Professor of Statistical Methods and Econometrics, Karlsruhe Institute of Technology (KIT)
Senior Scientist, Heidelberg Institute for Theoretical Studies (HITS)
Email: melanie.schienle@kit.edu
Team-Website: https://methods.stat.kit.edu
Mailing Address:
Karlsruher Institut für Technologie (KIT)
Institut für Statistik (STAT) ,
Statistische Methoden und Ökonometrie (STAT-SME)
PO-Box 6980
D-76049 Karlsruhe
Office:
Blücherstr.17, 76185 Karlsruhe
Room 306
[long CV] (last update 05/2025)
googlescholar [link]
2015 - professor and chair of statistical methods and econometrics, department of economics and management, KIT
2021 - professor, department of mathematics, KIT
2023- senior researcher Heidelberg Institute for Theoretical Studies (HITS gGmbH)
2012 - 15 associate professor of econometrics (with tenure), Leibniz University Hannover
2008 - 12 assistant professor econometrics, Humboldt-Universität zu Berlin
2008 dr. rer. pol. "summa cum laude", Mannheim University, graduate school in economics (advisors: enno mammen, oliver linton)
(including research stay at London School of Economics 08-12/2006, DFG Scholarship)
2003 diploma with distinction in mathematics with minor in theoretical physics, University of Karlsruhe
(including studies at University of Toronto 08/2000-07/2001, Ontario-BW Fellowship)
Integrating Nowcasts into an Ensemble of Data-Driven Forecasting Models for SARI Hospitalizations in Germany (with J. Bracher and D. Wolffram), [working paper medrxiv] , conditionally accepted, International Journal of Forecasting
Multivariate Inference for Dynamic Systemic Risk Measures (with Y. Chen, N. Hautsch, J. Leymarie), [working paper SSRN], accepted at SOFIE 2025 (Paris), QFFE 2025 (Marseille), R&R Journal of Econometrics
A generative machine learning method for short-term path forecasts of intraday electricity prices (with J. Chen, T. Serafin, R. Weron, S. Lerch) , [working paper arXiv], submitted
Modeling Spatial Extremal Dependence of Precipitation Using Distributional Neural Networks (with C. Bülte and L. Leimenstoll) [working paper arXiv], submitted
A General Screening Device for Causality in Extremes: Understanding Timing and Directions of Tail Links in Climate and Financial Markets (with L. Leimenstoll), accepted at DAGStat 2025 (Berlin), IAAE 2025 (Turino)
Ultra-High Dimensional Cointegration (with Shi Chen), presented at Nonparametrics in the Age of AI 2025 (Seoul), Time Series Workshop 2024 (Roma) and many other locations
Prospective collaborative short-term forecasting and nowcasting of respiratory diseases in Germany (with D. Wolffram, N. Bardeck, W. Bock, M. Böhm, S. Contreras, P. Dönges, F. Günther, R. Kaiser, A. Kuhlmann, B. Lange, U. Reinacher, I. Rodiah, J. Bracher and the RespiNow Study Group), [platform and dashboard], [preregistration]
Simple Macroeconomic Forecast Distributions for the G7 Economies (with F. Becker and F. Krüger), Annals of Applied Statistics, 2025, Volume 19 (4), 2878-2897, [ doi: 10.1214/25-AOAS2095], [ working paper arXiv.2408.08304] [GitHub repo]
Identifying Success Factors of Microcredits Using Robust Variable Selection for High-Dimensional Panel Data (with L. Rüter), Journal of the Royal Statistical Society A, 2025, qnae144, [doi: 10.1093/jrsssa/qnae144], [working paper] [GitHub repo]
Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests (with K. Görgen und R. Buse), International Journal of Forecasting, 2025, Volume 41 (3), [doi:10.1016/j.ijforecast.2024.12.002], [working paper], [GitHub repo],
Success Factors in Football: An Analysis of the EURO 2020 (with V. Renner, K. Görgen, H. Wäsche, A. Woll), Journal of the Quantitative Analysis in Sports, 2025, Volume 21 (1), 73-95 [doi: 10.1515/jqas-2023-0026]
Large Spillover Networks of Nonstationary Systems (with Shi Chen), Journal of Business & Economic Statistics, 2024, Volume 42 (2), 422–436 [doi: 10.1080/07350015.2022.2099870] [working paper]
High-Dimensional Macroeconomic Stress Testing of Corporate Recovery Rate (with Adolreza Nazemi, Friedrich Baumann and Frank Fabozzi), Quantitative Finance, 2024, Volume 24 (11), 1669–1678, [doi:10.1080/14697688.2024.2414758]
Direction Augmentation in the Evaluation of Armed Conflicts (with J. Bracher, L. Rüter, F. Krüger, S. Lerch) International Interactions, 2023, Volume 49(6), 989–1004. [doi: 10.1080/03050629.2023.2255923 ] [working paper]
Collaborative Nowcasting of COVID-19 Hospitalization Incidences in Germany (with D. Wolffram, S. Abbott, M. an der Heiden, S. Funk, F. Günther, D. Hailer, S. Heyder, T. Hotz, J. van de Kassteele, H. Küchenhoff, S. Müller-Hansen, D. Syliqi, A. Ullrich, M. Weigert, J. Bracher), PLOS Computational Biology, 2023, Volume 19 (8): e1011394. [doi: 10.1371/journal.pcbi.1011394] [working paper], [GitHub Repo], [link to platform]
Model Diagnostics and forecast Evaluation for Quantiles (with Tilmann Gneiting, Daniel Wolffram, Johannes Resin, Johannes Bracher, Timo Dimitriadis, Veit Hagenmeyer, Alexander Jordan, Kristof Kraus, Sebastian Lerch, Kaleb Phipps), Annual Review of Statistics and its Applications, 2023, Volume 10 [doi: 10.1146/annurev-statistics-032921-020240 ] [link to working paper]
National and subnational short-term forecasting of COVID-19 in Germany and Poland, early 2021 (with J. Bracher, D. Wolffram, J. Deuschel, K. Görgen, J.L. Ketterer, A. Ullrich, S. Abbott, M.V. Barbarossa, D. Bertsimas, S. Bhatia, M. Bodych, N.I. Bosse, J.P. Burgard, J. Fuhrmann, S. Funk, K. Gogolewski, S. Heyder, T. Hotz, Y. Kheifetz, H. Kirsten, T. Krueger, E. Krymova, N. Leithäuser, M.L. Li, J.H. Meinke ,B. Miasojedow, J. Mohring, P. Nouvellet, J.M. Nowosielski, T. Ożański, M. Radwan, F. Rakowski, M. Scholz, S. Soni, A. Srivastava, T. Gneiting), Nature: Communications Medicine, 2022, Volume 2, 136, [doi: 10.1038/s43856-022-00191-8] [preprint older version] , [GitHub Repo], [platform], [pre-registration]
Assessing the Impact of Policy and Regulation Interventions in European Sovereign Credit Risk Networks: What worked best? (with Rebekka Buse and Jörg Urban), Journal of International Economics, 2022, Volume 139, 103673, [doi: 10.1016/j.jinteco.2022.103673] [older version as ESRB working paper]
Collaborative hubs: making the most of predictive epidemic modeling (joint with N.G. Reich, J. Lessler, S. Funk, C. Viboud, A. Vespignani, R.J. Tibshirani, K. Shea, M.C. Runge1, R. Rosenfeld, E.L. Ray, R. Niehus, H.C. Johnson, M.A. Johansson, H. Hochheiser, L. Gardner, J. Bracher, R.K. Borchering, M. Biggerstaff) American Journal of Public Health, 2021, Volume 112, No 6, 839-842. [doi: 10.2105/AJPH.2022.306831], [working paper]
A preregistered short-term forecasting study of COVID-19 in Germany and Poland during the second wave (joint with J. Bracher, D. Wolffram, J. Deuschel, K. Görgen, J.L. Ketterer, A. Ullrich, S. Abbott, M.V. Barbarossa, D. Bertsimas, S. Bhatia, M. Bodych, N.I. Bosse, J.P. Burgard, J. Fuhrmann, S. Funk, K. Gogolewski, Q. Gu, S. Heyder, T. Hotz, Y. Kheifetz, H. Kirsten, T. Krueger, E. Krymova, M.L. Li, J.H. Meinke, K. Niedzielewski, T. Ożański, F. Rakowski, M. Scholz, S. Soni, A. Srivastava, J. Zieliński, D. Zou, T. Gneiting) Nature Communications, 2021, Volume 12, Article number 5173 [doi: 10.1038/s41467-021-25207-0] [working paper on medRxiv],[GitHub Repo] , [platform], [pre-registration]
Testing for an Omitted Long-Term Component in Multiplicative GARCH Models (joint with Christian Conrad), Journal of Business & Economic Statistics, 2020, Volume 38 (2), 229-242 [doi:10.1080/07350015.2018.1482759] [working paper version]
Detecting structural differences in tail dependence of financial time series (joint with Carsten Bormann), Journal of Business & Economic Statistics, 2020, Vol.38, No.2, 380-392 [doi:10.1080/07350015.2018.1506343] [working paper] [online appendix]
A retrospective assessment of different endodontic treatment protocols (with Andreas Bartols, Carsten Bormann, Luisa Werner, Winfried Walther, Christof E. Dörfer) PeerJ, 2020, [doi:10.7717/peerj.8495]
Determination of Vector Error Correction Models in High Dimensions (with Chong Liang), Journal of Econometrics, 2019, Vol. 208, No. 2, 418-441 [doi:10.1016/j.jeconom.2018.09.018], [working paper] , [online appendix]
Measuring Connectedness of Euro Area Sovereign Risk (joint with Rebekka Buse), International Journal of Forecasting, 2019, Vol.35 , No.1, 25-44; [doi:10.1016/j.ijforecast.2018.07.010], [working paper]
Semiparametric Estimation with Generated Covariates (joint with Enno Mammen and Christoph Rothe) Econometric Theory, 2016, Vol. 32, No.5, 1140-1177; [doi:10.1017/S0266466615000134] , [working paper version]
Systemic Risk Spillovers in the European Banking and Sovereign Network (joint with Frank Betz, Nikolaus Hautsch and Tuomas Peltonen), Journal of Financial Stability, 2016, Vol.25 , 206–224 [doi:10.1016/j.jfs.2015.10.006], [working paper version] - [reported in the ECB Financial Stability Review [May 2013] (pages 71-73 (box 6)) and [Nov.2013] (page 74 ,chart 3.15)]
Beyond dimension two: A test for higher-order tail risk (with Carsten Bormann and Julia Schaumburg), Journal of Financial Econometrics, 2016, Vol. 14, No 3, 552-580; [doi: 10.1093/jjfinec/nbv022] [working paper version]
Financial Network Systemic Risk Contributions (joint with Nikolaus Hautsch and Julia Schaumburg) Review of Finance, 2015, Vol. 19, No 2, 685-738 [doi:10.1093/rof/rfu010], [working paper version]
Nonparametric Kernel Density Estimation Near the Boundary (joint with Peter Malec) Computational Statistics and Data Analysis, 2014, Vol. 72, 57-72 [doi:10.1016/j.csda.2013.10.023], [working paper version]
Forecasting systemic impact in financial networks (joint with Nikolaus Hautsch and Julia Schaumburg) International Journal of Forcasting, 2014, Vol. 30, Issue 3, 781–794 [doi:10.1016/j.ijforecast.2013.09.004], [working paper version]
Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (joint with Nikolaus Hautsch and Peter Malec) Journal of Financial Econometrics, 2013, Vol. 12 No.1, 89-121 [doi: 10.1093/jjfinec/nbt002], [working paper version], [webappendix]
Nonparametric Regression with Nonparametrically Generated Regressors (joint with Enno Mammen and Christoph Rothe), the Annals of Statistics, 2012, Vol. 40, No. 2, 1132-1170 [doi:10.1214/12-AOS995] or via arXiv [pdf]
other
Additive Models: Extensions and Related Models (joint with Enno Mammen and Byeong U. Park) for the Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics (editors Racine, Ullah), Oxford University Press 2014 [working paper version]
Generated Covariates in Nonparametric Estimation: A Short Review (joint with Enno Mammen and Christoph Rothe), in Recent Developments in Modeling and Applications in Statistics (editors Oliveira, da GraccaTemido, Henriques and Vichi), Springer 2013 [working paper version]
Nonparametric Estimation of Risk-Neutral Densities (joint with Maria Grith and Wolfgang Härdle) in Handbook of Computational Finance, Springer 2012 [working paper version]
Vorhersagen sind schwer, vor allem die Zukunft betreffend: Kurzzeitprognosen in der Pandemie (joint with Johannes Bracher, Daniel Wolffram, and Tilmann Gneiting), forthcoming DMV Mitteilungen, Vol. 29, No. 4, 2021, 186-190. [doi: 10.1515/dmvm-2021-0073] [working paper version]
Comprehensive Evaluation of Conflict Onset Forecasts (with J. Bracher, T. Bodentien and L. Rüter )
Approximate Additive Regression with Embeddings of Unstructured Data (with K. Görgen and K. Yu)
Evaluating Panel Data Forecasts with Clusters (with L. Rüter)
Nonparametric Nonstationary Regression with many Covariates, (with SH. Moon, K. Yu), KIT working paper, pdf available on request
Determining the Effects of Regulatory Uncertainty in Dynamic Financial Networks
Pictures as Instruments: Explaining Property Prices with Crime (with J. Deuschel, K. Görgen)
old/dormant
Time-varying Limit Order Book Networks (with Chen, S., Härdle, W.)
How have German University Tuition Fees Affected Enrollment Rates: Robust Model Selection and Inference in High-Dimensions (with K. Görgen), KIT working paper [working paper]
Approximation of the Empirical Copula Process revisited: A new plug-in Estimator (with O. Grothe, F. Kächele), KIT working paper
Last update: 07/2025