CQE Working Papers

2019

79/2019
Forecasting Volatility in Cryptocurrency Markets
Mawuli Segnon, Stelios Bekiros
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78/2019
Sup-ADF-style bubble-detection methods under test
Verena Monschang, Bernd Wilfling
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2018

77/2018
The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices
Martin T. Bohl, Christoph Sulewski
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76/2018
Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896
Martin T. Bohl, Alexander Pütz, Pierre L. Siklos, Christoph Sulewski
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75/2018
Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?
Martin T. Bohl, Pierre L. Siklos, Martin Stefan, Claudia Wellenreuther
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74/2018
Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market
Martin T. Bohl, Martin Stefan
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73/2018
Bayesian Estimation of Generalized Partition of Unity Copulas
Andreas Masuhr
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72/2018
Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach
Christian Gross, Pierre Siklos
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71/2018
Forecasting Inflation Uncertainty in the G7 Countries
Mawuli Segnon, Stelios Bekiros, Bernd Wilfling
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70/2018
Randomized Quasi Sequential Markov Chain Monte Carlo2
Fabian Goessling
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69/2018
Human Capital, Growth, and Asset Prices
Fabian Goessling
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68/2018
An approach to increasing forecast-combination accuracy through VAR error modeling
Till Weigt, Bernd Wilfling
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2017

67/2017
Volatility Transmission in Overlapping Trading Zones
Andreas Masuhr
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66/2017
Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach
Mawuli Segnon, Mark Trede
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65/2017
Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis
Nazmus Sadat Khan
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64/2017
Semi-parametric Bayesian Forecasting with an Application to Stochastic Volatility
Fabian Goessling, Martina Danielova Zaharieva
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63/2017
Examining the Common Dynamics of Commodity Futures Prices
Christian Gross
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62/2017
Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
Martina Danielova Zaharieva, Mark Trede, Bernd Wilfling
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61/2017
Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
Mawuli Segnon, Chi Keung Lau, Bernd Wilfling, Rangan Gupta
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60/2017
Investors'  Favourite - A Different Look at Valuing Individual Labour Income
Jan Voelzke, Jeanne Diesteldorf, Fabian Goessling, Till Weigt
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59/2017
Computing the Substantial-Gain-Loss-Ratio
Jan Voelzke, Sebastian Mentemeier
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58/2017
A new stock-price bubble with stochastically deflating trajectories
Benedikt Rotermann, Bernd Wilfling
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2016

57/2016
Should We Like it? - A Social Welfare Based Quantification of Policy Attractiveness
Jan Voelzke, Fabian Goessling
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56/2016
The political economy of interregional competition for firms
Daniel Hopp, Michael Kriebel
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55/2016
Classifying Industries Into Types of Relative Concentration
Ludwig von Auer, Andranik Stepanyan, Mark Trede
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54/2016
Exact expectations - Efficient calculation of DSGE models
Fabian Goessling
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53/2016
On shock symmetry in South America: New evidence from intra-Brazilian real exchange rates
Christian Rohe
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52/2016
Committing to Fiscal Policy: The Influence of the U.S. President on Consumer Confidence and Output
Philipp Adämmer, T. Philipp Dybowski
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51/2016
The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets
Martin T. Bohl, Christian Gross, Waldemar Souza
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50/2016
New evidence for explosive behavior of commodity prices
Jeanne Diesteldorf, Sarah Meyer, Jan Voelzke
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49/2016
The Economic Effects of U.S. Presidential Tax Communication
T.P. Dybowski, J.N. Dybowski, P. Adämmer
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48/2016
A Note on the Success of Media Investments: No Predictability, Pure Luck
Martin T. Bohl, Thomas Ehrmann
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47/2016
Explosive earnings dynamics: Whoever has will be given more
Sarah Meyer, Mark Trede
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46/2016
A new combination approach to reducing forecast errors with an application to volatility forecasting
Till Weigt, Bernd Wilfling
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45/2016
Short selling constraints and stock returns volatility: empirical evidence from the German stock market
Martin T. Bohl, Gerrit Reher, Bernd Wilfling
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2015

44/2015
Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?
Philipp Adämmer, Martin T. Bohl
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43/2015
Higher-order statistics for DSGE models
Willi Mutschler
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42/2015
The role of external shocks for monetary policy in Colombia and Brazil: A Bayesian SVAR analysis
Christian Rohe, Matthias Hartermann
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41/2015
Management Compensation, Monitoring and Aggressive Corporate Tax Planning
Melanie Steinhoff
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40/2015
Estimating rational stock-market bubbles with sequential Monte Carlo methods
 Benedikt Rotermann, Bernd Wilfling
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39/2015
Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
Philipp Adämmer, Martin T. Bohl, Christian Gross
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38/2015
Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures
Philipp Adämmer, Martin T. Bohl, Ernst-Oliver von Ledebur
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37/2015
The Case of Herding is Stronger than You Think
Martin T. Bohl, Nicole Branger, Mark Trede
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2014

36/2014
The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks
Martin T. Bohl, Jeanne Diesteldorf, Pierre L. Siklos
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35/2014
Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
Martin T. Bohl, Jeanne Diesteldorf, Christian A. Salm, Bernd Wilfling
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34/2014
Time-varying equilibrium rates in small open economies: Evidence for Canada
Tino Berger, Bernd Kempa
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33/2014
Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning
Willi Mutschler
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32/2014
Forecasting Exchange Rates under Model and Parameter Uncertainty
Joscha Beckmann, Rainer Schüssler
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31/2014
Weakening the Gain-Loss-Ratio measure to make it stronger
Jan Voelzke
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30/2014
Markets with Technological Progress: Pricing, Quality, and Novelty
Ludwig von Auer, Mark Trede
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29/2014
Forecasting Equity Premia using Bayesian Dynamic Model Averaging
Joscha Beckmann, Rainer Schüssler
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2013

28/2013
Periodically collapsing Evans bubbles and stock-price volatility
Benedikt Rotermann, Bernd Wilfling
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27/2013
Gibrat, Zipf, Fisher and Tippett: City Size and Growth Distributions Reconsidered
Christian Schluter, Mark Trede
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26/2013
King's law and food storage in Saxony, c. 1790 - 1830
Martin Uebele, Tim Grünebaum, Michael Kopsidis
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2012

25/2012
Economic Reforms and the Indirect Role of Monetary Policy
Andrea Beccarini
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24/2012
From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks
Martin Bohl, Philipp Kaufmann, Patrick Stephan
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23/2012
Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
Marc Lammerding, Patrick Stephan, Mark Trede, Bernd Wilfling
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22/2012
Verifying Time Inconsistency of the ECB Monetary Policy by a Regime-Switching Approach
Andrea Beccarini
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2011

21/2011
Weak convergence to the t-distribution
Christian Schluter, Mark Trede
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20/2011
The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis
Max Meulemann, Martin Uebele, Bernd Wilfling
(Journal of Financial Stability, forthcoming)
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19/2011
Optimal contract under asymmetric information: the role of options on futures
Andrea Beccarini
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18/2011
Estimating Continuous-Time Income Models
Christian Schluter, Mark Trede
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17/2011
Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market
Gerrit Reher, Bernd Wilfling
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2010

16/2010
Identifying International Business Cycles in Disaggregate Data: Germany, France and Great Britain
Martin Uebele
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15/2010
Consumer prices and wages in Germany, 1500 - 1850
Ulrich Pfister
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14/2010
Explaining Nineteenth-Century Bilateralism: Economic and Political Determinants of the Cobden-Chevalier Network
Markus Lampe
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13/2010
A Direct Test of Rational Bubbles
Friedrich Geiecke, Mark Trede
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12/2010
The Dynamics of Brand Equity: A Hedonic Regression Approach to the Laser Printer Market
Ludwig von Auer, Mark Trede
(Journal of the Operational Research Society, forthcoming)
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11/2010
Demand Matters: German Wheat Market Integration 1806‐1855 in a European Context
Martin Uebele
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10/2010
An Exact Pricing Formula for European Call Options on Zero-Coupon Bonds in the Run-Up to a Currency Union
Gerrit Reher, Bernd Wilfling
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2009

9/2009
Do Foreign Institutional Investors Destabilize China's A-Share Markets?
Michael Schuppli, Martin T. Bohl
(Journal of Interantional Financial Markets, Institutions and Money, forthcoming) 
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8/2009
The Other January Effect: International Evidence
Martin T. Bohl, Christian A. Salm
(European Journal of Finance, forthcoming)
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7/2009
Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets
Martin T. Bohl, Michael Schuppli, Pierre L. Siklos
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6/2009
Do Individual Index Futures Investors Destabilize the Underlying Spot Market?
Martin T. Bohl, Christan A. Salm, Bernd Wilfling
(Journal of Futures Markets 31 (2011), 81-101) 
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5/2009
A New Approach to Estimating Equilibrium Exchange Rates for Small Open Economies: The Case of Canada
Tino Berger, Bernd Kempa
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4/2009
International and National Wheat Market Integration in the 19th Century: A Comovement Analysis
Martin Uebele
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3/2009
Identification of Speculative Bubbles Using State-Space Models with Markov-Switching
Nael Al-Anaswah, Bernd Wilfling
(Journal of Banking and Finance 35 (2011), 1073-1086) 
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2/2009
Effects of Bilateralism and the MFN Clause on International Trade – Evidence for the Cobden-Chevalier Network, (1860-1875)
Markus Lampe
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1/2009
An Empirical Analysis of the Shanghai and Shenzen Limit Order Books
Huimin Chung, Jie Lu, Bruce Mizrach
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