CRC 649 Statistics

for 2009.01 – 2015.07

Overview

• Discussion Papers

• Publications

• Guest Researcher Program

• Quantnet

• Visitors of the SFB649 Website

2

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90 Discussion Papers

Downloads SFB649

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Discussion Papers (1)

DPs & downloads per project (SFB649 Website)

2009.01 – 2015.07

Discussion Papers (2)

DP downloads by country (SFB649 Website)

2009.01 – 2015.07

108105

77967

38490

27712 18748 17376 14917

7273 5408 4191

70236

US DE SE FR CN RU GB NL IN CA Other

HU

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Comprehensive Statistics (http://sfb649.wiwi.hu-berlin.de/fedc/statSFB/PubDP_2015Juli.html)

Discussion Papers (3)

Top 10 DP downloads

2009.01 – 2015.06 (RePEc)

TP DP Title Authors Downl.

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

Ruihong Huang 683

B2* 2006-083

Formative Measurement Models in Covariance Structure Analysis: Specification and Identification

Dirk Temme and Lutz Hildebrandt 512

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

and Lutz Hildebrandt 433

B1 2005-019

Arbitrage-Free Smoothing of the Implied Volatility Surface Matthias R. Fengler 340

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

Harald Uhlig 303

B2* 2006-017

Estimation with the Nested Logit Model: Specifications and Software Particularities

Nadja Silberhorn, Yasemin Boztug and Lutz Hildebrandt 282

C10 2007-069

Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily

Alexander Meyer-Gohde 279

A8 2009-006 Regulatory Risk under Optimal Incentive Regulation Roland Strausz 254

C14 2009-036

Inflation and Growth: New Evidence From a Dynamic Panel Threshold Analysis

Stephanie Kremer, Alexander Bick and Dieter Nautz 232

Z 2010-014

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

Albrecht Ritschl and Samad Sarferaz 231

5 * discontinued since 2013

Discussion Papers (4)

Top 10 DP downloads

2014.07 – 2015.06 (RePEc) TP DP Title Authors Downl.

C7 2014-049

Comparing Solution Methods for DSGE Models with Labor Market Search Hong Lan 112

A9 2014-038 Spatial Wage Inequality and Technological Change Charlotte Senftleben-Koenig

and Hanna Wielandt 104

C7 2014-034 Risky Linear Approximations Alexander Meyer-Gohde 95

B1 2014-035

Adaptive Order Flow Forecasting with Multiplicative Error Models

Wolfgang Karl Härdle, Andrija Mihoci and Christooher Hian-

Ann Ting 87

C15 2015-015

Structural Vector Autoregressions with Heteroskedasticy

Helmut Lütkepohl and Aleksei Netšunajev 84

C7 2014-061

Why the split of payroll taxation between firms and workers matters for macroeconomic stability Simon Voigts 81

C12 2015-008 Nonparametric change-point analysis of volatility Markus Bibinger, Moritz Jirak

and Mahias Vetter 73

C12 2014-053

Improved volatility estimation based on limit order books

Markus Bibinger, Moritz Jirak and Markus Reiss 73

B1 2014-059

Expectile Treatment Effects: An efficient alternative to compute the distribution of treatment

effects

Stephan Stahlschmidt, Matthias Eckardt and Wolfgang Karl Härdle

70

C7 2014-056

Monetary Policy Effects on Financial Intermediation via the Regulated and the Shadow Banking Systems Falk Mazelis 70

6

Publications - Highly rated

2014.01 – 2015.07 (HB VWL 2010)

7

P. Autor Title Y. Journal R.

A8 Strausz, R. and Krähmer, D. Optimal Sales Contracts with Withdrawal Rights 2015 Review of Economic

Studies 1

A13 Danis, A., Rettl, D. and Whited, T. Refinancing, profitability, and capital structure 2014 Journal of Financial

Economics 1

A6 Benndorf, V., Kübler, D. and Normann, H.

Privacy concerns, voluntary disclosure of information, and unraveling: An experiment 2015 European Economic

Review 0.6

A6 Fehr, D., Hakimov, R. and Kübler, D.

The willingness to pay–willingness to accept gap: A failed replication of Plott and Zeiler 2015 European Economic

Review 0.6

A8 Krähmer, D. and Strausz,

R. Ex post information rents in sequential screening 2015 Games and Economic

Behavior 0.6

B1 Chao, S.K., Proksch, K., Dette, H. and Härdle, W.

Confidence Corridors for Multivariate Generalized Quantile Regression

2015 Journal of Business and Economic Statistics

0.6

C12, C14

Bibinger, M. and Winkelmann, L.

Econometrics of co-jumps in high-frequency data with noise 2015 Journal of Econometrics 0.6

B1 Härdle, W. and Wang, W. Principle Volatility Component Analysis (a Discussion) 2014 Journal of Business and Economic Statistics 0.6

B8, C12

Bibinger, M., Hautsch, N., Malec, P. and Reiß, M.

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency 2014 The Annals of Statistics 0.6

C12 Jirak, M., Meister, A. and Reiß, M.

Adaptive function estimation in nonparametric regression with one-sided errors 2014 Annals of Statistics 0.6

C12 Jacod, J. and Reiß, M. A remark on the rates of convergence for integrated volatility estimation in the presence of jumps 2014 Annals of Statistics 0.6

Comprehensive Statistics (http://sfb649.wiwi.hu-berlin.de/fedc/statSFB/PubDP_2015Juli.html#Pub)

Guest Researcher Program

2009.01 – 2015.07

34 47

109

160

290 359

197

8

333

42 36 11 9 9 8 7 6 6 5

71

737

211

27 90 131

Quantnet (1)

Books / projects ordered by quantlet downloads

2009.11 – 2015.07

9

97975

96719

38851

30486

25270

22259

16050

9182

8552

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 – 2015.07

10

2963

1788

1463

1450

1407

1263

1260

1218

1197

1188

autocorr.m (autocorrelation plots)

SMSboxcar (Boxplot car mileage)

MVAMDScity1 (map of the cities)

SFEVolSurfPlot (implied volatility surface)

SFSmeanExcessFun (generalized Pareto…

MVAnpcabank (PCA for Swiss bank notes)

SFEBSCopt1 (price of a call)

SFSautoparcorr (ACF & PACF for returns)

MVACARTBan1 (US bankruptcy analysis)

SFEGBMProcess (simulation of GBM)

Quantnet (3)

Downloads by year and country

2009.11 – 2015.07

130947

78131

0 50.000 100.000 150.000

US

DE

CN

RU

FR

GB

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IT

BG

Other

HU

11

1.571

42.796 47.823

116.352

172.634

186.436

71.246

Total Number of Quantlets: 1705

Visitors of the SFB649 Website

Top 10 countries, total visitors: 52760

2013.11 – 2015.07

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By months

Visitors Pageviews

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