CQE Working Papers

  • 2018 (No. 68-69)

    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 (No. 58-67)

    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 volatility 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 (No. 45-57)

    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 (No. 37-44)

    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 (No. 29-36)

    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 (No. 26-28)

    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 (No. 22-25)

    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 (No. 17-21)

    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 (No. 10-16)

    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 (No. 1-9)

    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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