hoga, Y.: A structural break test for extremal dependence in β-mixing random vectors. In: Biometrika, Jg. 105 (2018), S. 627-643. doi:10.1093/biomet/asy030 BIB Download Details
  • Hoga, Y.: Detecting Tail Risk Differences in Multivariate Time Series. In: Journal of Time Series Analysis, Jg. 39 (2018), S. 665-689. doi:10.1111/jtsa.12292 Volltext BIB Download Details

    Here is the RCode.

  • Demetrescu, M.; Hanck, C.: Multiple Testing for No Cointegration under Nonstationary Volatility. In: Oxford Bulletin of Economics and Statistics, Jg. 80 (2017) Nr. 3, S. 485-513. doi:10.1111/obes.12214 BIB Download Details
  • Prüser, J.; Schlösser, A.: The Effects of Economic Policy Uncertainty on European Economies: Evidence from a TVP-FAVAR. In: Ruhr Economic Papers (2017) Nr. 708. BIB Download Details
  • Otto, B.; Massing, T.; Schwinning, N.; Reckmann, N.; Blasberg, A.; Schumann, S.; Hanck, C.; Goedicke, M.: Evaluation einer Statistiklehrveranstaltung mit dem JACK R-Modul. In: DeLFI 2017 - Die 15. E-Learning Fachtagung Informatik, Volume 273 of Lecture Notes in Informatics (2017), S. 75-86. BIB Download Details
  • Schwinning, N.; Striewe, M.; Massing, T.; Hanck, C.; Goedicke, M.: Towards digitalisation of summative and formative assessments in academic teaching of statistics. In: Proceedings of the Fifth International Conference on Learning and Teaching in Computing and Engineering (LaTiCE 2017) (2017). BIB Download Details
  • Hoga, Y.: Change Point Tests for the Tail Index of β-Mixing Random Variables. In: Econometric Theory, Jg. 33 (2017) Nr. 4, S. 915-954. doi:10.1017/S0266466616000189 BIB Download Details
  • Hoga, Y.: Monitoring Multivariate Time Series. In: Journal of Multivariate Analysis, Jg. 155 (2017), S. 105-121. doi:10.1016/j.jmva.2016.12.003 BIB Download Details
  • Hoga, Y.; Wied, D.: Sequential Monitoring of the Tail Behavior of Dependent Data. In: Journal of Statistical Planning & Inference, Jg. 182 (2017), S. 29-49. doi:10.1016/j.jspi.2016.08.010 BIB Download Details
  • Hoga, Y.: Testing for Changes in (Extreme) VaR. In: Econometrics Journal, Jg. 20 (2017), S. 23-51. doi:10.1111/ectj.12080 BIB Download Details
  • Hanck, C.: I just ran two trillion regressions. In: Economics Bulletin, Jg. 36 (2016) Nr. 4, S. 2037-2042. Volltext BIB Download Details
  • Demetrescu, M.; Hanck, C.: Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances. In: Econometric Reviews, Jg. 35 (2016) Nr. 5, S. 751-781. doi:10.1080/07474938.2014.976525 BIB Download Details
  • Hanck, C.; Prüser, J.: House Prices and Interest Rates - Bayesian Evidence from Germany. In: Ruhr Economic Papers (2016) Nr. 620. BIB Download Details
  • Beckmann, J., T. Berger; R. Czudaj: Oil Price and FX-Rates Dependency. In: Quantitative Finance, forthcoming (2015). doi:10.1080/14697688.2015.1045930 BIB Download Details
  • Beckmann, J., A. Belke; R. Czudaj: Productivity Shocks and Real Effective Exchange Rates. In: Review of Development Economics, forthcoming (2015). BIB Download Details
  • de Vos, P.; Faas, M.M.; Groen, H.; Hanck, C.; Neisingh, M.; Prak, D.: Weight Gain in Freshman College Students and Perceived Health. In: Preventive Medicine Reports (2015) Nr. 2, S. 292-234. doi:10.1016/j.pmedr.2015.03.008 BIB Download Details
  • Czudaj, R.; Hanck, C.: Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation. In: AStA Advances in Statistical Analysis, Jg. 99 (2015) Nr. 2, S. 161-187. doi:10.1007/s10182-014-0235-3 BIB Download Details
  • Czudaj, R.; Prüser, J.: International Parity Relationships between Germany and the USA Revisited: Evidence from the Post-DM Period. In: Applied Economics, Jg. 47 (2015) Nr. 26, S. 2745-2767. doi:10.1080/00036846.2015.1008776 BIB Download Details
  • Beckmann, J., T. Berger; R. Czudaj: Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach. In: Economic Modelling, Jg. 48 (2015) Nr. 1, S. 16-24. doi:10.1016/j.econmod.2014.10.044 BIB Download Details
  • Deckers, T.; Hanck, C.: Variable Selection in Cross-Section Regressions: Comparisons and Extensions. In: Oxford Bulletin of Economics and Statistics, Jg. 76 (2014) Nr. 6, S. 841-873. doi:10.1111/obes.12048 BIB Download Details
  • Beckmann, J., A. Belke; R. Czudaj: Does Global Liquidity Drive Commodity Prices?. In: Journal of Banking & Finance, Jg. 48 (2014) Nr. 1, S. 224-234. doi:10.1016/j.jbankfin.2014.04.007 BIB Download Details
  • Beckmann, J., A. Belke; R. Czudaj: The Importance of Global Shocks for National Policymakers - Rising Challenges for Sustainable Monetary Policies. In: World Economy, Jg. 37 (2014) Nr. 8, S. 1101-1127. doi:10.1111/twec.12127 BIB Download Details
  • Beckmann, J.; R. Czudaj: Regime Shifts and the Canada/US Exchange Rate in a Multivariate Framework. In: Economics Letters, Jg. 123 (2014) Nr. 2, S. 206-211. doi:10.1016/j.econlet.2014.02.005 BIB Download Details
  • Beckmann, J., A. Belke; R. Czudaj: Regime-Dependent Adjustment in Energy Spot and Futures Markets. In: Economic Modelling, Jg. 40 (2014) Nr. 1, S. 400-409. doi:10.1016/j.econmod.2013.12.026 BIB Download Details
  • Demetrescu, M.; Hanck, C.; Tarcolea, A.: IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance. In: Journal of Time Series Analysis, Jg. 35 (2014) Nr. 5, S. 393-406. doi:10.1111/jtsa.12071 BIB Download Details
  • Beckmann, J.; R. Czudaj: Non-linearities in the Relationship of Agricultural Futures Prices. In: European Review of Agricultural Economics, Jg. 41 (2014) Nr. 1, S. 1-23. doi:10.1093/erae/jbt015 BIB Download Details
  • Beckmann, J.; R. Czudaj: Volatility Transmission in Agricultural Futures Markets. In: Economic Modelling, Jg. 36 (2014) Nr. 1, S. 541-546. doi:10.1016/j.econmod.2013.09.036 BIB Download Details
  • Deckers, T.; Hanck, C.: Multiple Testing For Output Convergence. In: Macroeconomic Dynamics, Jg. 18 (2014) Nr. 1, S. 199-214. doi:10.1017/S1365100512000338 BIB Download Details
  • Beckmann, J.; R. Czudaj: Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?. In: Energy Economics, Jg. 40 (2013) Nr. 1, S. 665-678. doi:10.1016/j.eneco.2013.08.007 BIB Download Details
  • Hanck, C.; R. Czudaj: Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation. 434. Ruhr Economic Paper 434, Essen 2013. doi:10.4419/86788490 BIB Download Details
  • Beckmann, J.; R. Czudaj: Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?. 431. Ruhr Economic Paper 431, Essen 2013. doi:10.4419/86788487 BIB Download Details
  • Beckmann, J.; R. Czudaj: The Forward Pricing Function of Industrial Metal Futures – Evidence from Cointegration and Smooth Transition Regression Analysis. In: International Review of Applied Economics, Jg. 27 (2013) Nr. 4, S. 472-490. doi:10.1080/02692171.2012.736480 BIB Download Details
  • Beckmann, J.; R. Czudaj: Oil and Gold Price Dynamics in a Multivariate Cointegration Framework. In: International Economics and Economic Policy, Jg. 10 (2013) Nr. 3, S. 453-468. doi:10.1007/s10368-013-0237-8 BIB Download Details
  • Beckmann, J., A. Belke; R. Czudaj: The U.S. Current Account and Real Effective Dollar Exchange Rates. In: Kredit und Kapital, Jg. 46 (2013) Nr. 2, S. 213-231. doi:10.3790/kuk.46.2.213 BIB Download Details
  • Beckmann, J.; R. Czudaj: Oil Prices and Effective Dollar Exchange Rates. In: International Review of Economics & Finance, Jg. 27 (2013) Nr. 1, S. 621-636. doi:10.1016/j.iref.2012.12.002 BIB Download Details
  • Demetrescu, M.; Hanck, C.: Nonlinear IV Panel Unit Root Testing under Structural Breaks in the Error Variance. In: Statistical Papers, Jg. 54 (2013) Nr. 4, S. 1043-1066. doi:10.1007/s00362-013-0502-5 BIB Download Details
  • Bayer, C.; Hanck, C.: Combining Non-Cointegration Tests. In: Journal of Time Series Analysis (2013) Nr. 1, S. 83-95. doi:10.1111/j.1467-9892.2012.00814.x BIB Download Details
  • Beckmann, J.; R. Czudaj: Gold as an Inflation Hedge in a Time-Varying Coefficient Framework. In: North American Journal of Economics and Finance, Jg. 24 (2013) Nr. 1, S. 208-222. doi:10.1016/j.najef.2012.10.007 BIB Download Details
  • Hanck, C.: An Intersection Test for Panel Unit Roots. In: Econometric Reviews (2013) Nr. 32, S. 183-203. doi:10.1080/07474938.2011.608058 BIB Download Details
  • Belke, A.; R. Czudaj: Die Persistenz von Schocks in makroökonomischen Zeitreihen. In: WISU - Das Wirtschaftsstudium, Jg. 12 (2012) Nr. 10, S. 1340-1347. BIB Download Details
  • Czudaj, R.: Modelling Euro Area Money Demand and Forecasting Inflation in a Time-Varying Environment. In: International Journal of Monetary Economics and Finance, Jg. 5 (2012) Nr. 3, S. 244-267. doi:10.1504/IJMEF.2012.049047 BIB Download Details
  • Becker, A.; Deckers, T.; Dohmen, T.; Falk, A.; Kosse, F.: The Relationship Between Economic Preferences and Psychological Personality Measures. In: Annual Review of Economics, Jg. 4 (2012), S. 453-478. doi:10.1146/annurev-economics-080511-110922 BIB Download Details
  • Beckmann, J.; R. Czudaj: Gold as an Inflation Hedge in a Time-Varying Coefficient Framework. 362. Ruhr Economic Paper 362, Essen 2012. doi:10.4419/86788416 BIB Download Details
  • Czudaj, R.; J. Beckmann: Spot and Futures Commodity Markets and the Unbiasedness Hypothesis. In: Economics Bulletin, Jg. 32 (2012) Nr. 2, S. 1695-1707. BIB Download Details
  • Belke, A.; R. Czudaj: Theorien der Geldnachfrage: Von der Klassik bis zur Finanzkrise. In: WISU - Das Wirtschaftsstudium, Jg. 12 (2012) Nr. 4, S. 568-574. BIB Download Details
  • Czudaj, R.: Money or Output Gap: What Matters for Inflation in the Euro Area?. In: Schröder, H.; Clausen, V.; Behr, A. (Hrsg.): Essener Beiträge zur empirischen Wirtschaftsforschung: Festschrift für Prof. Dr. Walter Assenmacher. Springer Gabler, Wiesbaden 2012, S. 107-124. BIB Download Details
  • Hanck, C.: Do Panel Cointegration Tests Produce `Mixed Signals'?. In: Annales d'Economie et de Statistique, forthcoming (2012). BIB Download Details
  • Hanck, C.: Multiple Unit Root Tests under Uncertainty over the Initial Condition: Some Powerful Modifications. In: Statistical Papers (2012) Nr. 53, S. 767-774. doi:10.1007/s00362-011-0379-0 BIB Download Details
  • Demetrescu, M.; Hanck, C.: Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator. In: Journal of Business & Economic Statistics (2012) Nr. 30, S. 256-264. doi:10.1080/07350015.2011.638839 BIB Download Details
  • Demetrescu, M.; Hanck, C.: A Simple Nonstationary-Volatility Robust Panel Unit Root Test. In: Economics Letters (2012) Nr. 117, S. 10-13. doi:10.1016/j.econlet.2012.04.067 BIB Download Details
  • Hanck, C.: On the Asymptotic Distribution of a Unit Root Test against ESTAR Alternatives. In: Statistics & Probability Letters (2012) Nr. 82, S. 360-364. doi:10.1016/j.spl.2011.11.001 BIB Download Details
  • Czudaj, R.: P-Star in Times of Crisis - Forecasting Inflation for the Euro Area. In: Economic Systems, Jg. 35 (2011) Nr. 3, S. 390-407. doi:10.1016/j.ecosys.2010.09.006 BIB Download Details
  • Czudaj, R.: Improving Phillips Curve Based Inflation Forecasts: A Monetary Approach for the Euro Area. In: Banks and Bank Systems, Jg. 6 (2011) Nr. 2, S. 5-14. BIB Download Details
  • Hanck, C.: Now, Whose Schools are Really Better (or Weaker) than Germany's? A Multiple Testing Approach. In: Economic Modelling (2011) Nr. 28, S. 1739-1746. doi:10.1016/j.econmod.2011.03.011 BIB Download Details
  • Hanck, C.; Krämer, W.: The Exact Bias of S2 in Linear Panel Regressions with Spatial Autocorrelation. In: Economics Letters (2011) Nr. 110, S. 67-70. doi:10.1016/j.econlet.2010.09.015 BIB Download Details
  • Belke, A.; R. Czudaj: Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques. In: Applied Economics Quarterly, Jg. 56 (2010) Nr. 4, S. 285-315. doi:10.3790/aeq.56.4.285 BIB Download Details
  • Belke, A.; R. Czudaj: Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques. DIW Discussion Paper 982, Ruhr Economic Paper 171, ROME Discussion Paper Series 10-03, Berlin, Essen 2010. BIB Download Details
  • Döhrn, Roland: Konjunkturprognosen in bewegten Zeiten - Die Kunst des Unmöglichen?. RWI Materialien, 2010. BIB Download Details
  • Caporale, G. M.; Hanck, C.: Are PPP Tests Erratically Behaved? Some Panel Evidence. In: International Review of Applied Economics (2010) Nr. 24.2, S. 203-221. doi:10.1080/02692170903424331 BIB Download Details
  • Paresh Kumar Narayan; Seema Narayan; Stephan Popp: A Note on the Lon-run Elasticities from the Energy Consumption-GDP Relationship. In: Applied Energy (2009). BIB Download Details
  • Mauro Costantini, Stephan Popp: A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with break. In: Statistical Papers (2009). BIB Download Details
  • Hanck, C.: For Which Countries did PPP hold? A Multiple Testing Approach. In: Empirical Economics (2009) Nr. 37, S. 93-103. doi:10.1007/s00181-008-0224-z BIB Download Details
  • Hanck, C.: Cross-Sectional Correlation Robust Tests for Panel Cointegration. In: Journal of Applied Statistics (2009) Nr. 36.7, S. 817-833. doi:10.1080/02664760802510042 BIB Download Details
  • Hanck, C.: A Meta Analytic Approach to Testing for Panel Cointegration. In: Communications in Statistics - Simulation and Computation (2009) Nr. 38.5, S. 1051-1070. doi:10.1080/03610910902750039 BIB Download Details
  • Paresh Kumar Narayan, Stephan Popp: Can the Electricity Market be Characterised by Asymmetric Behaviour?. In: Energy Policy (2009). BIB Download Details
  • Hanck, C.; Krämer, W: More on the F-test under Nonspherical Disturbances. In: Statistical Inference, Econo- metric Analysis and Matrix Algebra (2009) Nr. 4, S. 179-184. BIB Download Details
  • Paresh Kumar Narayan, Stephan Popp: A New Unit Root Test With Two Structural Breaks in Level and Slope at Unknown Time. In: Journal of Applied Statistics (2009). BIB Download Details
  • Caporale, G. M.; Hanck, C.: Cointegration Tests of PPP: Do They Also Exhibit Erratic Behaviour?. In: Applied Economics Letters (2009) Nr. 16.1, S. 9-15. doi:10.1080/17446540802092198 BIB Download Details
  • Stephan Popp: Einheitswurzeltests unter Beachtung von Strukturbrüchen: Ist die Arbeitslosenquote in Deutschland durch Hysterese gekennzeichnet? (1). 2008. BIB Download Details
  • Stephan Popp: New Innovational Outlier Unit Root Test with a Break at an Unknown Time. In: Journal of Statistical Computation and Simulation (2008) Nr. 78, S. 1143-1159. BIB Download Details
  • Paresh Kumar Narayan, Stephan Popp: Investigating Business Cycle Asymmetry for the G7 Countries: Evidence from Over a Century of Data. In: International Review of Economics and Finance (2008). BIB Download Details
  • Hanck, C.: The Error-in-Rejection Probability of Meta Analytic Panel Tests. In: Economics Letters (2008) Nr. 101, S. 27-30. doi:10.1016/j.econlet.2008.03.029 BIB Download Details
  • Hanck, C.; Krämer, W: OLS-based Estimation of the Disturbance Variance under Spatial Autocorrelation. In: Recent Advances in Linear Models and Related Areas (2008) Nr. 18, S. 357-366. BIB Download Details
  • Stephan Popp: Modified Seasonal Unit Root Test with Seasonal Level Shifts at Unknown Time. In: Economics Letters (2007) Nr. 97, S. 111-117. BIB Download Details
  • Walter Assenmacher, Stephan Popp: Europäische Einkommensentwicklung - Einkommenskonvergenzen zwischen ausgewählten Ländern der Europäischen Union. In: Walter Assenmacher (Hrsg.): Empirische Wirtschaftsforschung; Essener Unikate. 29. Auflage. Universität Duisburg-Essen 2007, S. 102-111. BIB Download Details
  • Assenmacher, W.; Kunert, A; Popp, S.: Der Chi-Quadrat Anpassungstest. In: WISU - Das Wirtschaftsstudium, Jg. 30 (2001) Nr. 10, S. 1396-1408. BIB Download Details
  • Assenmacher, W.; Kunert, A; Popp, S.: Der Kolmogoroff-Smirnoff-Anpassungstest. In: WISU - Das Wirtschaftsstudium, Jg. 30 (2001) Nr. 12, S. 1682-1688. BIB Download Details
  • Christoph Hanck, Robert Czudaj: Nonstationary-volatility robust panel unit root tests and the great moderation. In: AStA Advances in Statistical Analysis . doi:10.1007/s10182-014-0235-3 BIB Download Details