Details about Ralf Brüggemann

Access statistics for papers by Ralf Brüggemann.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pbr164

Working Papers

2020

1. Identification of SVAR Models by Combining Sign Restrictions With External Instruments
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (7)

2019

2. Directed Graph and Variable Selection in Large Vector Autoregressive Models
   VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association
   Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2018)
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2017)
3. Projection estimators for structural impulse responses
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (4)

2017

4. Identification of SVAR Models by Combining Sign Restrictions With External Instruments
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (15)

2014

5. Inference in VARs with Conditional Heteroskedasticity of Unknown Form
   Working Papers, University of Mannheim, Department of Economics View citations (16)
   Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2014) View citations (14)
   See also Journal Article Inference in VARs with conditional heteroskedasticity of unknown form, Journal of Econometrics, Elsevier (2016) View citations (92) (2016)
6. 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

2012

7. 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 View citations (3)
8. 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
   See also Journal Article Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) (2015)

2011

9. Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz
   Also in Economics Working Papers, European University Institute (2011)
   See also Journal Article Forecasting contemporaneous aggregates with stochastic aggregation weights, International Journal of Forecasting, Elsevier (2013) View citations (4) (2013)

2010

10. 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 View citations (5)
    See also Journal Article Nonlinear interest rate reaction functions for the UK, Economic Modelling, Elsevier (2011) View citations (15) (2011)

2006

11. Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
12. Forecasting Euro-Area Variables with German Pre-EMU Data
    Economics Working Papers, European University Institute View citations (4)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006)
    See also Journal Article Forecasting euro area variables with German pre-EMU data, Journal of Forecasting, John Wiley & Sons, Ltd. (2008) View citations (19) (2008)
13. VAR modeling for dynamic semiparametric factors of volatility strings
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2005

14. Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland, Applied Economics Letters, Taylor & Francis Journals (2007) View citations (7) (2007)
15. Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe
    Economics Working Papers, European University Institute View citations (20)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2005)

2004

16. A Small Monetary System for the Euro Area Based on German Data
    Economics Working Papers, European University Institute View citations (5)
    See also Journal Article A small monetary system for the euro area based on German data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (36) (2006)
17. Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative
    Economics Working Papers, European University Institute View citations (8)
    See also Journal Article Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (10) (2005)
18. Residual Autocorrelation Testing for Vector Error Correction Models
    Economics Working Papers, European University Institute View citations (3)
    See also Journal Article Residual autocorrelation testing for vector error correction models, Journal of Econometrics, Elsevier (2006) View citations (26) (2006)

2003

19. Comparison of Model Reduction Methods for VAR Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
    Also in Economics Working Papers, European University Institute (2002) View citations (4)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) View citations (4)

2002

20. 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 View citations (1)

2001

21. 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 View citations (3)
    See also Journal Article Sources of German unemployment: a structural vector error correction analysis, Empirical Economics, Springer (2006) View citations (21) (2006)

2000

22. Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (21)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (1)
23. 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 View citations (1)

Journal Articles

2016

1. Inference in VARs with conditional heteroskedasticity of unknown form
   Journal of Econometrics, 2016, 191, (1), 69-85 View citations (92)
   See also Working Paper Inference in VARs with Conditional Heteroskedasticity of Unknown Form, Working Papers (2014) View citations (16) (2014)

2015

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

2013

3. Forecasting contemporaneous aggregates with stochastic aggregation weights
   International Journal of Forecasting, 2013, 29, (1), 60-68 View citations (4)
   See also Working Paper Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights, Working Paper Series of the Department of Economics, University of Konstanz (2011) (2011)

2011

4. Nonlinear interest rate reaction functions for the UK
   Economic Modelling, 2011, 28, (3), 1174-1185 View citations (15)
   See also Working Paper Nonlinear Interest Rate Reaction Functions for the UK, Working Paper Series of the Department of Economics, University of Konstanz (2010) View citations (5) (2010)
5. Special Issue on Economic Forecasts: Guest Editorial
   Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 5-8

2008

6. Forecasting euro area variables with German pre-EMU data
   Journal of Forecasting, 2008, 27, (6), 465-481 View citations (19)
   See also Working Paper Forecasting Euro-Area Variables with German Pre-EMU Data, Economics Working Papers (2006) View citations (4) (2006)
7. VAR Modeling for Dynamic Loadings Driving Volatility Strings
   Journal of Financial Econometrics, 2008, 6, (3), 361-381 View citations (9)

2007

8. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland
   Applied Economics Letters, 2007, 14, (4), 245-249 View citations (7)
   See also Working Paper Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland, SFB 649 Discussion Papers (2005) (2005)

2006

9. A small monetary system for the euro area based on German data
   Journal of Applied Econometrics, 2006, 21, (6), 683-702 View citations (36)
   See also Working Paper A Small Monetary System for the Euro Area Based on German Data, Economics Working Papers (2004) View citations (5) (2004)
10. Residual autocorrelation testing for vector error correction models
    Journal of Econometrics, 2006, 134, (2), 579-604 View citations (26)
    See also Working Paper Residual Autocorrelation Testing for Vector Error Correction Models, Economics Working Papers (2004) View citations (3) (2004)
11. Sources of German unemployment: a structural vector error correction analysis
    Empirical Economics, 2006, 31, (2), 409-431 View citations (21)
    See also Working Paper Sources of German unemployment: A structural vector error correction analysis, SFB 373 Discussion Papers (2001) View citations (3) (2001)

2005

12. 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 View citations (10)
    See also Working Paper Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative, Economics Working Papers (2004) View citations (8) (2004)