CRC 649 Statistics

for 2009.01 – 2014.07

Overview

• Discussion Papers

• Publications

• Guest Researcher Program

• Quantnet

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90Discussion Papers

Downloads SFB649

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Discussion Papers (1)

DPs & downloads per project (SFB649 Website)

2009.01 – 2014.07

Discussion Papers (2)

DP downloads by country (SFB649 Website)

2009.01 – 2014.07

108025

76484

38490

27651 18572 17351

14832 7271 5360 4173

75586

US DE SE FR CN RU GB NL IN CA Other

HU

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Discussion Papers (3)

Top 10 DP downloads

2009.01 – 2014.06 (RePEc)

TP DP Title Authors Downl.

B8 2009-051 The Market Impact of a Limit Order Nikolaus Hautsch and

Ruihong Huang 639

B2* 2006-083

Formative Measurement Models in Covariance Structure Analysis: Specification and Identification

Dirk Temme and Lutz Hildebrandt 495

B2* 2006-084 PLS Path Modeling – A Software Review Dirk Temme, Henning Kreis

and Lutz Hildebrandt 430

B1 2005-019

Arbitrage-Free Smoothing of the Implied Volatility Surface Matthias R. Fengler 300

C1* 2005-039 What are the Effects of Fiscal Policy Shocks? Andrew Mountford and

Harald Uhlig 281

B2* 2006-017

Estimation with the Nested Logit Model: Specifications and Software Particularities

Nadja Silberhorn, Yasemin Boztug and Lutz Hildebrandt 279

C10 2007-069

Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily

Alexander Meyer-Gohde 255

A8 2009-006 Regulatory Risk under Optimal Incentive Regulation Roland Strausz 243

Z 2010-014

Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931

Albrecht Ritschl and Samad Sarferaz 222

B1 2011-020

How Computational Statistics Became the Backbone of Modern Data Science

James E. Gentle, Wolfgang Karl Härdle and Yuichi Mori 218

5 * discontinued since 2013

Discussion Papers (4)

Top 10 DP downloads

2013.07 – 2014.06 (RePEc) TP DP Title Authors Downl.

B1 2014-015

Ladislaus von Bortkiewicz - statistician, economist, and a European intellectual

Wolfgang Karl Härdle and Annette B. Vogt 96

A8 2014-024 Peer Effects and Students’ Self-Control

Berno Buechel, Lydia Mechtenberg and Julia

Petersen 92

A6 2013-40

Privacy Concerns, Voluntary Disclosure of Information, and Unraveling: An Experiment

Volker Benndorf, Dorothea Kübler and Hans-Theo

Normann 70

C7 2013-022

Decomposing Risk in Dynamic Stochastic General Equilibrium

Hong Lan and Alexander Meyer-Gohde 69

B8 2009-051 The Market Impact of a Limit Order Nikolaus Hautsch and

Ruihong Huang 67

C7 2014-017

The composition of government spending and the multiplier at the Zero Lower Bound

Julien Albertini, Arthur Poirier and Jordan Roulleau-

Pasdeloup 60

C14 2013-036

Herding in financial markets: Bridging the gap between theory and evidence

Christopher Boortz, Simon Jurkatis, Stephanie Kremer

and Dieter Nautz 58

C7 2013-024

Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations

Hong Lan and Alexander Meyer-Gohde 52

C7 2014-011 Fiscal Devaluation in a Monetary Union

Philipp Engler, Giovanni Ganelli, Juha Tervala and

Simon Voigts 51

C15 2014-007

Confidence Bands for Impulse Responses: Bonferroni versus Wald

Helmut Lütkepohl, Anna Staszewska-Bystrova and

Peter Winker 49

6

Publications

Highly rated publications

2013.01 – 2014.07 (HB VWL 2010)

7

P. Autor Title Y. Journal R.

C7 Burda, M., Hamermesh, D. and Stewart, J.

Cyclical Variation in Labor Hours and Productivity Using the ATUS 2013 American Economic

Review 1

B1 Zheng, Sh., Yang, L. and Härdle, W.

A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data 2013 Journal of the American

Statistical Association 0.6

B1 Liu,R., Yang, L.Y. and

Härdle, W. Oracally Efficient Two-Step Estimation of Generalized

Additive Model 2013 Journal of the American

Statistical Association 0.6

B8 Hautsch, N. and Podolskij, M.

Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory,

Implementation, and Empirical Evidence 2013 Journal of Business and

Economic Statistics 0.6

B10 Okhrin, O., Okhrin, Y. and Schmid, W.

On the Structure and Estimation of Hierarchical Archimedean Copulas 2013 Journal of Econometrics 0.6

B10 Okhrin, O., Okhrin, Y. and Schmid, W.

Determining the structure and estimation of hierarchical Archimedean copulas 2013 Journal of Econometrics 0.6

C10 Basteck, C., Daniëls, T. and Heinemann, F.

Characterizing Equilibrium Selection in Global Games with Strategic Complementarities 2013 Journal of Economic

Theory 0.6

C10 Daniëls, T., Dönges, J., Heinemann, F.

Competition for Order Flow as a Coordination Game: Unique Equilibrium in the Allocation of Order Flow 2013 European Economic

Review 0.6

Guest Researcher Program

2009.01 – 2014.07

34 47 110

165

301

184

2009 10 11 12 13 2014

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342

45 36 11 10 9 8 7 6 6 5 69

289

473

173

15 75 104

Quantnet (1)

Books / projects ordered by quantlet downloads

2009.11 – 2014.07

9

88373

87045

37033

26758

22573

20411

14753

7168

6757

Applied Multivariate Statistical Analysis (MVA)

Statistics of Financial Markets (SFE)

Statistics of Financial Markets : Exercises and Solutions (SFS)

Statistical Tools for Finance and Insurance (STF)

Multivariate Statistics: Exercises and Solutions (SMS)

Nonparametric and Semiparametric Models (SPM)

Measuring Statistical Risk (MSR)*

Applied Quantitative Finance (XFG)

Modern Mathematical Statistics : Exercise and Solution (MSE)

* Project

Quantnet (2)

10 most downloaded quantlets

2009.11 – 2014.07

10

1605

1593

1355

1263

1202

1183

1169

1149

1082

1080

SMSboxcar (Boxplot carc mileage)

autocorr.m (autocorrelation plots)

MVAMDScity1 (Map of the cities)

SFEVolSurfPlot (Implied volatility surface)

SFSmeanExcessFun (generalized Pareto…

SFEBSCopt1 (Price of a call)

SFSautoparcorr (ACF and PACF for returns)

MVAnpcabank (PCA for Swiss bank notes)

SFEgaussCop (Gaussian copula with 2…

SFEplotCop (Pdf contour plots)

Quantnet (3)

Downloads by year and country

2009.11 – 2014.07

126896

61767

0 50.000 100.000 150.000

US

DE

CN

RU

FR

GB

NL

UA

IT

JP

Other

HU

11

1.571

42.796 47.823

116.352

172.634

103.853

2009 10 11 12 13 2014

Total Number of Quantlets: 1576

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