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Center for Data and Simulation Science

Dominik Wied and his group work in statistics and econometrics, focusing on time series analysis, structural change detection, and dependence modeling in economic and financial data. Their research develops advanced econometric methods, such as tests for parameter instability, cointegration monitoring, and copula-based models for capturing nonlinear dependencies. They also address challenges like endogeneity in nonlinear models, fixed effects in skewed panel data, and forecasting accuracy under structural breaks. Applications of their work span financial markets, microeconomic data, and regional economics, often integrating theoretical innovations with empirical relevance.

Rolling correlations of daily DAX and S&P 500 returns.

Selected publications

  1. A. Mayer, D. Wied, V. Troster. "Quantile Granger causality in the Presence of Instability", Journal of Econometrics, 249, 105992, 2025
  2. D. Wied. "Semiparametric Distribution Regression with Instruments and Monotonicity", Labour Economics, 90, 102565, 2024
  3. 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
  4. A. Mayer, D. Wied. "Estimation and Inference in Factor Copula Models with Exogenous Covariates", Journal of Econometrics, 235(2), 1500-1521, 2023
  5. 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
  6. H. Manner, F. Stark, D. Wied. "Testing for Structural Breaks in Factor Copula Models", Journal of Econometrics, 208(2), 324-345, 2019
  7. H. Dette, D. Wied. "Detecting Relevant Changes in Time Series Models", Journal of the Royal Statistical Society Series B, 78(2), 371-394, 2016
  8. 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
  9. C. Rothe, D. Wied. "Misspecification Testing in a Class of Conditional Distributional Models", Journal of the American Statistical Association, 108(501), 314-324, 2013
  10. 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