Weining Wang
Personal Details
First Name: | Weining |
Middle Name: | |
Last Name: | Wang |
Suffix: | |
RePEc Short-ID: | pwa606 |
[This author has chosen not to make the email address public] | |
https://www.york.ac.uk/economics/our-people/staff-profiles/weining-wang/ | |
Terminal Degree: | 2012 Institut für Statistik und Ökonometrie (ISÖ); Wirtschaftswissenschaftliche Fakultät; Humboldt-Universität Berlin (from RePEc Genealogy) |
Affiliation
(92%) Department of Economics and Related Studies
University of York
York, United Kingdomhttp://www.york.ac.uk/economics/
RePEc:edi:deyoruk (more details at EDIRC)
(8%) Institute for Fiscal Studies (IFS)
London, United Kingdomhttp://www.ifs.org.uk/
RePEc:edi:ifsssuk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Wang, Weining & Wooldridge, Jeffrey M. & Xu, Mengshan, 2020. "Improved Estimation of Dynamic Models of Conditional Means and Variances," IRTG 1792 Discussion Papers 2020-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020.
"Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing,"
IRTG 1792 Discussion Papers
2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021. "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Wang, Weining & Yu, Lining & Wang, Bingling, 2020. "Tail Event Driven Factor Augmented Dynamic Model," IRTG 1792 Discussion Papers 2020-022, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2020.
"The common and speci fic components of inflation expectation across European countries,"
IRTG 1792 Discussion Papers
2020-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Shi Chen & Wolfgang Karl Härdle & Weining Wang, 2022. "The common and specific components of inflation expectations across European countries," Empirical Economics, Springer, vol. 62(2), pages 553-580, February.
- Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020.
"Pricing Cryptocurrency Options,"
Papers
2009.11007, arXiv.org.
- Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020. "Pricing Cryptocurrency Options," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(2), pages 250-279.
- Lu, Cuicui & Wang, Weining & Wooldridge, Jeffrey M., 2020.
"Using generalized estimating equations to estimate nonlinear models with spatial data,"
IRTG 1792 Discussion Papers
2020-017, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018. "Using generalized estimating equations to estimate nonlinear models with spatial data," Papers 1810.05855, arXiv.org.
- Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2019.
"LASSO-Driven Inference in Time and Space,"
CeMMAP working papers
CWP20/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chernozhukov, Victor & Härdle, Wolfgang Karl & Huang, Chen & Wang, Weining, 2018. "LASSO-Driven Inference in Time and Space," IRTG 1792 Discussion Papers 2018-021, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Victor Chernozhukov & Wolfgang Härdle & Chen Huang & Weining Wang, 2018. "LASSO-driven inference in time and space," CeMMAP working papers CWP36/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Wolfgang K. Hardle & Chen Huang & Weining Wang, 2018. "LASSO-Driven Inference in Time and Space," Papers 1806.05081, arXiv.org, revised May 2020.
- Li, Xinjue & Zboňáková, Lenka & Wang, Weining & Härdle, Wolfgang Karl, 2019. "Combining Penalization and Adaption in High Dimension with Application in Bond Risk Premia Forecasting," IRTG 1792 Discussion Papers 2019-030, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Chen, Likai & Wang, Weining & Wu, Wei Biao, 2019.
"Inference of Break-Points in High-Dimensional Time Series,"
IRTG 1792 Discussion Papers
2019-013, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Chen, Likai & Wang, Weining & Wu, Wei Biao, 2020. "Inference of breakpoints in high-dimensional time series," IRTG 1792 Discussion Papers 2020-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Keilbar, Georg & Wang, Weining, 2019. "Modelling Systemic Risk Using Neural Network Quantile Regression," IRTG 1792 Discussion Papers 2019-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining, 2018. "Pricing Cryptocurrency options: the case of CRIX and Bitcoin," IRTG 1792 Discussion Papers 2018-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Stefan Richter & Weining Wang & Wei Biao Wu, 2018.
"A supreme test for periodic explosive GARCH,"
Papers
1812.03475, arXiv.org.
- Richter, Stefan & Wang, Weining & Wu, Wei Biao, 2020. "A supreme test for periodic explosive GARCH," IRTG 1792 Discussion Papers 2020-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
- Likai Chen & Weining Wang & Wei Biao Wu, 2017. "Dynamic Semiparametric Factor Model with a Common Break," SFB 649 Discussion Papers SFB649DP2017-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Lenka Zbonakova & Wolfgang Karl Härdle & Weining Wang, 2016. "Time Varying Quantile Lasso," SFB 649 Discussion Papers SFB649DP2016-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang, 2016.
"Network Quantile Autoregression,"
SFB 649 Discussion Papers
SFB649DP2016-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019. "Network quantile autoregression," Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
- Wei Cui & Wolfgang K. Härdle & Weining Wang, 2015. "Estimation of NAIRU with Inflation Expectation Data," SFB 649 Discussion Papers SFB649DP2015-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jürgen Franke & Peter Mwita & Weining Wang, 2014.
"Nonparametric Estimates for Conditional Quantiles of Time Series,"
SFB 649 Discussion Papers
SFB649DP2014-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jürgen Franke & Peter Mwita & Weining Wang, 2015. "Nonparametric estimates for conditional quantiles of time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.
- Wolfgang Karl Härdle & Natalia Sirotko-Sibirskaya & Weining Wang, 2014.
"TENET: Tail-Event driven NETwork risk,"
SFB 649 Discussion Papers
SFB649DP2014-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016. "TENET: Tail-Event driven NETwork risk," Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
- Wolfgang Karl Härdle & Ya'acov Ritov & Weining Wang, 2013. "Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators," SFB 649 Discussion Papers SFB649DP2013-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu, 2013. "Composite Quantile Regression for the Single-Index Model," SFB 649 Discussion Papers SFB649DP2013-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang, 2012. "Quantile Regression in Risk Calibration," SFB 649 Discussion Papers SFB649DP2012-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Ostap Okhrin & Weining Wang, 2012. "HMM in dynamic HAC models," SFB 649 Discussion Papers SFB649DP2012-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Vladimir Spokoiny & Weining Wang, 2011. "Local Quantile Regression," SFB 649 Discussion Papers SFB649DP2011-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2010.
"Uniform confidence bands for pricing kernels,"
SFB 649 Discussion Papers
SFB649DP2010-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015. "Uniform Confidence Bands for Pricing Kernels," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(2), pages 376-413.
- Wolfgang Karl Härdle & Rainer Schulz & Weining Wang, 2010. "Prognose mit nichtparametrischen Verfahren," SFB 649 Discussion Papers SFB649DP2010-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Shi Chen & Wolfgang Karl Härdle & Weining Wang, "undated". "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," SFB 649 Discussion Papers SFB649DP2015-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Articles
- Usman, M. & Hamid, M. & Zubair, T. & Haq, R.U. & Wang, W. & Liu, M.B., 2020. "Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials," Applied Mathematics and Computation, Elsevier, vol. 372(C).
- Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020.
"Pricing Cryptocurrency Options,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 18(2), pages 250-279.
- Ai Jun Hou & Weining Wang & Cathy Y. H. Chen & Wolfgang Karl Hardle, 2020. "Pricing Cryptocurrency Options," Papers 2009.11007, arXiv.org.
- Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019.
"Network quantile autoregression,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
- Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang, 2016. "Network Quantile Autoregression," SFB 649 Discussion Papers SFB649DP2016-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu, 2018. "Single-Index-Based CoVaR With Very High-Dimensional Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 212-226, April.
- Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2016.
"Localizing Temperature Risk,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1491-1508, October.
- Wolfgang Karl Härdle & Brenda López Cabrera & Ostap Okhrin & Weining Wang, 2011. "Localising temperature risk," SFB 649 Discussion Papers SFB649DP2011-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016.
"TENET: Tail-Event driven NETwork risk,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
- Wolfgang Karl Härdle & Natalia Sirotko-Sibirskaya & Weining Wang, 2014. "TENET: Tail-Event driven NETwork risk," SFB 649 Discussion Papers SFB649DP2014-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2015. "Hidden Markov Structures For Dynamic Copulae," Econometric Theory, Cambridge University Press, vol. 31(5), pages 981-1015, October.
- Jürgen Franke & Peter Mwita & Weining Wang, 2015.
"Nonparametric estimates for conditional quantiles of time series,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(1), pages 107-130, January.
- Jürgen Franke & Peter Mwita & Weining Wang, 2014. "Nonparametric Estimates for Conditional Quantiles of Time Series," SFB 649 Discussion Papers SFB649DP2014-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015. "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 129-145.
- Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015.
"Uniform Confidence Bands for Pricing Kernels,"
The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(2), pages 376-413.
- Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2010. "Uniform confidence bands for pricing kernels," SFB 649 Discussion Papers SFB649DP2010-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Weining Wang, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 173-174, April.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (15) 2010-01-16 2012-03-08 2013-03-02 2013-11-09 2014-11-17 2015-01-26 2016-02-29 2016-11-13 2016-12-04 2018-10-29 2019-01-07 2021-03-08 2021-03-15 2021-03-15 2021-03-15. Author is listed
- NEP-ETS: Econometric Time Series (8) 2015-01-26 2016-12-04 2018-01-29 2019-01-07 2021-03-08 2021-03-08 2021-03-15 2021-03-15. Author is listed
- NEP-RMG: Risk Management (8) 2012-03-08 2014-11-17 2015-01-26 2016-12-04 2020-10-26 2021-03-08 2021-03-15 2021-03-15. Author is listed
- NEP-ORE: Operations Research (7) 2015-01-26 2016-11-13 2020-10-26 2021-03-08 2021-03-08 2021-03-15 2021-03-15. Author is listed
- NEP-MAC: Macroeconomics (3) 2015-12-01 2016-02-29 2021-03-08
- NEP-MON: Monetary Economics (2) 2015-12-01 2021-03-08
- NEP-MST: Market Microstructure (2) 2012-01-18 2021-03-15
- NEP-NET: Network Economics (2) 2014-11-17 2016-12-04
- NEP-PAY: Payment Systems & Financial Technology (2) 2019-01-07 2020-10-26
- NEP-CNA: China (1) 2021-03-08
- NEP-CWA: Central & Western Asia (1) 2021-03-15
- NEP-EEC: European Economics (1) 2021-03-08
- NEP-GER: German Papers (1) 2010-09-11
- NEP-TRA: Transition Economics (1) 2018-10-29
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