New Public Management helps universities and research institutions to perform in a highly competitive research environment. Evaluating publicly financed research results improves transparency, helps in reflection and self-assessment, and provides information for strategic decision making. In...

The CRIX (CRyptocurrency IndeX) has been constructed based on a number of cryptos and provides a high coverage of market liquidity, hu.berlin/crix. The crypto currency market is a new asset market and attracts a lot of investors recently. Surprisingly a market for contingent claims hat not been...

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...

The predictability of a high-dimensional time series model in forecasting with large information sets depends not only on the stability of parameters but also depends heavily on the active covariates in the model. Since the true empirical environment can change as time goes by, the variables...

Inflation expectation (IE) is often considered to be an important determinant of actual inflation in modern economic theory, we are interested in investigating the main risk factors that determine its dynamics. We fiirst apply a joint arbitrage-free term structure model across different European...

We consider a new procedure for detecting structural breaks in mean for high- dimensional time series. We target breaks happening at unknown time points and locations. In particular, at a fixed time point our method is concerned with either the biggest break in one location or aggregating...

We propose an approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results we model systemic risk spillover effects across banks by considering the marginal effects of the quantile regression...

In this paper, we study estimation of nonlinear models with cross sectional data using two-step generalized estimating equations (GEE) in the quasi-maximum likelihood estimation (QMLE) framework. In the interest of improving efficiency, we propose a grouping estimator to account for the...

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative...

For multiple change-points detection of high-dimensional time series, we provide asymptotic theory concerning the consistency and the asymptotic distribution of the breakpoint statistics and estimated break sizes. The theory backs up a simple two- step procedure for detecting and estimating...