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Prof. Dr. Melanie Schienle

Leiterin des Lehrstuhls

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 schienleLuh6∂kit edu

short bio

[long CV]  (last update 12/2017)

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

member of CRYS (councel for research and promotion of young scientists) at KIT



Detecting structural differences in tail dependence of financial time series (joint with Carsten Bormann),  Journal of Business & Economic Statistics, conditionally accepted (12/2017), [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]


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 Regressors 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

Testing for an Omitted Long-Term Component in Multiplicative GARCH Models (with Christian Conrad), revised and resubmitted, [pdf] (this version 12/2016, currently updating)

Determination of Vector Error Correction Models in High Dimensions (with Chong Liang), revised and submitted, pdf available on request (updated 12/2017)

Measuring Connectedness of Euro Area Sovereign Risk (with Rebekka Gätjen), revise and resubmit, pdf available on request

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


High-Dimensional Cointegration (with Chong Liang), working paper

Euro area sovereign credit markets: monetary stimulations, regulations or economic fundamentals. What matters? (with Rebekka Gätjen, Kristyna Ters und Jörg Urban), working paper

Bootstrapped Market Impacts with Limit Order Books (with Chen, S., Hardle, W., Liang, C. ), working paper

Testing Semiparametric Component Intra-day GARCH-X, 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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