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Main research areas

Econometric Theory

  • High-dimensional econometrics
  • Time series: nonstationarity, nonlinearity and high-dimensionality
  • Non- and semiparametric methods
  • Network dependencies, extreme dependencies, quantiles
  • Generated regressors

Financial Econometrics

  • Systemic risk measurement
  • Interdependencies of risks
  • Large dimensional extreme risk
  • Methods for high-frequency finance
  • Asset pricing with consumption Euler equations
  • Portfolio selection and estimation

Publications

Buse, R.; Schienle, M. (2018+) Measuring Connectedness of Euro Area Sovereign Risk, International Journal of Forecasting, accepted [working paper]

Bormann, C; Schienle, M. (2018+) Detecting structural differences in tail dependence of financial time series, Journal of Business & Economic Statistics, forthcoming [doi:10.1080/07350015.2018.1506343]  [working paper] [online appendix]

Conrad, C; Schienle, M. (2018+) Testing for an Omitted Long-Term Component in Multiplicative GARCH Models, Journal of Business & Economic Statistics,  forthcoming [doi:10.1080/07350015.2018.1482759] [working paper version]

Nazemi, A.; Heidenreich, K.; Fabozzi, F. J. (2018). Improving Corporate Bond Recovery Rate Prediction Using Multi-Factor Support Vector Regressions, European Journal of Operational Research, forthcoming. [https://www.sciencedirect.com/science/article/pii/S0377221718304247]

Nazemi, A., Fabozzi, Frank, J. (2018)  Macroeconomic Variable Selection for Creditor Recovery Rates, Journal of Banking and Finance, Vol. 89, pp. 14-25. [https://www.sciencedirect.com/science/article/pii/S037842661830013X]

Nazemi, A.; Fatemipour, F.; Heidenreich, K.; Fabozzi, F. J. (2017). Fuzzy decision fusion approach for loss-given-default modeling. European Journal of Operational Research, forthcoming [http://www.sciencedirect.com/science/article/pii/S0377221717303417 ]

Betz, F., Hautsch, N., Peltonen, T., Schienle, M. (2016) Systemic Risk Spillovers in the European Banking and Sovereign Network, Journal of Financial Stability, Vol.25 , 206–224 [doi:10.1016/j.jfs.2015.10.006] , [working paper version], - [covered in the ECB Financial Stability Review [May 2013] (pages 71-73 (box 6))  and [Nov.2013] (page 74 ,chart 3.15)]

Bormann, C., Schaumburg, J., Schienle, M. (2016) Beyond dimension two: A test for higher-order tail risk (with Carsten Bormann and Julia Schaumburg), Journal of Financial Econometrics, Vol. 14, No 3,  552-580 [doi: 10.1093/jjfinec/nbv022], [working paper version]

Mammen, E., Rothe, C., Schienle, M. (2016) Semiparametric Estimation with Generated Covariates, Econometric Theory, Vol. 32, No.5, 1140-1177 [doi:10.1017/S0266466615000134] , [working paper version]

Hautsch, N., Schaumburg, J., Schienle, M. (2015)  Financial Network Systemic Risk Contributions, Review of Finance, Vol. 19, No 2, 685-738, [doi:10.1093/rof/rfu010], [working paper version]

Malec, P., Schienle, M. (2014) Nonparametric Kernel Density Estimation Near the Boundary, Computational Statistics and Data Analysis,  Vol. 72, 57-72 [doi:10.1016/j.csda.2013.10.023], [working paper version]

Hautsch, N., Schaumburg, J.,  Schienle, M. (2014) Forecasting systemic impact in financial networks, International Journal of Forcasting, Vol. 30, Issue 3, 781–794 [doi:10.1016/j.ijforecast.2013.09.004], [working paper version]

Hautsch, N., Malec, P.,  Schienle, M. (2013) Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes, Journal of Financial Econometrics, Vol. 12 No.1, 89-121 [doi: 10.1093/jjfinec/nbt002] , [working paper version], [webappendix]

Mammen, E., Rothe, C., Schienle, M. (2012) Nonparametric Regression with Nonparametrically Generated Regressors, the Annals of Statistics, Vol. 40, No. 2, 1132-1170 [doi:10.1214/12-AOS995] or via arXiv [pdf]

 

Mammen, E., Park, B. U., Schienle, M. (2014) Additive Models: Extensions and Related Models, in Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics (editors Racine, Ullah), Oxford University Press  [working paper version]

Mammen, E., Rothe, C., Schienle, M. (2013) Generated Regressors in Nonparametric Estimation: A Short Review,  in Recent Developments in Modeling and Applications in Statistics (editors Oliveira, da GraccaTemido, Henriques and Vichi), Springer 2013 [working paper version]

Grith, M. , Härdle, W.K., Schienle, M. (2012)Nonparametric Estimation of Risk-Neutral Densities, in Handbook of Computational Finance, Springer 2012 [working paper version]