Details about Mark Trede

Access statistics for papers by Mark Trede.

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Short-id: ptr189

Working Papers

2020

1. Age-Specific Entrepreneurship and PAYG Public Pensions in Germany
   CESifo Working Paper Series, CESifo View citations (1)
   Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2020) View citations (1)
2. Regional labour migration - Stylized facts for Germany
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster

2019

3. Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
4. Size distributions reconsidered
   Post-Print, HAL View citations (1)
   See also Journal Article Size distributions reconsidered, Econometric Reviews, Taylor & Francis Journals (2019) View citations (4) (2019)

2017

5. Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (2)
6. Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
   See also Journal Article Forecasting market risk of portfolios: copula-Markov switching multifractal approach, The European Journal of Finance, Taylor & Francis Journals (2018) View citations (5) (2018)

2016

7. Classifying Industries Into Types of Relative Concentration
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
   Also in Research Papers in Economics, University of Trier, Department of Economics (2016)
   See also Journal Article Classifying industries into types of relative concentration, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2019) (2019)
8. Explosive earnings dynamics: Whoever has will be given more
   CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
9. Weak convergence to the Student and Laplace distributions
   Post-Print, HAL View citations (12)

2015

10. Regional Concentration and Confidence Regions
    ERSA conference papers, European Regional Science Association
11. The Case of Herding ist Stronger than You Think
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)

2014

12. Markets with Technological Progress: Pricing Quality, and Novelty
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
    Also in Research Papers in Economics, University of Trier, Department of Economics (2014) View citations (1)
    VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (1)
    See also Journal Article Markets with technological progress: pricing, quality, and novelty, Journal of Economics, Springer (2018) (2018)

2013

13. Gibrat, Zipf, Fisher and Tippett: City Size and Growth Distributions Reconsidered
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (8)

2012

14. Eliciting earnings risk from labor and capital income
    Norface Discussion Paper Series, Norface Research Programme on Migration, Department of Economics, University College London
15. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (5)
    See also Journal Article Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach, Energy Economics, Elsevier (2013) View citations (74) (2013)

2011

16. Estimating Continuous-Time Income Models
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster View citations (1)
17. Weak convergence to the t-distribution
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster

2010

18. A Direct Test of Rational Bubbles
    CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster
19. The Dynamics of Brand Equity: A Hedonic Regression Approach to the Laser Printer Market
    Research Papers in Economics, University of Trier, Department of Economics
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2010) View citations (2)
    See also Journal Article The dynamics of brand equity: a hedonic regression approach to the laser printer market, Journal of the Operational Research Society, Palgrave Macmillan (2012) View citations (5) (2012)

2004

20. Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
    HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA) View citations (1)
    See also Journal Article Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data, Empirical Economics, Springer (2007) View citations (4) (2007)

1997

21. Making mobility visible: A graphical device
    Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics
    See also Journal Article Making mobility visible: a graphical device, Economics Letters, Elsevier (1998) View citations (27) (1998)

1996

22. Nonparametric inference for second order stochastic dominance
    Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics View citations (1)

1995

23. The age-profile of earnings mobility: Statistical inference for conditional kernel density estimates
    Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics View citations (1)

1994

24. Statistical inference in mobility measurement: Sex differences in earnings mobility
    Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics View citations (4)

Journal Articles

2020

1. Bayesian estimation of generalized partition of unity copulas
   Dependence Modeling, 2020, 8, (1), 119-131
2. Bayesian semiparametric multivariate stochastic volatility with application
   Econometric Reviews, 2020, 39, (9), 947-970 View citations (6)
3. Maximum likelihood estimation of high-dimensional Student-t copulas
   Statistics & Probability Letters, 2020, 159, (C) View citations (1)

2019

4. Classifying industries into types of relative concentration
   Journal of the Royal Statistical Society Series A, 2019, 182, (3), 1017-1037
   See also Working Paper Classifying Industries Into Types of Relative Concentration, CQE Working Papers (2016) (2016)
5. Size distributions reconsidered
   Econometric Reviews, 2019, 38, (6), 695-710 View citations (4)
   See also Working Paper Size distributions reconsidered, Post-Print (2019) View citations (1) (2019)

2018

6. Forecasting market risk of portfolios: copula-Markov switching multifractal approach
   The European Journal of Finance, 2018, 24, (14), 1123-1143 View citations (5)
   See also Working Paper Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach, CQE Working Papers (2017) View citations (1) (2017)
7. Markets with technological progress: pricing, quality, and novelty
   Journal of Economics, 2018, 124, (2), 121-137
   See also Working Paper Markets with Technological Progress: Pricing Quality, and Novelty, CQE Working Papers (2014) View citations (1) (2014)

2017

8. Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins
   Review of Economics & Finance, 2017, 9, 29-41 View citations (2)
9. The case for herding is stronger than you think
   Journal of Banking & Finance, 2017, 85, (C), 30-40 View citations (17)

2016

10. Constructing minimum-width confidence bands
    Economics Letters, 2016, 145, (C), 182-185 View citations (2)

2013

11. Do stock returns have an Archimedean copula?
    Journal of Applied Statistics, 2013, 40, (8), 1764-1778 View citations (2)
12. Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    Energy Economics, 2013, 36, (C), 491-502 View citations (74)
    See also Working Paper Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach, CQE Working Papers (2012) View citations (5) (2012)

2012

13. The dynamics of brand equity: a hedonic regression approach to the laser printer market
    Journal of the Operational Research Society, 2012, 63, (10), 1351-1362 View citations (5)
    See also Working Paper The Dynamics of Brand Equity: A Hedonic Regression Approach to the Laser Printer Market, Research Papers in Economics (2010) (2010)

2011

14. A Continuous-Time Model of Income Dynamics
    Journal of Income Distribution, 2011, 20, (1), 104-116 View citations (2)
15. Estimating the degree of interventionist policies in the run-up to EMU
    Applied Economics, 2011, 43, (2), 207-218 View citations (6)

2010

16. Hierarchies of Archimedean copulas
    Quantitative Finance, 2010, 10, (3), 295-304 View citations (41)

2009

17. Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology
    Journal of Financial Stability, 2009, 5, (4), 374-392 View citations (1)

2008

18. Goodness-of-fit tests for parametric families of Archimedean copulas
    Quantitative Finance, 2008, 8, (2), 109-116 View citations (15)
19. Identifying multiple outliers in heavy-tailed distributions with an application to market crashes
    Journal of Empirical Finance, 2008, 15, (4), 700-713 View citations (4)

2007

20. A note on myopic loss aversion and the equity premium puzzle
    Finance Research Letters, 2007, 4, (2), 127-136 View citations (2)
21. Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data
    Empirical Economics, 2007, 33, (1), 23-39 View citations (4)
    See also Working Paper Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data, HWWA Discussion Papers (2004) View citations (1) (2004)

2004

22. Taxation of labour and capital income in an OLG model with home production and endogenous fertility
    International Journal of Global Environmental Issues, 2004, 4, (1/2/3), 73-88 View citations (1)

2003

23. Efficiency and distribution effects of a revenue-neutral income tax reform
    Journal of Macroeconomics, 2003, 25, (1), 87-107 View citations (43)
24. Local versus Global Assessment of Mobility
    International Economic Review, 2003, 44, (4), 1313-1335 View citations (42)
25. Simple tests for peakedness, fat tails and leptokurtosis based on quantiles
    Computational Statistics & Data Analysis, 2003, 43, (1), 1-12 View citations (10)

2002

26. Bootstrapping inequality measures under the null hypothesis: Is it worth the effort?
    Journal of Economics, 2002, 9, (1), 261-282 View citations (6)
    Also in Journal of Economics, 2002, 77, (1), 261-282 (2002) View citations (5)
27. Statistical Inference for Inequality and Poverty Measurement with Dependent Data
    International Economic Review, 2002, 43, (2), 493-508 View citations (12)
28. Tails of Lorenz curves
    Journal of Econometrics, 2002, 109, (1), 151-166 View citations (32)

2001

29. Comparing Income Mobility In Germany And The United States Using Generalized Entropy Mobility Measures
    The Review of Economics and Statistics, 2001, 83, (3), 551-559 View citations (88)

2000

30. On the Use of Projection Methods in the Computation of OLG Models / Zur Berechnung von OLG-Modellen mit Hilfe von Projektionsmethoden
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2000, 220, (1), 32-47
31. Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s / Stochastische Dominanz von Renditen deutscher Aktien: Eine empirische Untersuchung für die 90er Jahre
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2000, 220, (3), 315-326

1999

32. Statistical Inference for Measures of Income Mobility / Statistische Inferenz zur Messung der Einkommensmobilität
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, 218, (3-4), 473-490 View citations (6)

1998

33. A Kolmogorov-type test for second-order stochastic dominance
    Statistics & Probability Letters, 1998, 37, (2), 183-193 View citations (10)
34. Making mobility visible: a graphical device
    Economics Letters, 1998, 59, (1), 77-82 View citations (27)
    See also Working Paper Making mobility visible: A graphical device, Discussion Papers in Econometrics and Statistics (1997) (1997)
35. The age profile of mobility measures: an application to earnings in West Germany
    Journal of Applied Econometrics, 1998, 13, (4), 397-409 View citations (7)

1997

36. The Effect of Option Trading at the DTB on the Underlying Stocks' Return Variance
    Empirical Economics, 1997, 22, (2), 233-45 View citations (4)

1996

37. An L1-variant of the Cramer-von Mises test
    Statistics & Probability Letters, 1996, 26, (1), 91-96 View citations (4)

1995

38. A distribution free test for the two sample problem for general alternatives
    Computational Statistics & Data Analysis, 1995, 20, (4), 409-419 View citations (17)