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Alexander Wehrli

Swiss National Bank (from arXiv:2411.10009, 2024) · ORCID · OpenAlex

6 papers in scope · 5 published · 1 on the econ.EM arXiv · 73 citations · h-index 4 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Elena Peavento
  2. Iones Kelanemer Holban
  3. Lutz Kilian
  4. Neil Shephard
  5. Ana María Herrera
  6. Daniele Ballinari
  7. Mikkel Plagborg-Møller
  8. Elena Pesavento
  9. Jan Rabenseifner
  10. Ashesh Rambachan
  11. Robert Adamek
  12. Jacob Carlson
  13. Quinlan Lee
  14. Philippe Goulet Coulombe
  15. Christian K. Wolf
  16. Śılvia Gonçalves
  17. Eric Qian
  18. Stephan Smeekes
  19. Philipp Bach
  20. Sven Klaaßen

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(1 of 6)

Semiparametric inference for impulse response functions using double/debiased machine learning
working paper2024 · arXiv
with Daniele Ballinari
Paper profile arXiv arXiv:2411.10009
The excess volatility puzzle explained by financial noise amplification from endogenous feedbacks
published2022 · Scientific Reports · 16 citations
with Didier Sornette
Scientific Reports
Classification of Flash Crashes Using the Hawkes (p,q) Framework*
published2021 · Quantitative Finance · 6 citations · first circulated 2020
with Didier Sornette
Quantitative Finance
Scale-, time-and asset-dependence of Hawkes process estimates on high frequency price changes
published2021 · Quantitative Finance · 15 citations · first circulated 2020
with Spencer Wheatley, Didier Sornette
Quantitative Finance
Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
published2021 · Swiss Finance Institute Research Paper Series · 2 citations
with Didier Sornette
Swiss Finance Institute Research Paper Series
The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
published2019 · Quantitative Finance · 34 citations · first circulated 2018
with Spencer Wheatley, Didier Sornette
Quantitative Finance

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.