schienle

Prof. Dr. Melanie Schienle

short bio

[long CV]  (last update 07/2024)

since 04/2015 professor and chair of Statistical Methods and Econometrics, department of Economics and Managment, KIT
since 02/2021 professor, department of Mathematics, KIT
10/2012 - 03/2015 professor of Econometrics, Leibniz University Hannover
11/2008 - 09/2012 assistant professor Econometrics, Humboldt-Universität zu Berlin
2008 dr. rer. pol. "summa cum laude", Mannheim University,
Graduate School in Economics (Advisors: Enno Mammen, Oliver Linton)
2003 diploma with distinction in Mathematics
with minor in theoretical Physics, University of Karlsruhe

associate editor, international journal of forecasting (since 2023)
associate editor, journal of time series analysis (since 2016)
scientist, Heidelberg Institute for Theoretical Studies, HITS (since 2023)
senior fellow, Rimini Center of Economic Analysis (RCEA) (since 2023)
steering committee member, Rimini Center of Economic Analysis (RCEA) Time Series (since 2023)
elected board member, german economic association (VFS) (since 2023)

scientific spokesperson, center of Mathematics in Sciences, Economics and Engineering (MathSEE) at KIT (since 2023)
founding spokesperson, Institute of Statistics at KIT (since 2024)
vice-dean of research, department of Economics and Management KIT (since 2023)
steering committee member, graduate school on computational and data science (KCDS) (since 2024)
PI graduate school KCDS (since 2022)
PI graduate school HIDSS4Health (since 2020)

chairwoman, standing fields committee of econometrics in the german economic association/ Vorsitzende Ausschuss für Ökonometrie, Verein für Socialpolitik ( 2019-2023)
member of CRYS (university research council) at KIT (2017-2023)

current key initiatives:

older projects with published outcomes:

 

publications

High-Dimensional Macroeconomic Stress Testing of Corporate Recovery Rate (with Adolreza Nazemi, Friedrich Baumann and Frank Fabozzi), Quantitative Finance, 2024+, forthcoming

Large Spillover Networks of Nonstationary Systems (with Shi Chen), Journal of Business & Economic Statistics, 2024, 42 (2), 422–436 [doi: 10.1080/07350015.2022.2099870] [working paper]

Success Factors in Football: An Analysis of the EURO 2020 (with V. Renner, K. Görgen, H. Wäsche, A. Woll), Journal of the Quantitative Analysis in Sports, 2024,  accepted [doi: 10.1515/jqas-2023-0026

Direction Augmentation in the Evaluation of Armed Conflicts (with J. Bracher, L. Rüter, F. Krüger, S. Lerch) International Interactions, 2023, 49(6), 989–1004. [doi: 10.1080/03050629.2023.2255923 ] [working paper]

Collaborative Nowcasting of COVID-19 Hospitalization Incidences in Germany (with D. Wolffram, S. Abbott, M. an der Heiden, S. Funk, F. Günther, D. Hailer, S. Heyder, T. Hotz, J. van de Kassteele, H. Küchenhoff, S. Müller-Hansen, D. Syliqi, A. Ullrich, M. Weigert, J. Bracher), PLOS Computational Biology, 2023, forthcoming, [doi: 10.1371/journal.pcbi.1011394], [working paper], [interactive platform Covid-19 Nowcast Hub], [github repository]

Model Diagnostics and Forecast Evaluation for Quantiles (with Tilmann Gneiting, Daniel Wolffram, Johannes Resin, Johannes Bracher, Timo Dimitriadis, Veit Hagenmeyer, Alexander Jordan, Kristof Kraus, Sebastian Lerch, Kaleb Phipps), Annual Review of Statistics and its Applications, 2023, Vol. 10, [doi: 10.1146/annurev-statistics-032921-020240] 

National and subnational short-term forecasting of COVID-19 in Germany and Poland, early 2021 (with J. Bracher, D. Wolffram, J. Deuschel, K. Görgen, J.L. Ketterer, A. Ullrich, S. Abbott, M.V. Barbarossa, D. Bertsimas, S. Bhatia, M. Bodych, N.I. Bosse, J.P. Burgard, J. Fuhrmann, S. Funk, K. Gogolewski, S. Heyder, T. Hotz, Y. Kheifetz, H. Kirsten, T. Krueger, E. Krymova, N. Leithäuser, M.L. Li, J.H. Meinke ,B. Miasojedow, J. Mohring, P. Nouvellet, J.M. Nowosielski, T. Ożański, M. Radwan, F. Rakowski, M. Scholz, S. Soni, A. Srivastava, T. Gneiting),  Communications Medicine, 2022,  Volume 2, 136 [doi: 10.1038/s43856-022-00191-8][preprint older version][interactive platform German and Polish Covid 19 Forecast Hub], [github repository][pre-registration]

Assessing the Impact of Policy and Regulation Interventions in European Sovereign Credit Risk Networks: What worked best? (with Rebekka Buse and Jörg Urban), Journal of International Economics, 2022, Volume 139, 103673 [doi: 10.1016/j.jinteco.2022.103673]  [older version as ESRB working paper]

Collaborative hubs: making the most of predictive epidemic modeling (joint with N.G. Reich, J. Lessler, S. Funk, C. Viboud, A. Vespignani, R.J. Tibshirani, K. Shea, M.C. Runge1, R. Rosenfeld, E.L. Ray, R. Niehus, H.C. Johnson, M.A. Johansson, H. Hochheiser, L. Gardner, J. Bracher, R.K. Borchering, M. Biggerstaff) American Journal of Public Health, 2021, Volume 112, No 6, 839-842. [doi: 10.2105/AJPH.2022.306831], [working paper]

A preregistered short-term forecasting study of COVID-19 in Germany and Poland during the second wave (joint with J. Bracher, D. Wolffram, J. Deuschel, K. Görgen, J.L. Ketterer, A. Ullrich, S. Abbott, M.V. Barbarossa, D. Bertsimas, S. Bhatia, M. Bodych, N.I. Bosse, J.P. Burgard, J. Fuhrmann, S. Funk, K. Gogolewski, Q. Gu, S. Heyder, T. Hotz, Y. Kheifetz, H. Kirsten, T. Krueger, E. Krymova, M.L. Li, J.H. Meinke, K. Niedzielewski, T. Ożański, F. Rakowski, M. Scholz, S. Soni, A. Srivastava, J. Zieliński, D. Zou, T. Gneiting)  Nature Communications, 2021, Volume 12, Article number 5173 [doi: 10.1038/s41467-021-25207-0] [working paper on medRxiv], [interactive platform German and Polish Covid 19 Forecast Hub], [github repository][pre-registration]

Testing for an Omitted Long-Term Component in Multiplicative GARCH Models (joint with Christian Conrad), Journal of Business & Economic Statistics, 2020, Vol.38, No.2, 229-242 [doi:10.1080/07350015.2018.1482759] [working paper version]

Detecting structural differences in tail dependence of financial time series (joint with Carsten Bormann), Journal of Business & Economic Statistics, 2020, Vol.38, No.2, 380-392 [doi:10.1080/07350015.2018.1506343]  [working paper] [online appendix]

A retrospective assessment of different endodontic treatment protocols (with Andreas Bartols, Carsten Bormann, Luisa Werner,Winfried Walther, Christof E. Dörfer) PeerJ, 2020, [doi:10.7717/peerj.8495]

Determination of Vector Error Correction Models in High Dimensions (with Chong Liang), Journal of Econometrics, 2019, Vol. 208, No. 2, 418-441 [doi:10.1016/j.jeconom.2018.09.018], [working paper] , [online appendix]

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

Semiparametric Estimation with Generated Covariates (joint with Enno Mammen and Christoph Rothe)  Econometric Theory,  2016, Vol. 32, No.5, 1140-1177; [doi:10.1017/S0266466615000134] , [working paper version]

Systemic Risk Spillovers in the European Banking and Sovereign Network (joint with Frank Betz, Nikolaus Hautsch and Tuomas Peltonen), Journal of Financial Stability, 2016,  Vol.25 , 206–224   [doi:10.1016/j.jfs.2015.10.006], [working paper version] - [reported in the ECB Financial Stability Review [May 2013] (pages 71-73 (box 6))  and [Nov.2013] (page 74 ,chart 3.15)]

Beyond dimension two: A test for higher-order tail risk (with Carsten Bormann and Julia Schaumburg), Journal of Financial Econometrics, 2016, Vol. 14, No 3,  552-580; [doi: 10.1093/jjfinec/nbv022] [working paper version]

Financial Network Systemic Risk Contributions (joint with Nikolaus Hautsch and Julia Schaumburg) Review of Finance,  2015,  Vol. 19, No 2, 685-738 [doi:10.1093/rof/rfu010], [working paper version]

Nonparametric Kernel Density Estimation Near the Boundary (joint with Peter Malec) Computational Statistics and Data Analysis, 2014, Vol. 72, 57-72 [doi:10.1016/j.csda.2013.10.023], [working paper version]

Forecasting systemic impact in financial networks (joint with Nikolaus Hautsch and Julia Schaumburg) International Journal of Forcasting, 2014, Vol. 30, Issue 3, 781–794  [doi:10.1016/j.ijforecast.2013.09.004], [working paper version]

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (joint with Nikolaus Hautsch and Peter Malec) Journal of Financial Econometrics, 2013, Vol. 12 No.1, 89-121 [doi: 10.1093/jjfinec/nbt002], [working paper version], [webappendix]

Nonparametric Regression with Nonparametrically Generated Regressors (joint with Enno Mammen and Christoph Rothe), the Annals of Statistics, 2012, Vol. 40, No. 2, 1132-1170 [doi:10.1214/12-AOS995] or via arXiv [pdf]

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Additive Models: Extensions and Related Models (joint with Enno Mammen and Byeong U. Park) for the Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics (editors Racine, Ullah), Oxford University Press 2014 [working paper version]

Generated Covariates in Nonparametric Estimation: A Short Review (joint with Enno Mammen and Christoph Rothe),  in Recent Developments in Modeling and Applications in Statistics (editors Oliveira, da GraccaTemido, Henriques and Vichi), Springer 2013 [working paper version]

Nonparametric Estimation of Risk-Neutral Densities (joint with Maria Grith and Wolfgang Härdle) in Handbook of Computational Finance, Springer 2012 [working paper version]

Vorhersagen sind schwer,vor allem die Zukunft betreffend: Kurzzeitprognosen in der Pandemie (joint with Johannes Bracher, Daniel Wolffram, and Tilmann Gneiting), forthcoming DMV Mitteilungen, Vol. 29, No. 4, 2021, 186-190. [doi: 10.1515/dmvm-2021-0073] [working paper version]

 

working papers and ongoing work

see personal website: