Publications

$\ell^2$ Inference for Change Points in High-Dimensional Time Series via a "Two-Way" MOSUM, joint with Likai Chen, Wei Biao Wu, and Jiaqi Li, 2024+ Annals of Statistics. (see the R package https://cran.r-project.org/web/packages/L2hdchange/index.html )

A supreme test for periodic explosive GARCH, joint with Stephan Richter and Wei Biao Wu, 2023, Econometrics journal

Dynamic spatial quantile network, joint with Xu Xiu and Yongcheol Shin, (2022) JBES

Inference of Break-Points in High-Dimensional Time Series,  joint with Likai Chen and Wei Biao Wu, (2022), JASA

LASSO-Driven Inference in time and space, joint with Victor Chernozhukov, Huang Chen and Wolfgang Haerdle, (2021), Annals of Statistics

Dynamic Semiparametric Factor Model with Structural Breaks,(2020),joint with Likai Chen, Wei Biao Wu,  J. Business and Economic Statistics.

Pricing Cryptocurrency options: the case of CRIX and Bitcoin,(2020) joint with Aijun Hou, Cathy Chen, Wolfgang Haerdle,  Journal of Financial Econometrics

Network quantile autoregression,(2019) joint with Xuening Zhu, Hansheng Wang and Wolfgang Haerdle,  Journal of Econometrics, 212(1), pp.345-358.

Single-index-based CoVaR with very high-dimensional covariates, (2018), Yan, F., Härdle, W., Wang, W. and Zhu, L.X. , Journal of Business economics and statistics,  36(2), pp.212-226.

 Härdle, W., Wang, W. and Yu, L.N. (2016) Tail-Event driven NETwork risk, Journal of Econometrics , 192(2), 499-513.

 Härdle, W., Lopez, B., Okhrin, O. and Wang, W.(2016) Localising Temperature Risk, Journal of the American Statistical Association,Volume 111, 2016 - Issue 516

Härdle, W., Ritov, Y., and Wang, W.(2015) Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators, Journal of Multivariate Analysis, Volume 134, pages 129-145, research in Pairs (RiP) project, Oberwolfach, DOI 10.1016/j.jmva.2014.11.003.

Franke, J., Mwita, P., and Wang, W.(2014) Nonparametric estimates for conditional-quantiles of time series, AStA Advances in Statistical Analysis, DOI: 10.1007/s10182-014-0234-4, Volume 99, Issue 1 (2015), pages 107-130.

Wang, W., Okhrin, O. and Härdle W. (2014) Hidden Markov structures for Dynamic Copulae.  Econometric Theory

Härdle, W. and Wang, W. (2014) Principle Volatility Component Analysis (a Discussion). J. Business and Economic Statistics.

Härdle, W., Okhrin, Y. and Wang, W.(2014) Uniform Confidence Bands for Empirical Pricing Kernel. Journal of Financial Econometrics, DOI 10.1093/jjfinec/nbu002

Spokoiny , V., Wang, W. and Härdle W. (2013) Local Quantile Regression. Journal of Statistical Planning and Inference, DOI 10.1016/j.jspi.2013.03.008,, Volume 143, Issue 7, July,2013, with discussions,  pages 1109-1129

Disscussants: Roger Koenker, Marc Hallin, Zudi Lu, Yingcun Xia, Keming Yu, Wei Dang, Huiming Zhu, Rahim Al Hamzawi

Wang, W., Bobojobov, I., Härdle, W. and Odening, M.(2012) Testing for increasing weather risk. Stoch. Environ. Res. Risk Assess (impact factor 1.961), Jan 2013,  pages, 1436-3240, DOI 10.1007/s00477-013-0692-3.

Joint Modeling of Inflation Expectation Dynamics over European Countries, joint with Shi Chen and Wolfgang Haerdle (2021+),  accepted by Empirical Economics

Modelling Systemic Risk Using Neural Network Quantile Regression, joint with George Keilbar (2021+), accepted by Empirical Economics

  Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing, joint with Aijun Hou, Hossein Asgharian and Charlotte Christiansen,(2021), Journal of International Financial Markets, Institutions and Money