Main research areas

Statistical Methods

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

Applied Econometrics

  • Financial Systemic risk measurement
  • Interdependencies of risks
  • Large dimensional extreme risk
  • Methods for high-frequency finance
  • Evaluation of policy measures
  • Forecasting of Cryptocurrencies and house prices

Epidemiology (YIG-PP Johannes Bracher)

  • probabilistic forecasting of infectious diseases
  • Covid-19 forecast hubs: systematic comparison, evaluation, ensemble building
  • Nowcasting of hospitalisations for Covid-19

Weather Forecasting (YIG Sebastian Lerch)

  • probabilistic weather forecasting: subseasonal scale and hybrid models
  • ensemble post-processing


Christian Conrad and Melanie Schienle (2020) Testing for an Omitted Long-Term Component in Multiplicative GARCH Models, Journal of Business & Economic Statistics, Vol.38, No.2, 229-242; [ External Link]

Carsten Bormann and Melanie Schienle (2020) Detecting structural differences in tail dependence of financial time series, Journal of Business & Economic Statistics, Vol.38, No.2, 380-392;[doi:10.1080/07350015.2018.1506343] External Link

Shi Chen, Wolfgang K Härdle and Brenda L Cabrera (2019) Regularization Approach for Network Modeling of German Power Derivative Market, Energy Economics, in press [doi:10.1016/j.eneco.2019.06.021]

Liang, C.;Schienle, M. (2018+) Determination of Vector Error Correction Models in High Dimensions (with Chong Liang), Journal of Econometrics, 2018+, in press [doi:10.1016/j.jeconom.2018.09.018] External Link[working paper] [online appendix]

Buse, R.; Schienle, M. (2019) Measuring Connectedness of Euro Area Sovereign Risk, International Journal of Forecasting,  Vol.35 , No.1, 25-44; [doi:10.1016/j.ijforecast.2018.07.010] External Link[working paper]

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. [ External Link]

Nazemi, A., Fabozzi, Frank, J. (2018)  Macroeconomic Variable Selection for Creditor Recovery Rates, Journal of Banking and Finance, Vol. 89, pp. 14-25. [ External Link]

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 [ External Link ]

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]  External Link[working paper version], - [covered in the ECB Financial Stability Review [May 2013] External Link (pages 71-73 (box 6))  and [Nov.2013] External Link (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] External Link[working paper version] External Link

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

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] External Link[working paper version] External Link

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] External Link[working paper version] External Link

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

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] External Link , [working paper version] External Link[webappendix] External Link

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] External Link or via arXiv [pdf] External Link


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] External Link

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] External Link

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