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Dominik Wied · Study
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Author
Dominik Wied
12 works
· latest 2016
· 2 institutions
cluster: provisional
ORCID 0000-0003-4252-2918
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Citations
529
Works here
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Most cited in this library
TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
2011 · 116 citations
Detecting Relevant Changes in Time Series Models
2015 · 63 citations
A new set of improved Value-at-Risk backtests
2014 · 60 citations
Modeling different kinds of spatial dependence in stock returns
2011 · 48 citations
TESTING FOR CHANGES IN KENDALL’S TAU
2016 · 45 citations
Works
12 shown
Dating multiple change points in the correlation matrix
Test
·
2016
·
2 authors
12
citations
TESTING FOR CHANGES IN KENDALL’S TAU
Econometric Theory
·
2016
·
4 authors
·
Open access
45
citations
Detecting Relevant Changes in Time Series Models
Journal of the Royal Statistical Society Series B (Statistical Methodology)
·
2015
·
2 authors
·
Open access
63
citations
Nonparametric tests for constant tail dependence with an application to energy and finance
Journal of Econometrics
·
2015
·
3 authors
33
citations
A nonparametric test for a constant correlation matrix
Econometric Reviews
·
2014
·
1 author
·
Open access
31
citations
A new set of improved Value-at-Risk backtests
Journal of Banking & Finance
·
2014
·
4 authors
60
citations
Multiple break detection in the correlation structure of random variables
Computational Statistics & Data Analysis
·
2013
·
2 authors
·
Open access
44
citations
Monitoring correlation change in a sequence of random variables
Journal of Statistical Planning and Inference
·
2012
·
2 authors
·
Open access
31
citations
Testing for Changes in the Rank Correlation of Time Series
arXiv (Cornell University)
·
2012
·
4 authors
·
preprint
·
Open access
12
citations
Modeling different kinds of spatial dependence in stock returns
Empirical Economics
·
2011
·
3 authors
48
citations
TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
Econometric Theory
·
2011
·
3 authors
116
citations
A new fluctuation test for constant variances with applications to finance
Metrika
·
2011
·
4 authors
34
citations