CQE Working Papers
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2024 (No. 107)
107/2024
Extracting stock-market bubbles from dividend futures
Nicole Branger, Mark Trede, Bernd Wilfling
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2023 (No. 105-106)
106/2023
Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test
Verena Monschang, Mark Trede, Bernd Wilfling
Download (PDF, 0.5 MB)105/2023
A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches
Björn Schulte-Tillmann, Mawuli Segnon, Timo Wiedemann
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2022 (No. 95-104)
104/2022
Stochastic debt sustainability analysis using timevarying fiscal reaction functions. An agnostic approach to fiscal forecasting
Tore Dubbert
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Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era
Dimitrios Kanelis, Pierre L. Siklos
Download (PDF, 1.0 MB)102/2022
Strict stationarity of Poisson integer-valued ARCH processes of order infinity
Mawuli Segnon
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Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve
Gaygysyz Guljanov, Willi Mutschler, Mark Trede
Download (PDF, 0.7 MB)100/2022
Government spending effects on the business cycle in times of crisis
Tino Berger, Tore Dubbert
Download (PDF, 2.0 MB)99/2022
Financial-market volatility prediction with multiplicative Markov-switching MIDAS components
Björn Schulte-Tillmann, Mawuli Segnon, Bernd Wilfling
Download (PDF, 0.6 MB)98/2022
Urbanization in Industrialized Countries: Appearances Are Deceptive
Ludwig von Auer, Mark Trede
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A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction
Verena Monschang, Bernd Wilfling
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How Central Bank Mandates Influence Content and Tone of Communication Over Time
Martin T. Bohl, Dimitrios Kanelis, Pierre L. Siklos
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“Evil” Speculators? Evidence from Grain Futures Trading in Chicago During the Interwar Period
Elissa A.M. Iorgulescu, Alexander Pütz, Pierre L. Siklos
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2021 (No. 94)
94/2021
Algorithmic Collusion: Insights from Deep Learning
Matthias Hettich
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2020 (No. 90-93)
93/2020
Regional labour migration - Stylized facts for Germany
Mark Trede, Michael Zimmermann
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Exchange rate shocks in multicurrency interbank markets
Pierre L. Siklos, Martin Stefan
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Age-Speci c Entrepreneurship and PAYG Public Pensions in Germany
Burkhard Heer, Mark Trede
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Urban population in Germany, 1500–1850
Ulrich Pfister
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2019 (No. 78-89)
89/2019
Speculation and the Informational Efficiency of Commodity Futures Markets
Martin T. Bohl, Alexander Pütz, Christoph Sulewski
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“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets
Alexander Pütz, Pierre L. Siklos, Christoph Sulewski
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London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS
Martin Stefan, Claudia Wellenreuther
Download (PDF, 0.4 MB)86/2019
An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?
Martin T. Bohl, Martin Stefan, Claudia Wellenreuther
Download (PDF, 0.5 MB)85/2019
The ECB's monetary pillar after the financial crisis
T. Philipp Dybowski, Bernd Kempa
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Metal Prices Made in China? A Network Analysis of Industrial Metal Futures
Pierre L. Siklos, Martin Stefan, Claudia Wellenreuther
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The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models
Sergey Ivashchenko, Willi Mutschler
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Long Memory Conditional Heteroscedasticity in Count Data
Mawuli Segnon, Manuel Stapper
Download (PDF, 0.7 MB)81/2019
Big in Japan: Global Volatility Transmission between Assets and Trading Places
Andreas Masuhr
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Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?
Martin T. Bohl, Nicole Branger, Mark Trede
Download (PDF, 0.8 MB)79/2019
Forecasting Volatility in Cryptocurrency Markets
Mawuli Segnon, Stelios Bekiros
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Sup-ADF-style bubble-detection methods under test
Verena Monschang, Bernd Wilfling
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2018 (No. 68-77)
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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Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896
Martin T. Bohl, Alexander Pütz, Pierre L. Siklos, Christoph Sulewski
Download (PDF, 0.5 MB)75/2018
Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?
Martin T. Bohl, Pierre L. Siklos, Martin Stefan, Claudia Wellenreuther
Download (PDF, 0.9 MB)74/2018
Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market
Martin T. Bohl, Martin Stefan
Download (PDF, 0.4 MB)73/2018
Bayesian Estimation of Generalized Partition of Unity Copulas
Andreas Masuhr
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Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach
Christian Gross, Pierre Siklos
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Forecasting Inflation Uncertainty in the G7 Countries
Mawuli Segnon, Stelios Bekiros, Bernd Wilfling
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Randomized Quasi Sequential Markov Chain Monte Carlo2
Fabian Goessling
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Human Capital, Growth, and Asset Prices
Fabian Goessling
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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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Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach
Mawuli Segnon, Mark Trede
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Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis
Nazmus Sadat Khan
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Semi-parametric Bayesian Forecasting with an Application to Stochastic Volatility
Fabian Goessling, Martina Danielova Zaharieva
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Examining the Common Dynamics of Commodity Futures Prices
Christian Gross
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Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
Martina Danielova Zaharieva, Mark Trede, Bernd Wilfling
Download (PDF, 1.1 MB)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
Download (PDF, 0.9 MB)60/2017
Investors' favourite - A different look at valuing individual labour income
Jan Voelzke, Jeanne Diesteldorf, Fabian Goessling, Till Weigt
Download (PDF, 1.5 MB)59/2017
Computing the Substantial-Gain-Loss-Ratio
Jan Voelzke, Sebastian Mentemeier
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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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The political economy of interregional competition for firms
Daniel Hopp, Michael Kriebel
Download (PDF, 0.4 MB)55/2016
Classifying Industries Into Types of Relative Concentration
Ludwig von Auer, Andranik Stepanyan, Mark Trede
Download (PDF, 0.7 MB)54/2016
Exact expectations - Efficient calculation of DSGE models
Fabian Goessling
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On shock symmetry in South America: New evidence from intra-Brazilian real exchange rates
Christian Rohe
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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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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
Download (PDF, 0.6 MB)50/2016
New evidence for explosive behavior of commodity prices
Jeanne Diesteldorf, Sarah Meyer, Jan Voelzke
Download (PDF, 1.6 MB)49/2016
The Economic Effects of U.S. Presidential Tax Communication
T.P. Dybowski, J.N. Dybowski, P. Adämmer
Download (PDF, 0.7 MB)48/2016
A Note on the Success of Media Investments: No Predictability, Pure Luck
Martin T. Bohl, Thomas Ehrmann
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Explosive earnings dynamics: Whoever has will be given more
Sarah Meyer, Mark Trede
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A new combination approach to reducing forecast errors with an application to volatility forecasting
Till Weigt, Bernd Wilfling
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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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Higher-order statistics for DSGE models
Willi Mutschler
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The role of external shocks for monetary policy in Colombia and Brazil: A Bayesian SVAR analysis
Christian Rohe, Matthias Hartermann
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Management Compensation, Monitoring and Aggressive Corporate Tax Planning
Melanie Steinhoff
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Estimating rational stock-market bubbles with sequential Monte Carlo methods
Benedikt Rotermann, Bernd Wilfling
Download (PDF, 0.5 MB)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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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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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
Download (PDF, 0.8 MB)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
Download (PDF, 1.3 MB)34/2014
Time-varying equilibrium rates in small open economies: Evidence for Canada
Tino Berger, Bernd Kempa
Download (PDF, 0.5 MB)33/2014
Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning
Willi Mutschler
Download (PDF, 0.6 MB)32/2014
Forecasting Exchange Rates under Model and Parameter Uncertainty
Joscha Beckmann, Rainer Schüssler
Download (PDF, 0.5 MB)31/2014
Weakening the Gain-Loss-Ratio measure to make it stronger
Jan Voelzke
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Markets with Technological Progress: Pricing, Quality, and Novelty
Ludwig von Auer, Mark Trede
Download (PDF, 0.2 MB)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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Gibrat, Zipf, Fisher and Tippett: City Size and Growth Distributions Reconsidered
Christian Schluter, Mark Trede
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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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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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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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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
Download (PDF, 0.4 MB)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)
Download (PDF, 0.4 MB)19/2011
Optimal contract under asymmetric information: the role of options on futures
Andrea Beccarini
Download (PDF, 0.4 MB)18/2011
Estimating Continuous-Time Income Models
Christian Schluter, Mark Trede
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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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Consumer prices and wages in Germany, 1500 - 1850
Ulrich Pfister
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Explaining Nineteenth-Century Bilateralism: Economic and Political Determinants of the Cobden-Chevalier Network
Markus Lampe
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A Direct Test of Rational Bubbles
Friedrich Geiecke, Mark Trede
Download (PDF, 0.3 MB)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)
Download (PDF, 0.4 MB)11/2010
Demand Matters: German Wheat Market Integration 1806‐1855 in a European Context
Martin Uebele
Download (PDF, 0.8 MB)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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The Other January Effect: International Evidence
Martin T. Bohl, Christian A. Salm
(European Journal of Finance, forthcoming)
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Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets
Martin T. Bohl, Michael Schuppli, Pierre L. Siklos
Download (PDF, 0.3 MB)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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A New Approach to Estimating Equilibrium Exchange Rates for Small Open Economies: The Case of Canada
Tino Berger, Bernd Kempa
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International and National Wheat Market Integration in the 19th Century: A Comovement Analysis
Martin Uebele
Download (PDF, 0.6 MB)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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Effects of Bilateralism and the MFN Clause on International Trade – Evidence for the Cobden-Chevalier Network, (1860-1875)
Markus Lampe
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An Empirical Analysis of the Shanghai and Shenzen Limit Order Books
Huimin Chung, Jie Lu, Bruce Mizrach
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