Printed from https://ideas.repec.org/s/cqe/wpaper.html
Content
2024
- 10924 Accounting for Asymmetry in M-Estimation
by Manuel Stapper - 10824 Measurement Error in Earnings
by Stella Martin & Kevin Stabenow & Mark Trede - 10724 Extracting stock-market bubbles from dividend futures
by Nicole Branger & Mark Trede & Bernd Wilfling
2023
- 10623 Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test
by Verena Monschang & Mark Trede & Bernd Wilfling - 10523 A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches
by Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann
2022
- 10422 Stochastic debt sustainability analysis using time-varying fiscal reaction functions. An agnostic approach to fiscal forecasting
by Tore Dubbert - 10322 Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era
by Dimitrios Kanelis & Pierre L. Siklos - 10222 Strict stationarity of Poisson integer-valued ARCH processes of order infinity
by Mawuli Segnon - 10122 Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve
by Gaygysyz Guljanov & Willi Mutschler & Mark Trede - 10022 Government spending effects on the business cycle in times of crisis
by Tino Berger & Tore Dubbert - 9922 Financial-market volatility prediction with multiplicative Markov-switching MIDAS components
by Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling - 9822 Urbanization in Industrialized Countries: Appearances Are Deceptive
by Ludwig von Auer & Mark Trede - 9722 A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction
by Verena Monschang & Bernd Wilfling - 9622 How Central Bank Mandates Influence Content and Tone of Communication Over Time
by Martin T. Bohl & Dimitrios Kanelis & Pierre L. Siklos - 9522 "Evil" Speculators? Evidence from Grain Futures Trading in Chicago During the Interwar Period
by Elissa A.M. Iorgulescu & Alexander Puetz & Pierre L. Siklos
2021
- 9421 Algorithmic Collusion: Insights from Deep Learning
by Matthias Hettich
2020
- 9320 Regional labour migration - Stylized facts for Germany
by Mark Trede & Michael Zimmermann - 9220 Exchange rate shocks in multicurrency interbank markets
by Pierre L. Siklos & Martin Stefan - 9120 Age-Specific Entrepreneurship and PAYG Public Pensions in Germany
by Burkhard Heer & Mark Trede - 9020 Urban population in Germany, 1500 - 1850
by Ulrich Pfister
2019
- 8919 Speculation and the Informational Efficiency of Commodity Futures Markets
by Martin Bohl & Alexander Pütz & Christoph Sulewski - 8819 “Who pays the piper calls the tune” – Networks and transaction costs in commodity markets
by Alexander Pütz & Pierre L. Siklos & Christoph Sulewski - 8719 London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS
by Martin Stefan & Claudia Wellenreuther - 8619 An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?
by Martin T. Bohl & Martin Stefan & Claudia Wellenreuther - 8519 The ECB’s monetary pillar after the financial crisis
by T. Philipp Dybowski & Bernd Kempa - 8419 Metal Prices Made in China? A Network Analysis of Industrial Metal Futures
by Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther - 8319 The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models
by Sergey Ivashchenko & Willi Mutschler - 8219 Long Memory Conditional Heteroscedasticity in Count Data
by Mawuli Segnon & Manuel Stapper - 8119 Big in Japan: Global Volatility Transmission between Assets and Trading Places
by Andreas Masuhr - 8019 Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?
by Martin T. Bohl & Nicole Branger & Mark Trede - 7919 Forecasting Volatility in Cryptocurrency Markets
by Mawuli Segnon & Stelios Bekiros - 7819 Sup-ADF-style bubble-detection methods under test
by Verena Monschang & Bernd Wilfling
2018
- 7718 The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices
by Martin T. Bohl & Christoph Sulewski - 7618 Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896
by Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski - 7518 Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?
by Martin T. Bohl & Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther - 7418 Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market
by Martin T. Bohl & Martin Stefan - 7318 Bayesian Estimation of Generalized Partition of Unity Copulas
by Andreas Masuhr - 7218 Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach
by Christian Gross & Pierre L. Siklos - 7118 Forecasting Inflation Uncertainty in the G7 Countries
by Mawuli Segnon & Stelios Bekiros & Bernd Wilfling - 7018 Randomized Quasi Sequential Markov Chain Monte Carlo²
by Fabian Goessling - 6918 Human Capital, Growth, and Asset Prices
by Fabian Goessling - 6818 An approach to increasing forecast-combination accuracy through VAR error modeling
by Till Weigt & Bernd Wilfling
2017
- 6717 Volatility Transmission in Overlapping Trading Zones
by Andreas Masuhr - 6617 Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach
by Mawuli Segnon & Mark Trede - 6517 Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis
by Nazmus Sadat Khan - 6417 Semi-parametric Bayesian Forecasting with an Application to Stochastic Volatility
by Fabian Goessling & Martina Danielova Zaharieva - 6317 Examining the Common Dynamics of Commodity Futures Prices
by Christian Gross - 6217 Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
by Martina Danielova Zaharieva & Mark Trede & Bernd Wilfling - 6117 Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
by Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta - 6017 Investors' favourite - A different look at valuing individual labour income
by Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt - 5917 Computing the Substantial-Gain-Loss-Ratio
by Jan Voelzke & Sebastian Mentemeier - 5817 A new stock-price bubble with stochastically deflating trajectories
by Benedikt Rotermann & Bernd Wilfling
2016
- 5716 Should We Like it? - A Social Welfare Based Quantification of Policy Attractiveness
by Jan Voelzke & Fabian Goessling - 5616 The political economy of interregional competition for firms
by Daniel Hopp & Michael Kriebel - 5516 Classifying Industries Into Types of Relative Concentration
by Ludwig von Auer & Andranik Stepanyan & Mark Trede - 5416 Exact expectations - Efficient calculation of DSGE models
by Fabian Goessling - 5316 On shock symmetry in South America: New evidence from intra-Brazilian real exchange rates
by Christian Rohe - 5216 Committing to Fiscal Policy: The Influence of the U.S. President on Consumer Confidence and Output
by Philipp Adämmer & T. Philipp Dybowski - 5116 The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets
by Martin T. Bohl & Christian Gross & Waldemar Souza - 5016 New evidence for explosive behavior of commodity prices
by Jeanne Diesteldorf & Sarah Meyer & Jan Voelzke - 4916 The Economic Effects of U.S. Presidential Tax Communication
by T. Philipp Dybowski & J. Nikolaj Dybowski & Philipp Adämmer - 4816 A Note on the Success of Media Investments: No Predictability, Pure Luck
by Martin T. Bohl & Thomas Ehrmann - 4716 Explosive earnings dynamics: Whoever has will be given more
by Sarah Meyer & Mark Trede - 4616 A new combination approach to reducing forecast errors with an application to volatility forecasting
by Till Weigt & Bernd Wilfling - 4516 Short selling constraints and stock returns volatility: empirical evidence from the German stock market
by Martin T. Bohl & Gerrit Reher & Bernd Wilfling
2015
- 4415 Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?
by Philipp Adämmer & Martin T. Bohl - 4315 Higher-order statistics for DSGE models
by Willi Mutschler - 4215 The role of external shocks for monetary policy in Colombia and Brazil: A Bayesian SVAR analysis
by Christian Rohe & Matthias Hartermann - 4115 Management Compensation, Monitoring and Aggressive Corporate Tax Planning
by Melanie Steinhoff - 4015 Estimating rational stock-market bubbles with sequential Monte Carlo methods
by Benedikt Rotermann & Bernd Wilfling - 3915 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Philipp Adämmer & Martin T. Bohl & Christian Gross - 3815 Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures
by Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur - 3715 The Case of Herding ist Stronger than You Think
by Martin T. Bohl & Nicole Branger & Mark Trede
2014
- 3614 The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks
by Martin T. Bohl & Jeanne Diesteldorf & Pierre L. Siklos - 3514 Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
by Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling - 3414 Time-varying equilibrium rates in small open economies: Evidence for Canada
by Tino Berger & Bernd Kempa - 3314 Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning
by Willi Mutschler - 3214 Forecasting Exchange Rates under Model and Parameter Uncertainty
by Joscha Beckmann & Rainer Schüssler - 3114 Weakening the Gain-Loss-Ratio measure to make it stronger
by Jan Voelzke - 3014 Markets with Technological Progress: Pricing Quality, and Novelty
by Ludwig von Auer & Mark Trede - 2914 Forecasting Equity Premia using Bayesian Dynamic Model Averaging
by Joscha Beckmann & Rainer Schüssler
2013
- 2813 Periodically collapsing Evans bubbles and stock-price volatility
by Benedikt Rotermann & Bernd Wilfling - 2713 Gibrat, Zipf, Fisher and Tippett: City Size and Growth Distributions Reconsidered
by Christian Schluter & Mark Trede - 2613 King's law and food storage in Saxony, c. 1790-1830
by Martin Uebele & Tim Grünebaum & Michael Kopsidis
2012
- 2512 Economic Reforms and the Indirect Role of Monetary Policy
by Andrea Beccarini - 2412 From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks
by Martin Bohl & Philipp Kaufmann & Patrick Stephan - 2312 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
by Marc Lammerding & Patrick Stephan & Mark Trede & Bernd Wilfling - 2212 Verifying Time Inconsistency of the ECB Monetary Policy bya Regime-Switching Approach
by Andrea Beccarini
2011
- 2111 Weak convergence to the t-distribution
by Christian Schluter & Mark Trede - 2011 The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis
by Max Meulemann & Martin Uebele & Bernd Wilfling - 1911 Optimal contract under asymmetric information: the role of options on futures
by Andrea Beccarini - 1811 Estimating Continuous-Time Income Models
by Christian Schluter & Mark Trede - 1711 Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market
by Gerrit Reher & Bernd Wilfling
2010
- 1610 Identifying International Business Cycles in Disaggregate Data: Germany, France and Great Britain
by Martin Uebele - 1510 Consumer prices and wages in Germany, 1500 - 1850
by Ulrich Pfister - 1410 Explaining Nineteenth-Century Bilateralism: Economic and Political Determinants of the Cobden-Chevalier Network
by Markus Lampe - 1310 A Direct Test of Rational Bubbles
by Friedrich Geiecke & Mark Trede - 1210 The Dynamics of Brand Equity: A Hedonic Regression Approach to the Laser Printer Market
by Ludwig von Auer & Mark Trede - 1110 Demand Matters: German Wheat Market Integration 1806-1855 in a European Context
by Martin Uebele - 1010 An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
by Gerrit Reher & Bernd Wilfling
2009
- 0909 Do Foreign Institutional Investors Destabilize China’s A-Share Markets?
by Michael Schuppli & Martin T. Bohl - 0809 The Other January Effect: International Evidence
by Martin T. Bohl & Christian A. Salm - 0709 Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets
by Martin T. Bohl & Michael Schuppli & Pierre L. Siklos - 0609 Do Individual Index Futures Investors Destabilize the Underlying Spot Market?
by Martin T. Bohl & Christian A. Salm & Bernd Wilfling - 0509 A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada
by Tino Berger & Bernd Kempa - 0409 International and National Wheat Market Integration in the 19th Century: A Comovement Analysis
by Martin Uebele - 0309 Identification of speculative bubbles using state-space models with Markov-switching
by Nael Al-Anaswah & Bernd Wilfling - 0209 Effects of Bilateralism and the MFN Clause on International Trade – Evidence for the Cobden-Chevalier Network, (1860-1875)
by Markus Lampe - 0109 An Empirical Analysis of the Shanghai and Shenzen Limit Order Books
by Huimin Chung & Jie Lu & Bruce Mizrach