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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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10623: Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test Downloads
Verena Monschang, Mark Trede and Bernd Wilfling
10523: A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches Downloads
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 Downloads
Tore Dubbert
10322: Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era Downloads
Dimitrios Kanelis and Pierre Siklos
10222: Strict stationarity of Poisson integer-valued ARCH processes of order infinity Downloads
Mawuli Segnon
10122: Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve Downloads
Gaygysyz Guljanov, Willi Mutschler and Mark Trede
10022: Government spending effects on the business cycle in times of crisis Downloads
Tino Berger and Tore Dubbert
9922: Financial-market volatility prediction with multiplicative Markov-switching MIDAS components Downloads
Bjoern Schulte-Tillmann, Mawuli Segnon and Bernd Wilfling
9822: Urbanization in Industrialized Countries: Appearances Are Deceptive Downloads
Ludwig von Auer and Mark Trede
9722: A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction Downloads
Verena Monschang and Bernd Wilfling
9622: How Central Bank Mandates Influence Content and Tone of Communication Over Time Downloads
Martin T. Bohl, Dimitrios Kanelis and Pierre Siklos
9522: "Evil" Speculators? Evidence from Grain Futures Trading in Chicago During the Interwar Period Downloads
Elissa A.M. Iorgulescu, Alexander Puetz and Pierre Siklos
9421: Algorithmic Collusion: Insights from Deep Learning Downloads
Matthias Hettich
9320: Regional labour migration - Stylized facts for Germany Downloads
Mark Trede and Michael Zimmermann
9220: Exchange rate shocks in multicurrency interbank markets Downloads
Pierre Siklos and Martin Stefan
9120: Age-Specific Entrepreneurship and PAYG Public Pensions in Germany Downloads
Burkhard Heer and Mark Trede
9020: Urban population in Germany, 1500 - 1850 Downloads
Ulrich Pfister
8919: Speculation and the Informational Efficiency of Commodity Futures Markets Downloads
Martin Bohl, Alexander Pütz and Christoph Sulewski
8819: “Who pays the piper calls the tune” – Networks and transaction costs in commodity markets Downloads
Alexander Pütz, Pierre Siklos and Christoph Sulewski
8719: London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS Downloads
Martin Stefan and Claudia Wellenreuther
8619: An Introduction to ESMA’s Commitments of Traders Reports: Do Hedgers Really Hedge? Downloads
Martin T. Bohl, Martin Stefan and Claudia Wellenreuther
8519: The ECB’s monetary pillar after the financial crisis Downloads
T. Philipp Dybowski and Bernd Kempa
8419: Metal Prices Made in China? A Network Analysis of Industrial Metal Futures Downloads
Pierre Siklos, Martin Stefan and Claudia Wellenreuther
8319: The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models Downloads
Sergey Ivashchenko and Willi Mutschler
8219: Long Memory Conditional Heteroscedasticity in Count Data Downloads
Mawuli Segnon and Manuel Stapper
8119: Big in Japan: Global Volatility Transmission between Assets and Trading Places Downloads
Andreas Masuhr
8019: Measurement Errors in Index Trader Positions Data: Is the Price Pressure Hypothesis Still Invalid? Downloads
Martin T. Bohl, Nicole Branger and Mark Trede
7919: Forecasting Volatility in Cryptocurrency Markets Downloads
Mawuli Segnon and Stelios Bekiros
7819: Sup-ADF-style bubble-detection methods under test Downloads
Verena Monschang and Bernd Wilfling
7718: The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices Downloads
Martin T. Bohl and Christoph Sulewski
7618: Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896 Downloads
Martin T. Bohl, Alexander Pütz, Pierre Siklos and Christoph Sulewski
7518: Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute? Downloads
Martin T. Bohl, Pierre Siklos, Martin Stefan and Claudia Wellenreuther
7418: Return Dynamics During Periods of High Speculation in a Thinly-Traded Commodity Market Downloads
Martin T. Bohl and Martin Stefan
7318: Bayesian Estimation of Generalized Partition of Unity Copulas Downloads
Andreas Masuhr
7218: Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach Downloads
Christian Gross and Pierre Siklos
7118: Forecasting Inflation Uncertainty in the G7 Countries Downloads
Mawuli Segnon, Stelios Bekiros and Bernd Wilfling
7018: Randomized Quasi Sequential Markov Chain Monte Carlo² Downloads
Fabian Goessling
6918: Human Capital, Growth, and Asset Prices Downloads
Fabian Goessling
6818: An approach to increasing forecast-combination accuracy through VAR error modeling Downloads
Till Weigt and Bernd Wilfling
6717: Volatility Transmission in Overlapping Trading Zones Downloads
Andreas Masuhr
6617: Forecasting Market Risk of Portfolios: Copula-Markov Switching Multifractal Approach Downloads
Mawuli Segnon and Mark Trede
6517: Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis Downloads
Nazmus Khan
6417: Semi-parametric Bayesian Forecasting with an Application to Stochastic Volatility Downloads
Fabian Goessling and Martina Danielova Zaharieva
6317: Examining the Common Dynamics of Commodity Futures Prices Downloads
Christian Gross
6217: Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements Downloads
Martina Danielova Zaharieva, Mark Trede and Bernd Wilfling
6117: Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data Downloads
Mawuli Segnon, Chi Keung Lau, Bernd Wilfling and Rangan Gupta
6017: Investors' favourite - A different look at valuing individual labour income Downloads
Jan Voelzke, Jeanne Diesteldorf, Fabian Goessling and Till Weigt
5917: Computing the Substantial-Gain-Loss-Ratio Downloads
Jan Voelzke and Sebastian Mentemeier
5817: A new stock-price bubble with stochastically deflating trajectories Downloads
Benedikt Rotermann and Bernd Wilfling
5716: Should We Like it? - A Social Welfare Based Quantification of Policy Attractiveness Downloads
Jan Voelzke and Fabian Goessling
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