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schienle

Prof. Dr. Melanie Schienle

Leiterin des Lehrstuhls
Sprechstunden: 

Di: 11:00-12:00h, Anmeldung per Email erforderlich


Raum: 306 in Geb. 09.21 (Blücherstr.17)
Tel.: +49 721 608-47535
Fax: +49 721 608-45647
melanie schienleFgg5∂kit edu


short bio

[long CV]  (last update 09/2018)

since 04/2015 professor of Econometrics, KIT
10/2012 - 03/2015 professor of Econometrics, Leibniz University Hannover
11/2008 - 09/2012 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)
2003 diploma with distinction in Mathematics
with minor in theoretical Physics, University of Karlsruhe

associate editor, journal of time series analysis (since 2016)

member of CRYS (university research council) at KIT

 

publications

Determination of Vector Error Correction Models in High Dimensions (with Chong Liang), Journal of Econometrics, 2018+, accepted [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]

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

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

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]

 

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]

 

working papers and ongoing work

Time-varying Limit Order Book Networks (with Chen, S., Härdle, W., Liang, C. ), submitted, pdf available on request (updated 10/2018)

Effectiveness of Policy and Regulation in European Sovereign Credit Risk Markets - A Network Analysis (with Rebekka Buse and Jörg Urban), submitted, pdf available on request (updated 10/2018)

Nonparametric Nonstationary Regression with many Covariates, revised and resubmitted, pdf available on request

Pre-Screening for Cointegration in Ultra-High Dimensions (with Shi Chen), KIT working paper

A tailored Lasso for moderate dimensional VECM and FX rates (with Shi Chen and Chong Liang), KIT working paper

 

Testing Semiparametric Component Intra-day GARCH-X, KIT working paper

Estimation of Covariance Matrices for High-Dimensional Time Series (with Taras Bodnar, Ostap Okhrin and Nestor Parolya), working paper

Nonparametric Regression with Missing Data (with Enno Mammen, Oliver Linton and Kyusang Yu)

Nonparametric Regression with Stationary and Nonstationary Variables (joint with Kyusang Yu)

Nonparametric Estimation of Euler Equations

 

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