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Details about Ralf Brüggemann

E-mail:
Homepage:http://cms.uni-konstanz.de/wiwi/ects/
Workplace:Fachbereich Wirtschaftswissenschaften (Department of Economics), Universität Konstanz (University of Constance), (more information at EDIRC)

Access statistics for papers by Ralf Brüggemann.

Last updated 2015-05-02. Update your information in the RePEc Author Service.

Short-id: pbr164


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Working Papers

2014

  1. Inference in VARs with Conditional Heteroskedasticity of Unknown Form
    Working Papers, University of Mannheim, Department of Economics Downloads View citations (10)
    Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2014) Downloads View citations (10)
  2. The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads

2012

  1. External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads View citations (2)
  2. Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)

2011

  1. Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
    Economics Working Papers, European University Institute Downloads
    Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2011) Downloads

    See also Journal Article in International Journal of Forecasting (2013)

2010

  1. Nonlinear Interest Rate Reaction Functions for the UK
    Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz Downloads View citations (4)
    See also Journal Article in Economic Modelling (2011)

2006

  1. Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
  2. Forecasting Euro-Area Variables with German Pre-EMU Data
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
    Also in Economics Working Papers, European University Institute (2006) Downloads View citations (2)

    See also Journal Article in Journal of Forecasting (2008)
  3. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

2005

  1. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Applied Economics Letters (2007)
  2. Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (17)
    Also in Economics Working Papers, European University Institute (2005) Downloads View citations (11)

2004

  1. A Small Monetary System for the Euro Area Based on German Data
    Economics Working Papers, European University Institute Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2006)
  2. Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Economics Working Papers, European University Institute Downloads View citations (7)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  3. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Comparison of Model Reduction Methods for VAR Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (14)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads View citations (2)
    Economics Working Papers, European University Institute (2002) Downloads View citations (2)

2002

  1. On the small sample properties of weak exogeneity tests in cointegrated VAR models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

2001

  1. Sources of German unemployment: A structural vector error correction analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Empirical Economics (2006)

2000

  1. Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (20)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (1)
  2. Uncovered interest parity: What can we learn from panel data?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

Journal Articles

2015

  1. Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating
    Oxford Bulletin of Economics and Statistics, 2015, 77, (1), 22-39 Downloads
    See also Working Paper (2012)

2013

  1. Forecasting contemporaneous aggregates with stochastic aggregation weights
    International Journal of Forecasting, 2013, 29, (1), 60-68 Downloads
    See also Working Paper (2011)

2011

  1. Nonlinear interest rate reaction functions for the UK
    Economic Modelling, 2011, 28, (3), 1174-1185 Downloads View citations (3)
    See also Working Paper (2010)

2008

  1. Forecasting euro area variables with German pre-EMU data
    Journal of Forecasting, 2008, 27, (6), 465-481 Downloads View citations (15)
    See also Working Paper (2006)
  2. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 Downloads View citations (5)

2007

  1. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland
    Applied Economics Letters, 2007, 14, (4), 245-249 Downloads View citations (4)
    See also Working Paper (2005)

2006

  1. A small monetary system for the euro area based on German data
    Journal of Applied Econometrics, 2006, 21, (6), 683-702 Downloads View citations (25)
    See also Working Paper (2004)
  2. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 Downloads View citations (15)
    See also Working Paper (2004)
  3. Sources of German unemployment: a structural vector error correction analysis
    Empirical Economics, 2006, 31, (2), 409-431 Downloads View citations (7)
    See also Working Paper (2001)

2005

  1. Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 673-690 Downloads View citations (10)
    See also Working Paper (2004)
 
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