Weining Wang

Names

Identifer

Contact

Affiliations

• University of York / Department of Economics and Related Studies (weight: 92%)
  • EDIRC entry
  • location:
• Institute for Fiscal Studies (IFS) (weight: 8%)
  • EDIRC entry
  • location:

Research profile

author of:

• Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
  CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017)
  by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang
  (ReDIF-paper, aah:create:2017-34)
• Using generalized estimating equations to estimate nonlinear models with spatial data
  Papers, arXiv.org (2018)
  by Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge
  (ReDIF-paper, arx:papers:1810.05855)
• A supreme test for periodic explosive GARCH
  Papers, arXiv.org (2018)
  by Stefan Richter & Weining Wang & Wei Biao Wu
  (ReDIF-paper, arx:papers:1812.03475)
• Pricing Cryptocurrency Options
  Papers, arXiv.org (2020)
  by Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle
  (ReDIF-paper, arx:papers:2009.11007)
• Hidden Markov Structures For Dynamic Copulae
  Econometric Theory, Cambridge University Press (2015)
  by Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining
  (ReDIF-article, cup:etheor:v:31:y:2015:i:05:p:981-1015_00)
• Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials
  Applied Mathematics and Computation, Elsevier (2020)
  by Usman, M. & Hamid, M. & Zubair, T. & Haq, R.U. & Wang, W. & Liu, M.B.
  (ReDIF-article, eee:apmaco:v:372:y:2020:i:c:s0096300319309774)
• TENET: Tail-Event driven NETwork risk
  Journal of Econometrics, Elsevier (2016)
  by Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining
  (ReDIF-article, eee:econom:v:192:y:2016:i:2:p:499-513)
• Network quantile autoregression
  Journal of Econometrics, Elsevier (2019)
  by Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl
  (ReDIF-article, eee:econom:v:212:y:2019:i:1:p:345-358)
• Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models
  Journal of Multivariate Analysis, Elsevier (2015)
  by Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining
  (ReDIF-article, eee:jmvana:v:134:y:2015:i:c:p:129-145)
• Beta-Sorted Portfolios
  Staff Reports, Federal Reserve Bank of New York (2023)
  by Matias D. Cattaneo & Richard K. Crump & Weining Wang
  (ReDIF-paper, fip:fednsr:96510)
• Uniform confidence bands for pricing kernels
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2010)
  by Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2010-003)
• Prognose mit nichtparametrischen Verfahren
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2010)
  by Wolfgang Karl Härdle & Rainer Schulz & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2010-041)
• Local Quantile Regression
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2011)
  by Wolfgang Karl Härdle & Vladimir Spokoiny & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2011-005)
• HMM in dynamic HAC models
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2012)
  by Wolfgang Karl Härdle & Ostap Okhrin & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2012-001)
• Quantile Regression in Risk Calibration
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2012)
  by Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2012-006)
• Composite Quantile Regression for the Single-Index Model
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2013)
  by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu
  (ReDIF-paper, hum:wpaper:sfb649dp2013-010)
• Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2013)
  by Wolfgang Karl Härdle & Ya'acov Ritov & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2013-047)
• Nonparametric Estimates for Conditional Quantiles of Time Series
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2014)
  by Jürgen Franke & Peter Mwita & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2014-012)
• TENET: Tail-Event driven NETwork risk
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2014)
  by Wolfgang Karl Härdle & Natalia Sirotko-Sibirskaya & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2014-066)
• Estimation of NAIRU with Inflation Expectation Data
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2015)
  by Wei Cui & Wolfgang K. Härdle & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2015-010)
• Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany ()
  by Shi Chen & Wolfgang Karl Härdle & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2015-049)
• Time Varying Quantile Lasso
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2016)
  by Lenka Zbonakova & Wolfgang Karl Härdle & Weining Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2016-047)
• Network Quantile Autoregression
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2016)
  by Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang
  (ReDIF-paper, hum:wpaper:sfb649dp2016-050)
• Dynamic Semiparametric Factor Model with a Common Break
  SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany (2017)
  by Likai Chen & Weining Wang & Wei Biao Wu
  (ReDIF-paper, hum:wpaper:sfb649dp2017-026)
• LASSO-Driven Inference in Time and Space
  CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019)
  by Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang
  (ReDIF-paper, ifs:cemmap:20/19)
• LASSO-driven inference in time and space
  CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018)
  by Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang
  (ReDIF-paper, ifs:cemmap:36/18)
• Uniform Confidence Bands for Pricing Kernels
  The Journal of Financial Econometrics, Society for Financial Econometrics (2015)
  by Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang
  (ReDIF-article, oup:jfinec:v:13:y:2015:i:2:p:376-413.)
• Pricing Cryptocurrency Options
  The Journal of Financial Econometrics, Society for Financial Econometrics (2020)
  by Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle
  (ReDIF-article, oup:jfinec:v:18:y:2020:i:2:p:250-279.)
• Nonparametric estimates for conditional quantiles of time series
  AStA Advances in Statistical Analysis, Springer;German Statistical Society (2015)
  by Jürgen Franke & Peter Mwita & Weining Wang
  (ReDIF-article, spr:alstar:v:99:y:2015:i:1:p:107-130)
• Localizing Temperature Risk
  Journal of the American Statistical Association, Taylor & Francis Journals (2016)
  by Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang
  (ReDIF-article, taf:jnlasa:v:111:y:2016:i:516:p:1491-1508)
• Comment
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2014)
  by Wolfgang Karl Härdle & Weining Wang
  (ReDIF-article, taf:jnlbes:v:32:y:2014:i:2:p:173-174)
• Single-Index-Based CoVaR With Very High-Dimensional Covariates
  Journal of Business & Economic Statistics, Taylor & Francis Journals (2018)
  by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu
  (ReDIF-article, taf:jnlbes:v:36:y:2018:i:2:p:212-226)
• Pricing Cryptocurrency options: the case of CRIX and Bitcoin
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
  by Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining
  (ReDIF-paper, zbw:irtgdp:2018004)
• LASSO-Driven Inference in Time and Space
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2018)
  by Chernozhukov, Victor & Härdle, Wolfgang Karl & Huang, Chen & Wang, Weining
  (ReDIF-paper, zbw:irtgdp:2018021)
• Inference of Break-Points in High-Dimensional Time Series
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
  by Chen, Likai & Wang, Weining & Wu, Wei Biao
  (ReDIF-paper, zbw:irtgdp:2019013)
• Modelling Systemic Risk Using Neural Network Quantile Regression
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
  by Keilbar, Georg & Wang, Weining
  (ReDIF-paper, zbw:irtgdp:2019019)
• Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
  by Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl
  (ReDIF-paper, zbw:irtgdp:2019030)
• Using generalized estimating equations to estimate nonlinear models with spatial data
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Lu, Cuicui & Wang, Weining & Wooldridge, Jeffrey M.
  (ReDIF-paper, zbw:irtgdp:2020017)
• A supreme test for periodic explosive GARCH
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Richter, Stefan & Wang, Weining & Wu, Wei Biao
  (ReDIF-paper, zbw:irtgdp:2020018)
• Inference of breakpoints in high-dimensional time series
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Chen, Likai & Wang, Weining & Wu, Wei Biao
  (ReDIF-paper, zbw:irtgdp:2020019)
• Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining
  (ReDIF-paper, zbw:irtgdp:2020020)
• Improved Estimation of Dynamic Models of Conditional Means and Variances
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan
  (ReDIF-paper, zbw:irtgdp:2020021)
• Tail Event Driven Factor Augmented Dynamic Model
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Wang, Weining & Yu, Lining & Wang, Bingling
  (ReDIF-paper, zbw:irtgdp:2020022)
• The common and speci fic components of inflation expectation across European countries
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining
  (ReDIF-paper, zbw:irtgdp:2020023)
• Dynamic Spatial Network Quantile Autoregression
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Xu, Xiu & Wang, Weining & Shin, Yongcheol
  (ReDIF-paper, zbw:irtgdp:2020024)
• Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
  IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2020)
  by Mustafayeva, Konul & Wang, Weining
  (ReDIF-paper, zbw:irtgdp:2020025)