Publications of all Institute and Chair members

  • 2023

    • Schluter, C., Trede, M., 2023, Spatial Earnings Inequality. Journal of Economic Inequality, to appear.
    • Masuhr, A., Trede, M., 2023, Mutual Volatility Transmission between Assets and Trading Places. Dependence Modeling, to appear.
    • Schmal, F., Trede, M., 2023, Hedging potential of occupational and regional wage indices. Journal of Income Distribution, to appear.
    • Heer, B., Trede, M., 2023. Age-specific entrepreneurship and PAYG: Public pensions in Germany. Journal of Macroeconomics 75: 103488, doi: 10.1016/j.jmacro.2022.103488.
    • Segnon, M., Gupta, R., Wilfling, B., 2023. Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. International Journal of Forecasting. In press. DOI.

  • 2022

    • Segnon, M., Gupta, R., Wilfling, B., 2022. Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. International Journal of Forecasting, forthcoming.
    • Segnon, M., Lau, C.K., Wilfling, B., Gupta, R., 2022. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. Studies in Nonlinear Dynamics and Econometrics 26, 73-98. DOI

  • 2021

    • Stapper, M., 2021. Count Data Time Series Modelling in Julia—The CountTimeSeries.jl Package and Applications. Entropy 23 Nr. 6: 666. Open Access
    • Monschang, V., Wilfling, B., 2021. Sup-ADF-style bubble-detection methods under test. Empirical Economics 61, 145-172. Open access
    • Bohl, M., Branger, N., Trede, M., 2021. Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid? Applied Economic Perspectives and Policy 44:1534-1553.
    • Gawellek, B., Lyu, J., Suessmuth, B., 2021. Geo-politics and the impact of China’s outward investment on developing countries: evidence from the Great Recession. Emerging Markets Review (accepted: 29 March 2021). DOI
    • Weigt, T., Wilfling, B., 2021. An approach to increasing forecast-combination accuracy through VAR error modeling. Journal of Forecasting 40, 686-699. Open access
    • Hettich, M., Trede, M., 2021. Preisalgorithmen und stillschweigende Kollusion: Wie Algorithmen lernen zu kooperieren. WiSt Wirtschaftswissenschaftliches Studium 50, 23-29. 

  • 2020

    • Segnon, M., Lau C.K., Wilfling, B., Gupta, R., 2020. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. Studies in Nonlinear Dynamics and Econometrics, in press
    • Danielova Zaharieva, M., Trede, M., Wilfling, B., 2020. Bayesian semiparametric multivariate stochastic volatility with application. Econometric Reviews 39, 947-970. Open access

    • Trede, M., 2020. Maximum likelihood estimation of high-dimensional Student-t copulas. Statistics and Probability Letters, im Erscheinen

  • 2019

    • Ivashchenko, S., Mutschler, W., 2019. The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models. Economic Modelling, forthcoming, doi.
    • Beccarini, A., 2019. Testing for the omission of relevant variables and regime-switching misspecification. Empirical Economics 56, 775-796.
    • von Auer, L., Stepanyan, A., Trede, M., 2019. Classifying Industries into Types of Relative Concentration. Journal of the Royal Statistical Society, Series A 182, 1017-1037.
    • Segnon, M., Antonakakis, N., Cunado, J. , Gupta, R., 2019. Revisiting the twin deficits hypothesis: A quantile cointegration analysis over the period 1791 - 2013.  Journal of Applied Economics 20, 116-130.

  • 2018

    • von Auer, L., Trede, M., 2018. Markets with Technological Progress: Pricing, Quality and Novelty. Journal of Economics 124 (2), 121-137.
    • Segnon, M., Bekiros, S., Wilfling, B., 2018. Forecasting inflation uncertainty in the G7 countries. Econometrics 6 (2), Article 23, 1-25.
    • Rotermann, B., Wilfling, B., 2018. A new stock-price bubble with stochastically deflating trajectories. Applied Economics Letters 25, 1091-1096.
    • Lux, T. & Segnon, M., 2018. Multifractal models in finance: Their origin properties and applications. The Oxford Handbook of Computational Economic an Finance, ed. by S.H. Chen, M. Kaboudan and Y.R. Du.
    • Bekiros, S., Gupta, R., Segnon, M., & Wohar, M.E., 2018. Forecasting US GNP Growth: The Role of Uncertainty. Journal of Forecasting 37, 571 - 559.

  • 2017

    • Goessling, F., 2017. Exact Expectations: Efficient Calculation of DSGE Models. Computational Economics, 1-14.
    • Segnon, M., Trede, M., 2017. Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach, European Journal of Finance 24: 1123-1143.
    • Shekhar , C., Trede, M., 2017. Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins. Review of Economics and Finance 9: 71-83.
    • Bohl, M.T., Branger, N., Trede, M., 2017. The Case for Herding is Stronger than You Think. Journal of Banking and Finance 85, 30-40.
    • Segnon, M., T. Lux, Gupta, R., 2017. Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. Renewable and Sustainable Energy Reviews 69, 692-704.

  • 2016

    • Balcilar, M., Gupta, R., Segnon, M., 2016. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency markov-switching vector autoregressive approach. Journal of Economics 10, 1-20.
    • Bohl, M.T., Reher, G., Wilfling, B., 2016. Short selling constraints and stock returns volatility: Empirical evidence from the German stock market. Economic Modelling 58, 159-166.
    • Bohl, M.T., Diesteldorf, J., Salm, C.A., Wilfling, B., 2016. Spot market volatility and futures trading: The pitfalls of using a dummy variable approach. Journal of Futures Markets 36, 30-45.
    • Lux, T., Segnon, M., Gupta, R., 2016. Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. Energy Economics 56, 117-133.
    • Lux, T., Segnon, M., 2016. Multifractal Models: Their Origion, Properties and Applications in Finance.  Handbook on Computational Economics and Finance, Working Paper No 1860, Kiel Institute for the World Economy,  Oxford University Press.
    • Reher, G., Wilfling, B., 2016. A nesting framework for Markov-switching GARCH modelling with an application to the German stock market. Quantitative Finance 16, 411-426.
    • Schüssler, R.,  Trede, M., 2016. Constructing minimum-width confidence bands. Economics Letters 145, 182-185.
    • Schluter, C.,  Trede, M., 2016. Weak convergence to the Student and Laplace distributions. Journal of Applied Probability 53, 121-129.
    • Trede, M., Ullmann, R., 2016. Bandbreiteneinengung bei der Ermittlung von Verrechnungspreisen: Verwendung von Konfidenzintervallen für geschätzte Quantile in der steuerlichen Einkünfteabgrenzung. erscheint in DBW.

  • 2015

    • Hassani, H., Silva, E. S., Gupta, R., Segnon, M., 2015. Forecasting the price of gold. Applied Economics 47, 4141-4152.
    • Hassani, H., Ghodsi Z., Gupta, R., Segnon, M., 2015 Forecasting Home Sale in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis. Computational Economics.
    • Trede, M., Ullmann, R., 2015. Interquartilsbandbreiten bei der Ermittlung von Verrechnungspreisen: Average-Methode und Pooling-Methode. zfbf: Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 67, 329-366.

  • 2014

    • Beccarini, A., 2014. Solving the liquidity constraint by options on futures. Journal of Mathematical Economics 51, 116-120.
    • Meulemann, M., Uebele, M., Wilfling, B., 2014. The restoration of the gold standard after the US civil war: A volatility analysis. Journal of Financial Stability 12, 37-46.
    • Reher, G., Wilfling, B., 2014. The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime. International Review of Economics and Finance 29, 483-496.
    • Rotermann, B., Wilfling, B., 2014. Periodically collapsing Evans bubbles and stock-price volatility. Economics Letters 123, 383-386.

  • 2013

    • Beccarini, A., 2013. Economic reforms and the indirect role of monetary policy. Applied Economics Letters 20, 432-435.
    • Lammerding, M., Stephan, P., Trede, M., Wilfling, B., 2013. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach. Energy Economics 36, 491-502.
    • Savu, C., Trede, M., 2013. Do stock returns have an Archimedean copula?. Journal of Applied Statistics 40, 1764-1778.

  • 2012

    • Von Auer, L., Trede, M., 2012. The dynamics of brand equity: a hedonic regression approach to the laser printer market. Journal of the Operational Research Society 63, 1351-1362.

  • 2011

    • Al-Anaswah, N., Wilfling, B., 2011. Identification of speculative bubbles using state-space models with Markov-switching. Journal of Banking and Finance 35, 1073-1086.
    • Bohl, M.T., Salm, C., Wilfling, B., 2011. Do individual futures investors destabilize the underlying spot market? Journal of Futures Markets 31, 81-101.
    • Heimann, T., Trede, M., 2011. A Continuous-Time Model of Income Dynamics. Journal of Income Distribution 20, 104-116.
    • Sondermann, D., Trede, M., Wilfling, B., 2011. Estimating the degree of interventionist policies in the run-up to EMU. Applied Economics 43, 207-218.

  • 2010

    • Beccarini, A., 2010. Eliminating the omitted variable bias by a regime-switching approach. Journal of Applied Statistics 37, 57-75.
    • Savu, C., Trede, M., 2010. Hierarchies of Archimedean copulas. Quantitative Finance 10 , 295-304.
    • Trede, M., Wing Lon NG. ,2010. High-frequency Index Returns: The Stylized Facts Revised. Empirical Economics Letters 9, 145-156.

  • 2009

    • Beccarini, A., 2009. The impact of labour market partial reforms on workers’ productivity: The italian case. International Journal of Applied Economics 6, 1-9.
    • Beccarini, A., Cybo-Ottone A., Savorelli L., 2009. The Recapitalization of Banking and Insurance during the 2007-09  Credit Crisis. Generali.
    • Bohl, M.T., Brzeszczynski, J., Wilfling, B., 2009. Institutional investors and stock returns volatility: Empirical evidence from a natural experiment. Journal of Financial Stability 5, 170-182.
    • Gelman, S., Wilfling, B., 2009. Markov-switching in target stocks during takeover bids. Journal of Empirical Finance 16, 745-758.
    • Puzanova, N., Siddiqui, S., Trede, M., 2009. Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology. Journal of Financial Stability 5, 374-392.
    • Trede, M., Watrin, C., Ullmann, R., 2009. Ziffernanalyse und Chi-Quadrat-Anpassungstest in der steuerlichen Anwendung. Die Betriebswirtschaft 69, 701-716.
    • Wilfling, B., 2009. Volatility regime-switching in European exchange rates prior to monetary unification. Journal of International Money and Finance 28, 240-270.

  • 2008

    • Beccarini, A., Gros, D., 2008. At what Cost Price Stability?: New Evidence about the Phillips Curve in Europe and the United States. CEPS Working document 302.
    • Beccarini, A., 2008. Interest Rates and Business Cycles Fluctuations: a Focus on Higher Moments. Journal for Studies in Economics & Econometrics 3.
    • Richter, A., Trede, M., 2008. Intertemporal consistency of predictors of business administration students’ performance in economics courses: Bootstrapping a structural equation model. Journal of the Academy of Business Education 9, 72-88.
    • Schluter, C., Trede, M., 2008. Identifying multiple outliers in heavy-tailed distributions with an application to market crashes. Journal of Empirical Finance 15, 700-713.
    • Savu, C., Trede, M., 2008. Goodness-of-fit tests for parametric families of Archimedean copulas. Quantitative Finance 8, 109-116.

  • 2007

    • Beccarini, A., 2007. Investment sensitivity to interest rates in an uncertain context: is a positive relationship possible?. Economic Change and Restructuring 40, 223-234.
    • Beccarini, A., 2007. Verifying Expectation Hypothesis of the Term Structure of Interest Rates within Regimes. Analisi Finanziaria 67, 23-31.
    • Langer, T., Trede, M., Zeisberger, S., 2007. A note on myopic loss aversion and the equity premium puzzle. Finance Research Letters 4, 127-136.
    • Trede, M., Wilfling, B., 2007. Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data. Empirical Economics 33, 23-39.

  • 2006

    • Beccarini, A., 2006. La Determinazione dei Tassi di Interesse Bancari: alcune Evidenze Teoriche e Empiriche. Rivista Bancaria 6.
    • Heer, B., Trede, M., 2006. Nichtkooperative Differenzialspiele in der Ökonomie. WiSt-Wirtschaftswissenschaftliches Studium 35, 14-18.
    • Schmid, F.,  Trede, M., 2006. Finanzmarktstatistik. Springer-Verlag.

  • 2005

    • Beccarini, A. 2005. Econometric Analysis of Short Term Interest Rate of the Euro Area: a Regime-Switching Application. Economia, Società e Istituzioni 2.
    • Wilfling, B., 2005. A term-structure model of international interest rate convergence prior to monetary union. In: M. Göcke und S. Kooths (Hrsg.), Entscheidungsorientierte Volkswirtschaftslehre, Peter Lang Verlag, Frankfurt a.M., S. 53-79.

  • 2004

    • Heer, B., Trede, M., 2004. Taxation of labour and capital income in an OLG model with home production and endogenous fertility. International journal of global environmental issues 4, 73-88.

  • 2003

    • Beccarini, A. 2003. Predicting Business Cycles through Financial Variables. Internal Document of the European Central Bank (ECB).
    • Beccarini, A. 2003. Loans Interest Rates Determinants: some Econometric Evidences. Internal Document of the Italian Bankers’ Association (ABI).
    • Heer, B., & Trede, M., 2003. Efficiency and distribution effects of a revenue-neutral income tax reform. Journal of Macroeconomics 25, 87-107.
    • Schluter, C., Trede, M., 2003. Local versus global assessment of mobility. International Economic Review  44, 1313-1335.
    • Schmid, F., Trede, M., 2003. Simple tests for peakedness, fat tails and leptokurtosis based on quantiles. Computational Statistics & Data Analysis 43, 1-12.
    • Wilfling, B., 2003. Interest rate volatility prior to monetary union under alternative pre-switch regimes. German Economic Review 4, 433-457.

  • 2002

    • Barth, W., Trede, M., 2002. Produkt- und zielgruppenspezifische Ertragspotenzialrechnungen: Konzeptionen und Implikationen für das Marketing im Girogeschäft. Bank-Archiv 50, 97-105.
    • Schluter, C., Trede, M., 2002. Tails of Lorenz curves. Journal of Econometrics 109, 151-166.
    • Schluter, C., Trede, M., 2002. Statistical inference for inequality and poverty measurement with dependent data. International Economic Review 43, 185-200.
    • Trede, M., 2002. Bootstrapping inequality measures under the null hypothesis: Is it worth the effort?. Journal of Economics 77, 261-282.

  • 2001

    • Beccarini, A. 2001. Analysis of the Salary Determinants for the Italian Credit and Finance Sectors. Internal Document of the Italian Bankers’ Association (ABI).
    • Lorenzen, U., Wilfling, B., 2001. Transportation in the Baltic region: A growing market until 2010/2020. In: S. Ertel (Ed.), Foresight on regional issues: Baltic sea as European sea, IPTS -- Institute for Prospective Technological Studies, Sevilla, pp. 67-80.
    • Maasoumi, E., Trede, M., 2001. Comparing income mobility in Germany and the United States using generalized entropy mobility measures. Review of Economics and Statistics 83, 551-559.
    • Maennig, W., Wilfling, B., 2001. Exchange rate dynamics in anticipation of time-contingent regime-switching: Modelling the effects of a possible delay. Journal of International Money and Finance 20, 91-113.
    • Wilfling, B., 2001. Wechselkursdynamik und Zinsentwicklung vor Regimewechseln des Währungssystems. Nomos Verlagsgesellschaft, Baden-Baden.

  • 2000

    • Heer, B., Trede, M., 2000. On the Use of Projection Methods in the Computation of OLG Models. Jahrbücher für Nationalökonomie und Statistik 220, 32-47.
    • Maennig, W., Wilfling, B., 2000. Zur Wechselkursdynamik vor der Einführung von Festkurssystemen. In: E. Scholing (Hrsg.), Währung und wirtschaftliche Entwicklung, Duncker & Humblot, Berlin, S. 101-116.
    • Schmid, F., Trede, M., 2000. Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s. Jahrbücher für Nationalökonomie und Statistik 220, 315-326.
    • Stich, A.,  Trede, M., 2000. Länder oder Branchen? Zur Diversifikation von Portfolios. Finanzmarkt und Portfolio Management 14, 24-33.

  • 1999

    • Trede, M., 1999. Statistical Inference for Measures of Income Mobility. Jahrbücher für Nationalökonomie und Statistik 218, 473-490.
    • Wilfling, B., 1999. Wechselkursdynamik im Vorfeld einer Währungsunion. Jahrbücher für Nationalökonomie und Statistik 218, 23-44.

  • 1998

    • Barth, W., Trede, M., 1998. Kontrollgruppeneinflüsse im Direktmarketing: Auswirkungen auf Werbewirkungsmessung und Kundensegmentation. Marketing: Zeitschrift für Forschung und Praxis 20, 91-97.
    • Heer, B., Trede, M., 1998. How Did the German Government Parties Succeed in Stabilizing Cyclical Fluctuations?. Finanzarchiv 55, 1-24.
    • Maennig, W., Wilfling, B., 1998. Außenwirtschaft - Theorie und Politik. Verlag Franz Vahlen, München.
    • Schmid, F., Trede, M., 1998. A Kolmogorov-type test for second-order stochastic dominance. Statistics & probability letters 37, 183-193.
    • Trede, M., 1998. Einkommensmobilität. In: Statistisches Bundesamt (Hrsg.), Forum der Bundesstatistik 32, S. 89-109
    • Trede, M., 1998. Schätzung von Sterbewahrscheinlichkeiten unter Berücksichtigung stochastischer Abhängigkeiten. Allgemeines statistisches Archiv 82, 162-177.
    • Trede, M., 1998. The age-profile of earnings mobility: Statistical inference for conditional kernel density estimates. Journal of Applied Econometrics  13, 397-409.
    • Trede, M., 1998. Making mobility visible: a graphical device. Economics Letters 59, 77-82.

  • 1997

    • Heer, B., Trede, M., Wahrenburg, M., 1997. The effect of option trading at the DTB on the underlying stocks' return variance. Empirical Economics 22, 233-245.
    • Trede, M., 1997. Statistische Messung der Einkommensmobilität. Vandenhoeck & Ruprecht, Göttingen.
    • Schmid, F., Trede, M., 1997. Nonparametric tests for second order stochastic dominance from paired observations: Theory and empirical application. In: P. Von der Lippe, N. Rehm, H. Strecker, R. Wiegert (Hrsg.), Wirtschafts- und Sozialstatistik heute. Theorie und Praxis (Festschrift für Walter Krug), Verlag Wissenschaft & Praxis, Berlin, S. 31-46.

  • 1996

    • Brachmann, K., Stich, A., Trede, M., 1996. Evaluating parametric income distribution models. Allgemeines Statistisches Archiv  80, 285-298.
    • Schmid, F., Trede, M., 1996. An L 1-variant of the Cramer-von Mises test. Statistics & probability letters 26, 91-96.
    • Schmid, F., Trede, M., 1996. Testing for first order stochastic dominance in either direction. Computational Statistics 11, 165-173.
    • Schmid, F., Trede, M., 1996. Nonparametric inference for second order stochastic dominance, discussion papers. Statistics and Econometrics, No. 02.
    • Schmid, F., Trede, M., 1996. Testing for first-order stochastic dominance: a new distribution-free test. The Statistician 45, 371-380.
    • Wilfling, B., 1996. Lorenz-ordering of generalized beta-II income distributions. Journal of Econometrics 71, 381-388.
    • Wilfling, B., 1996. A sufficient condition for Lorenz ordering. Sankhya: The Indian Journal of Statistics B58, 62-69.
    • Wilfling, B., 1996. Lorenz ordering of power-function order statistics. Statistics & Probability Letters 30, 313-319.

  • 1995

    • Schmid, F., Trede, M., 1995. A distribution free test for the two sample problem for general alternatives. Computational Statistics & Data Analysis 20, 409-419.

  • 1993

    • Krämer, W., Wilfling, B., 1993. Lorenz-ordering of Singh-Maddala income distributions. Economics Letters 43, 53-57.