CQE Working Papers

From Center for Quantitative Economics (CQE), University of Muenster
Am Stadtgraben 9, 48143 Münster, Germany.
Contact information at EDIRC.
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11125: Inequality Measurement - A unifying framework for dynamics, multidimensionality, and uncertainty

Simon Haastert, Christian Schluter and Mark Trede

11025: We Might Both Be Wrong - Reconciliation of Survey and Administrative Earnings Measurements

Stella Martin

10924: Accounting for Asymmetry in M-Estimation

Manuel Stapper

10824: Measurement Error in Earnings

Stella Martin, Kevin Stabenow and Mark Trede

10724: Extracting stock-market bubbles from dividend futures

Nicole Branger, Mark Trede and Bernd Wilfling

10623: Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test

Verena Monschang, Mark Trede and Bernd Wilfling

10523: A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches

Bjoern Schulte-Tillmann, Mawuli Segnon and Timo Wiedemann

10422: Stochastic debt sustainability analysis using time-varying fiscal reaction functions. An agnostic approach to fiscal forecasting

Tore Dubbert

10322: Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era

Dimitrios Kanelis and Pierre Siklos

10222: Strict stationarity of Poisson integer-valued ARCH processes of order infinity

Mawuli Segnon

10122: Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve

Gaygysyz Guljanov, Willi Mutschler and Mark Trede

10022: Government spending effects on the business cycle in times of crisis

Tino Berger and Tore Dubbert

9922: Financial-market volatility prediction with multiplicative Markov-switching MIDAS components

Bjoern Schulte-Tillmann, Mawuli Segnon and Bernd Wilfling

9822: Urbanization in Industrialized Countries: Appearances Are Deceptive

Ludwig von Auer and Mark Trede

9722: A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction

Verena Monschang and Bernd Wilfling

9622: How Central Bank Mandates Influence Content and Tone of Communication Over Time

Martin T. Bohl, Dimitrios Kanelis and Pierre Siklos

9522: "Evil" Speculators? Evidence from Grain Futures Trading in Chicago During the Interwar Period

Elissa A.M. Iorgulescu, Alexander Puetz and Pierre Siklos

9421: Algorithmic Collusion: Insights from Deep Learning

Matthias Hettich

9320: Regional labour migration - Stylized facts for Germany

Mark Trede and Michael Zimmermann

9220: Exchange rate shocks in multicurrency interbank markets

Pierre Siklos and Martin Stefan

9120: Age-Specific Entrepreneurship and PAYG Public Pensions in Germany

Burkhard Heer and Mark Trede

9020: Urban population in Germany, 1500 - 1850

Ulrich Pfister

8919: Speculation and the Informational Efficiency of Commodity Futures Markets

Martin Bohl, Alexander Pütz and Christoph Sulewski

8819: “Who pays the piper calls the tune” – Networks and transaction costs in commodity markets

Alexander Pütz, Pierre Siklos and Christoph Sulewski

8719: London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS

Martin Stefan and Claudia Wellenreuther

8619: An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge?

Martin T. Bohl, Martin Stefan and Claudia Wellenreuther

8519: The ECB’s monetary pillar after the financial crisis

T. Philipp Dybowski and Bernd Kempa

8419: Metal Prices Made in China? A Network Analysis of Industrial Metal Futures

Pierre Siklos, Martin Stefan and Claudia Wellenreuther

8319: The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models

Sergey Ivashchenko and Willi Mutschler

8219: Long Memory Conditional Heteroscedasticity in Count Data

Mawuli Segnon and Manuel Stapper

8119: Big in Japan: Global Volatility Transmission between Assets and Trading Places

Andreas Masuhr

8019: Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid?

Martin T. Bohl, Nicole Branger and Mark Trede

7919: Forecasting Volatility in Cryptocurrency Markets

Mawuli Segnon and Stelios Bekiros

7819: Sup-ADF-style bubble-detection methods under test

Verena Monschang and Bernd Wilfling

7718: The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices

Martin T. Bohl and Christoph Sulewski

7618: Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896

Martin T. Bohl, Alexander Pütz, Pierre Siklos and Christoph Sulewski

7518: Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?

Martin T. Bohl, Pierre Siklos, Martin Stefan and Claudia Wellenreuther

7418: Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market

Martin T. Bohl and Martin Stefan

7318: Bayesian Estimation of Generalized Partition of Unity Copulas

Andreas Masuhr

7218: Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach

Christian Gross and Pierre Siklos

7118: Forecasting Inflation Uncertainty in the G7 Countries

Mawuli Segnon, Stelios Bekiros and Bernd Wilfling

7018: Randomized Quasi Sequential Markov Chain Monte Carlo²

Fabian Goessling

6918: Human Capital, Growth, and Asset Prices

Fabian Goessling

6818: An approach to increasing forecast-combination accuracy through VAR error modeling

Till Weigt and Bernd Wilfling

6717: Volatility Transmission in Overlapping Trading Zones

Andreas Masuhr

6617: Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach

Mawuli Segnon and Mark Trede

6517: Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis

Nazmus Khan

6417: Semi-parametric Bayesian Forecasting with an Application to Stochastic Volatility

Fabian Goessling and Martina Danielova Zaharieva

6317: Examining the Common Dynamics of Commodity Futures Prices

Christian Gross

6217: Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements

Martina Danielova Zaharieva, Mark Trede and Bernd Wilfling