Dominik Wied and his group work in statistics and econometrics, in particular in the field of structural change and specification analysis. Current projects include testing for structural breaks in factor copulas and testing the correct specification of a spatial autoregressive panel model for stock returns. Both considered models are designed for analyzing high-dimensional financial data. Other projects deal with backtesting risk measures, in particular Value-at-Risk and Expected Shortfall.
Selected publications
- H. Dehling, D. Vogel, M. Wendler, D. Wied. "Testing for Changes in Kendall's Tau", Econometric Theory, 33(6), 1352-1386, 2017
- Y. Hoga, D. Wied. "Sequential Monitoring of the Tail Behavior of Dependent Data", Journal of Statistical Planning and Inference, 182, 29-49, 2017
- D. Wied. "A Nonparametric Test for a Constant Correlation Matrix", Econometric Reviews, 36(10), 1157-1172, 2017
- H. Dette, D. Wied. "Detecting Relevant Changes in Time Series Models", Journal of the Royal Statistical Society Series B, 78(2), 371-394, 2016
- 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
- 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
- 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
- C. Rothe, D. Wied. "Misspecification Testing in a Class of Conditional Distributional Models", Journal of the American Statistical Association, 108(501), 314-324, 2013
- 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
- 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