← All authors Dominik Wied University of Cologne (from arXiv:2603.01721, 2026) · ORCID · OpenAlex
62 papers in scope · 59 published · 8 on the econ.EM arXiv · 957 citations · h-index 18 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Alexander Mayer Victor Troster Kathrin Möllenhoff Jörg Breitung Armando Rungi Holger Dette Roberto Fuentes-Martínez Tatsushi Oka Blaise Melly Michael Massmann Iván Fernández-Val Richard H. Spady Sami Stouli Davide Raggi Irene Crimaldi Victor Chernozhukov Yunyun Wang Dan Zhu Sven Otto Andrés García-Suaza 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 (8 of 62)
working paper 2026 · arXiv
working paper 2026 · arXiv
Unveiling Spatial Dependencies — Investigating the Determinants of Firm Exit in Germany
published 2025 · Journal of Regional Science
with Simon Knappe, Tobias Jansen
working paper 2025 · arXiv
published 2025 · Oxford Bulletin of Economics and Statistics · 2 citations · first circulated 2024
published 2025 · Journal of Econometrics · 6 citations · first circulated 2024
Skewness Issues in Quantifying Efficiency: Insights from Stochastic Frontier Panel Models Based on Closed Skew Normal Approximations
published 2025 · Computational Economics
with Rouven E. Haschka
published 2024 · Labour Economics · 3 citations · first circulated 2022
published 2024 · Econometrics Journal · 19 citations · first circulated 2022
Statistics in the Risk Assessment of Bank Portfolios
published 2024 · Society, environment and statistics
with Robert Löser
Testing the correct specification of a system of spatial dependence models for stock returns
published 2023 · Empirical Economics · 2 citations
with Tim Kutzker
Flexible specification testing in quantile regression models
published 2023 · Scandinavian Journal of Statistics · 2 citations · first circulated 2021
with Tim Kutzker, Nadja Klein
Consistent Estimation of Multiple Breakpoints in Dependence Measures
published 2023 · Journal of Business and Economic Statistics · 1 citations · first circulated 2022
published 2023 · Journal of Econometrics · 3 citations · first circulated 2021
Left-truncated health insurance claims data: theoretical review and empirical application
published 2023 · AStA Advances in Statistical Analysis · 3 citations · first circulated 2021
with Rafael Weißbach, Achim Dörre, Gabriele Doblhammer, Anne Fink, Rafael Weißbachm
Monitoring cointegration in systems of cointegrating relationships
published 2023 · Econometrics and Statistics · 1 citations
with Etienne Theising
Reference class selection in similarity‐based forecasting of corporate sales growth
published 2022 · Journal of Forecasting · 2 citations · first circulated 2021
with Etienne Theising, Daniel Ziggel
Truncating the exponential with a uniform distribution
published 2021 · Statistical Papers · 2 citations · first circulated 2020
with Rafael Weißbach
Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market
published 2021 · Journal of Forecasting · 6 citations
Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
published 2020 · Studies in Nonlinear Dynamics and Econometrics · 3 citations
with Matthias Kaldorf
Sequential detection of parameter changes in dynamic conditional correlation models
published 2020 · Applied Stochastic Models in Business and Industry · 5 citations
with Katharina Pape, Pedro Galeano
A monitoring procedure for detecting structural breaks in factor copula models
published 2020 · Studies in Nonlinear Dynamics and Econometrics · 1 citations
A specification test for dynamic conditional distribution models with function-valued parameters
published 2020 · Econometric Reviews · 6 citations
Estimating derivatives of function-valued parameters in a class of moment condition models
published 2019 · Journal of Econometrics · 1 citations · first circulated 2016
with Christoph Rothe
Testing for relevant dependence change in financial data: a CUSUM copula approach
published 2019 · Empirical Economics · 3 citations
with Tim Kutzker, Florian Stark
Model and Moment Selection in Factor Copula Models
published 2019 · Journal of Financial Econometrics · 6 citations
Testing for structural breaks in factor copula models
published 2018 · Journal of Econometrics · 23 citations
A residual-based multivariate constant correlation test
published 2018 · Metrika · 5 citations
with Fang Duan
Testing for constant correlation of filtered series under structural change
published 2018 · Econometrics Journal · 7 citations
with Matei Demetrescu
Detecting structural changes in large portfolios
published 2018 · Empirical Economics · 5 citations
with Peter N. Posch, Daniel Ullmann
New backtests for unconditional coverage of expected shortfall
published 2018 · The Journal of Risk · 9 citations · first circulated 2016
with Robert Löser, Daniel Ziggel
Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
published 2017 · Journal of Time Series Analysis · 14 citations
with Martin Wagner
Dating multiple change points in the correlation matrix
published 2016 · Test · 12 citations · first circulated 2014
with Pedro Galeano
TESTING FOR CHANGES IN KENDALL’S TAU
published 2016 · Econometric Theory · 9 citations
with Herold Dehling, Daniel Vogel, Martin Wendler
Sequential monitoring of the tail behavior of dependent data
published 2016 · Journal of Statistical Planning and Inference · 13 citations
Monitoring multivariate variance changes
published 2016 · Journal of Empirical Finance · 21 citations
with Katharina Pape, Pedro Galeano
Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
published 2016 · Journal of Banking & Finance · 27 citations · first circulated 2015
with Gregor Weiß, Daniel Ziggel
A simple and focused backtest of value at risk
published 2015 · Economics Letters · 8 citations
with Walter Krämer
J. Bleymüller and R. Weißbach: Statistik für Wirtschaftswissenschaftler (17th edition)
published 2015 · Statistical Papers
Detecting Relevant Changes in Time Series Models
published 2015 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 69 citations · first circulated 2014
Spatial dependence in stock returns: local normalization and VaR forecasts
published 2015 · Empirical Economics · 9 citations · first circulated 2013
with Thilo A. Schmitt, Rudi Schäfer, Thomas Guhr, Rudi Schhfer
Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?
published 2015 · Journal of Empirical Finance · 21 citations · first circulated 2013
with Tobias Berens, Gregor Weiß
Nonparametric tests for constant tail dependence with an application to energy and finance
published 2015 · Journal of Econometrics · 34 citations · first circulated 2013
with Axel Bücher, Stefan R. Jaschke, Axel BBcher, Stefan JJschke
Monitoring Euro Area Real Exchange Rates
published 2015 · Springer proceedings in mathematics & statistics · 3 citations
with Philipp Aschersleben, Martin Wagner
A nonparametric test for a constant correlation matrix
published 2014 · Econometric Reviews · 3 citations · first circulated 2013
Identifying Different Areas of Inhomogenous Mineral Subsoil: Spatial Fluctuation Approaches
published 2014 · Communications in Statistics - Simulation and Computation · 1 citations
with Matthias Arnold, Nils Raabe
A new set of improved Value-at-Risk backtests
published 2014 · Journal of Banking & Finance · 65 citations · first circulated 2013
with Daniel Ziggel, Tobias Berens, Gregor Weiß
Improved GMM estimation of random effects panel data models with spatially correlated error components
published 2014 · Papers of the Regional Science Association · 3 citations
with Matthias Arnold
On-and offline detection of structural breaks in thermal spraying processes
published 2013 · Journal of Applied Statistics · 5 citations
with Matthias Borowski, Nikolaus Rudak, Birger Hussong, Sonja Kuhnt, Wolfgang Tillmann
A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution
published 2013 · Computational Statistics & Data Analysis · 26 citations · first circulated 2012
with Herold Dehling, Maarten van Kampen, Daniel Vogel, M. van Kampen
On the application of new tests for structural changes on global minimum-variance portfolios
published 2013 · Statistical Papers · 20 citations
with Daniel Ziggel, Tobias Berens
Multiple break detection in the correlation structure of random variables
published 2013 · Computational Statistics & Data Analysis · 43 citations
with Pedro Galeano
CUSUM‐type testing for changing parameters in a spatial autoregressive model for stock returns
published 2012 · Journal of Time Series Analysis · 21 citations
Misspecification Testing in a Class of Conditional Distributional Models
published 2012 · Journal of the American Statistical Association · 61 citations · first circulated 2011
with Christoph Rothe
Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen
published 2012 · AStA Wirtschafts-und Sozialstatistisches Archiv · 6 citations
with Matthias Arnold, Nicolai Bissantz, Daniel Ziggel
Monitoring correlation change in a sequence of random variables
published 2012 · Journal of Statistical Planning and Inference · 33 citations
with Pedro Galeano
Modeling different kinds of spatial dependence in stock returns
published 2011 · Empirical Economics · 50 citations
with Matthias Arnold, Sebastian Stahlberg
TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
published 2011 · Econometric Theory · 118 citations
with Walter Krämer, Herold Dehling
A new fluctuation test for constant variances with applications to finance
published 2011 · Metrika · 34 citations
with Matthias Arnold, Nicolai Bissantz, Daniel Ziggel
Consistency of the kernel density estimator: a survey
published 2010 · Statistical Papers · 83 citations · first circulated 2009
with Rafael Weißbach
Improved GMM estimation of the spatial autoregressive error model
published 2010 · Economics Letters · 18 citations
with Matthias Arnold
Peter W. Jones and Peter Smith, Stochastic Processes: An Introduction
published 2009 · Statistical Papers · 1 citations
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