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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6117: Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data

Mawuli Segnon, Chi Keung Lau, Bernd Wilfling and Rangan Gupta

6017: Investors' favourite - A different look at valuing individual labour income

Jan Voelzke, Jeanne Diesteldorf, Fabian Goessling and Till Weigt

5917: Computing the Substantial-Gain-Loss-Ratio

Jan Voelzke and Sebastian Mentemeier

5817: A new stock-price bubble with stochastically deflating trajectories

Benedikt Rotermann and Bernd Wilfling

5716: Should We Like it? - A Social Welfare Based Quantification of Policy Attractiveness

Jan Voelzke and Fabian Goessling

5616: The political economy of interregional competition for firms

Daniel Hopp and Michael Kriebel

5516: Classifying Industries Into Types of Relative Concentration

Ludwig von Auer, Andranik Stepanyan and Mark Trede

5416: Exact expectations - Efficient calculation of DSGE models

Fabian Goessling

5316: On shock symmetry in South America: New evidence from intra-Brazilian real exchange rates

Christian Rohe

5216: Committing to Fiscal Policy: The Influence of the U.S. President on Consumer Confidence and Output

Philipp Adämmer and T. Philipp Dybowski

5116: The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets

Martin T. Bohl, Christian Gross and Waldemar Souza

5016: New evidence for explosive behavior of commodity prices

Jeanne Diesteldorf, Sarah Meyer and Jan Voelzke

4916: The Economic Effects of U.S. Presidential Tax Communication

T. Philipp Dybowski, J. Nikolaj Dybowski and Philipp Adämmer

4816: A Note on the Success of Media Investments: No Predictability, Pure Luck

Martin T. Bohl and Thomas Ehrmann

4716: Explosive earnings dynamics: Whoever has will be given more

Sarah Meyer and Mark Trede

4616: A new combination approach to reducing forecast errors with an application to volatility forecasting

Till Weigt and Bernd Wilfling

4516: Short selling constraints and stock returns volatility: empirical evidence from the German stock market

Martin T. Bohl, Gerrit Reher and Bernd Wilfling

4415: Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?

Philipp Adämmer and Martin T. Bohl

4315: Higher-order statistics for DSGE models

Willi Mutschler

4215: The role of external shocks for monetary policy in Colombia and Brazil: A Bayesian SVAR analysis

Christian Rohe and Matthias Hartermann

4115: Management Compensation, Monitoring and Aggressive Corporate Tax Planning

Melanie Steinhoff

4015: Estimating rational stock-market bubbles with sequential Monte Carlo methods

Benedikt Rotermann and Bernd Wilfling

3915: Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?

Philipp Adämmer, Martin T. Bohl and Christian Gross

3815: Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures

Philipp Adämmer, Martin T. Bohl and Ernst-Oliver Ledebur

3715: The Case of Herding ist Stronger than You Think

Martin T. Bohl, Nicole Branger and Mark Trede

3614: The Effect of Index Futures Trading on Volatility: Three Markets for Chinese Stocks

Martin T. Bohl, Jeanne Diesteldorf and Pierre Siklos

3514: Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach

Martin T. Bohl, Jeanne Diesteldorf, Christian A. Salm and Bernd Wilfling

3414: Time-varying equilibrium rates in small open economies: Evidence for Canada

Tino Berger and Bernd Kempa

3314: Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning

Willi Mutschler

3214: Forecasting Exchange Rates under Model and Parameter Uncertainty

Joscha Beckmann and Rainer Schüssler

3114: Weakening the Gain-Loss-Ratio measure to make it stronger

Jan Voelzke

3014: Markets with Technological Progress: Pricing Quality, and Novelty

Ludwig von Auer and Mark Trede

2914: Forecasting Equity Premia using Bayesian Dynamic Model Averaging

Joscha Beckmann and Rainer Schüssler

2813: Periodically collapsing Evans bubbles and stock-price volatility

Benedikt Rotermann and Bernd Wilfling

2713: Gibrat, Zipf, Fisher and Tippett: City Size and Growth Distributions Reconsidered

Christian Schluter and Mark Trede

2613: King's law and food storage in Saxony, c. 1790-1830

Martin Uebele, Tim Grünebaum and Michael Kopsidis

2512: Economic Reforms and the Indirect Role of Monetary Policy

Andrea Beccarini

2412: From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks

Martin Bohl, Philipp Kaufmann and Patrick Stephan

2312: Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach

Marc Lammerding, Patrick Stephan, Mark Trede and Bernd Wilfling

2212: Verifying Time Inconsistency of the ECB Monetary Policy bya Regime-Switching Approach

Andrea Beccarini

2111: Weak convergence to the t-distribution

Christian Schluter and Mark Trede

2011: The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis

Max Meulemann, Martin Uebele and Bernd Wilfling

1911: Optimal contract under asymmetric information: the role of options on futures

Andrea Beccarini

1811: Estimating Continuous-Time Income Models

Christian Schluter and Mark Trede

1711: Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market

Gerrit Reher and Bernd Wilfling

1610: Identifying International Business Cycles in Disaggregate Data: Germany, France and Great Britain

Martin Uebele

1510: Consumer prices and wages in Germany, 1500 - 1850

Ulrich Pfister

1410: Explaining Nineteenth-Century Bilateralism: Economic and Political Determinants of the Cobden-Chevalier Network

Markus Lampe

1310: A Direct Test of Rational Bubbles

Friedrich Geiecke and Mark Trede

1210: The Dynamics of Brand Equity: A Hedonic Regression Approach to the Laser Printer Market

Ludwig von Auer and Mark Trede

1110: Demand Matters: German Wheat Market Integration 1806-1855 in a European Context

Martin Uebele

1010: An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union

Gerrit Reher and Bernd Wilfling

909: Do Foreign Institutional Investors Destabilize China’s A-Share Markets?

Michael Schuppli and Martin T. Bohl

809: The Other January Effect: International Evidence

Martin T. Bohl and Christian A. Salm

709: Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets

Martin T. Bohl, Michael Schuppli and Pierre Siklos

609: Do Individual Index Futures Investors Destabilize the Underlying Spot Market?

Martin T. Bohl, Christian A. Salm and Bernd Wilfling

509: A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada

Tino Berger and Bernd Kempa

409: International and National Wheat Market Integration in the 19th Century: A Comovement Analysis

Martin Uebele

309: Identification of speculative bubbles using state-space models with Markov-switching

Nael Al-Anaswah and Bernd Wilfling

209: Effects of Bilateralism and the MFN Clause on International Trade – Evidence for the Cobden-Chevalier Network, (1860-1875)

Markus Lampe

109: An Empirical Analysis of the Shanghai and Shenzen Limit Order Books

Huimin Chung, Jie Lu and Bruce Mizrach