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Rolf Tschernig

Profile

Diplom-Volkswirt (roughly M.Sc.) Ludwig-Maximilians-Universität Munich 1987, Dr. oec. publ. (Ph.D. in economics) Ludwig-Maximilians-Universität Munich 1992, Post-doctoral Fellow at the University Maastricht in the Netherlands 1993, Habilitation in statistics and econometrics Humboldt University of Berlin 1999, Research Associate at the Sonderforschungsbereich 373 `Quantification and Simulation of Economic Processes` at the Humboldt University of Berlin 1994-1999, Assistant Professor at the Institute of Statistics and Econometrics at the Humboldt University of Berlin 1999-2001, Associate Professor at the Department of Quantitative Economics at Maastricht University 2001-2007 (since 2004 part time), since 2004 chair of econometrics at the University of Regensburg; since 2001 associate editor at Computational Statistics, since 2006 member of the user advisory council of the ifo institute Munich (since 2008 chair).

Publications

Publikationen

Hinweis: Die hier gelisteten Publikationen sind auf dem Server http://epub.uni-regensburg.de/ eingepflegt. Es handelt sich nicht notwendigerweise um eine vollständige Publikationsliste.

Publikationen - Prof. Dr. Rolf Tschernig

Bücher / Books

Rolf Tschernig:
Wechselkurse, Unsicherheit und Long Memory
Physica-Verlag, Heidelberg 1994.

Beiträge in referierten Zeitschriften / Refereed papers in Journals

Rolf Tschernig:
Racial Disparities, Judge Characteristics, and Standards of Review in Sentencing: Comment
Journal of Institutional and Theoretical Economics (JITE) 1/171 (2015) 53-57.
[Published Online First February 12]

Rolf Tschernig, Enzo Weber, Roland Weigand:
Long- versus medium-run identification in fractionally integrated VAR models
Economics Letters 2/122 (2014) 299-302.

Rolf Tschernig, Enzo Weber, Roland Weigand:
Long-run Identification in a Fractionally Integrated System
Journal of Business and Economic Statistics 4/31 (2013) 438-450.

Stefan Listl, Michael Behr, Peter Eichhammer, Rolf Tschernig:
The psychological impact of prosthodontic treatment—a discrete response modelling approach
Clinical Oral Investigations (2011).
[Online First™, 21 Juli 2011]

Harry Haupt, Joachim Schnurbus, Rolf Tschernig:
On Nonparametric Estimation of a Hedonic Price Function
Journal of Applied Econometrics 5/25 (2010) 894-901.

Peter Schotman, Rolf Tschernig, Jan Budek:
Long Memory and the Term Structure of Risk
Journal of Financial Econometrics 4/6 (2008) 459-495.

Lijian Yang, Rolf Tschernig:
Non- and semiparametric identification of seasonal nonlinear autoregression models
Econometric Theory 18 (2002) 1408-1448.

Wolfgang Härdle, Torsten Kleinow, Rolf Tschernig:
Web quantlets for time series analysis
Annals of the Institute of Statistical Mathematics 53 (2001) 179-188.

Gianluigi Rech, Timo Teräsvirta, Rolf Tschernig:
A simple variable selection technique for nonlinear models
Communications in Statistics Theory and Methods 30 (2001) 1227-1241.

Dominique Guegan, Rolf Tschernig:
Prediction of chaotic time series in the presence of measurement error: the importance of initial conditions
Statistics and Computing 11 (2001) 277-284.

Rolf Tschernig, Lijian Yang:
Nonparametric lag selection for time series
Journal Of Time Series Analysis 21 (2000) 457-487.

Rolf Tschernig, Y. Lang:
Multivariate bandwidth selection for local linear regression
Journal of the Royal Statistical Society, Series B (Statistical Methodology) 61 (1999) 793-815.

Stefan Profit, Rolf Tschernig:
Germany's Labor Market Problems: What to do and what not to do - A Survey among Experts
IFO-Studien 44 (1998) 307-325.
[On this survey there was an article in the Süddeutsche Zeitung on December 3, 1998 (only German).]

Gerard A. Pfann, Peter C. Schotman, Rolf Tschernig:
Nonlinear interest rate dynamics and implications for the term structure
Journal of Econometrics 74 (1996) 149-176.

Rolf Tschernig:
Long memory in foreign exchange rates revisited
Journal of International Financial Markets, Institutions, and Money 5 (1995) 53-78.

Dominique Demougin, Rolf Tschernig:
Costless revelation of private information in the case of a duopoly
Journal of Institutional and Theoretical Economics 149 (1993) 443-63.

Rolf Tschernig, Klaus F. Zimmermann:
Illusive persistence in German unemployment
Recherches Économique de Louvain 58 (1992) 441-453.

Zeitschriftenbeiträge / Papers in Journals

Rolf Tschernig:
Risikomanagement für Pensionsfonds. Zeitstruktur des Risikos und ein perfektes Gedächtnis
Blick in die Wissenschaft 20 (2008) 57-63.

Rolf Tschernig, Lijang Yang:
Multiple index identification of nonlinear vector autoregression
Bulletin of the international Statistical Institute 54th Session: Proceedings (2003) 326-329.

Buchbeiträge / Papers in books

Harry Haupt, Joachim Schnurbus, Rolf Tschernig:
Statistical validation of functional form in multiple regression using R
Advances in Social Science Research Using R, Springer, New York 2009, 157-168.

Rolf Tschernig:
Nonparametric Time Series Modelling
Applied Time Series Econometrics, Cambridge University Press, Cambridge 2004.

Wolfgang Härdle, Rolf Tschernig:
Flexible Time Series Analysis
XploRe-Application Guide, Springer-Verlag, Heidelberg 2000, 397-458.

Rolf Tschernig:
Coment on "Cointegration Analysis" by H. Bierens
System Dynamics in Economic and Financial Models, Wiley, 1998, 244-245.

Helmut Lütkepohl, Rolf Tschernig:
Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdaten
Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren, Physica-Verlag, Heidelberg 1996, 145-171.

Heinz-Dieter Wenzel, Kora Kristof, Rolf Tschernig:
A consistent analysis of government financing in a continuous time IS-LM Model
Recent Approaches to Economic Dynamics, Peter Lang, Frankfurt am Main 1988.

Arbeitspapiere, graue Literatur, Sonstiges / Working papers, gray literature, other publications

Rolf Tschernig, Enzo Weber, Roland Weigand:
Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation
Working Paper, Regensburg, 2013.

Peter Schotman, Rolf Tschernig, Jan Budek:
Long Memory and the Term Structure of Risk
Working Paper, 200

Software

Software

  • Nonparametric (seasonal) time series analysis

Module for nonparametric (seasonal) time series analysis in the free, menu driven software JMulTi. This module includes lag selection, bandwidth selection, estimation for the conditional mean and the conditional volatility of univariate (seasonal) time series. For conditional mean estimates one can also compute confidence intervals, conduct one-step ahead forecasts and rolling over one-step ahead forecasts. The modules also contain the methods described in the articles Non- and semiparametric identification of seasonal nonlinear autoregression models (2002) and Nonparametric lag selection for time series (2000). For an introduction in the various nonparametric methods implemented in this module see Nonparametric Time Series Modelling (2004).

Parts of the functionality of the above module is also available for the software XploRe. It includes the corrected asymptotic final prediction error (CAFPE) for nonparametric lag selection for nonseasonal time series. Download the zipped CAFPE Library for the XploRe software: please read readme file before downloading zipped CAFPE library for Windows 95/98/NT and UNIX. A detailed description of the program can be found in Flexible Time Series Analysis (2000).

  • Multivariate bandwidth selection for local linear regression

GAUSS software: please read readme file before downloading zipped MULTBAND library for Windows 95/98/NT, tar file of MULTBAND library for UNIX - Solaris.

  1. Faculty of Business, Economics and Management Information Systems
  2. Department of Economics

Chair of Econometrics

Prof. Dr. Rolf Tschernig

Bild Tschernig 191x

Building RW(L), Zi. 515

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Telefax +49 941 943-4917
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