Bernd Wilfling : Citation Profile


Are you Bernd Wilfling?

Westfälische Wilhelms-Universität Münster (50% share)

8

H index

8

i10 index

193

Citations

RESEARCH PRODUCTION:

22

Articles

32

Papers

RESEARCH ACTIVITY:

   26 years (1993 - 2019). See details.
   Cites by year: 7
   Journals where Bernd Wilfling has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 24 (11.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwi156
   Updated: 2020-07-04    RAS profile: 2019-12-07    
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Relations with other researchers


Works with:

Trede, Mark (2)

Lau, Chi Keung (2)

GUPTA, RANGAN (2)

Bekiros, Stelios (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bernd Wilfling.

Is cited by:

GUPTA, RANGAN (13)

Caporale, Guglielmo Maria (10)

Balcilar, Mehmet (10)

Kleiber, Christian (6)

Katzke, Nico (5)

Chotikapanich, Duangkamon (4)

Griffiths, William (4)

Brzeziński, Michał (4)

Rao, D.S. Prasada (4)

Zhang, Yue-Jun (4)

Czudaj, Robert (4)

Cites to:

Hamilton, James (14)

Bollerslev, Tim (14)

De Grauwe, Paul (13)

Calvet, Laurent (10)

Obstfeld, Maurice (10)

bloom, nicholas (9)

Engle, Robert (8)

Dewachter, Hans (8)

Jagannathan, Ravi (8)

Weron, Rafał (7)

Svensson, Lars (7)

Main data


Where Bernd Wilfling has published?


Journals with more than one article published# docs
Journal of Futures Markets2
Economics Letters2
Journal of International Money and Finance2
Journal of Financial Stability2

Working Papers Series with more than one paper published# docs
CQE Working Papers / Center for Quantitative Economics (CQE), University of Muenster17
HWWA Discussion Papers / Hamburg Institute of International Economics (HWWA)6
Discussion Paper Series / Hamburg Institute of International Economics5

Recent works citing Bernd Wilfling (2019 and 2018)


YearTitle of citing document
2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2020The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry. (2020). Gaviria, Daniel Velasquez ; Cortes, Lina M ; Lozada, Juan M. In: Documentos de Trabajo CIEF. RePEc:col:000122:017936.

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2019Pension funds, large capital inflows and stock returns in a thin market. (2019). Serwa, Dobromi ; Bohl, Martin T ; Brzeszczyski, Janusz. In: Journal of Pension Economics and Finance. RePEc:cup:jpenef:v:18:y:2019:i:03:p:347-387_00.

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2018Identifying price bubble periods in the energy sector. (2018). Escobari, Diego ; Sharma, Shahil. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:418-429.

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2018Date stamping historical periods of oil price explosivity: 1876–2014. (2018). GUPTA, RANGAN ; Caspi, Itamar ; Katzke, Nico . In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:582-587.

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2018Forecasting the WTI crude oil price by a hybrid-refined method. (2018). Chai, Jian ; Li, Jie-Xun ; Zhang, Zhe George ; Zhou, Xiao-Yang ; Xing, Li-Min. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:114-127.

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2018Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test. (2018). Zhang, Dayong ; Liu, Jia ; Shi, Xunpeng ; Wang, Tiantian . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:495-503.

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2019Are alternative energies a real alternative for investors?. (2019). Miralles-Quiros, Maria Mar. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:535-545.

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2019Crude oil futures trading and uncertainty. (2019). Czudaj, Robert. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:793-811.

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2017When Will Occur the Crude Oil Bubbles?. (2017). Su, Chi-Wei ; Lobon, Oana-Ramona ; Chang, Hsu-Ling ; Li, Zheng-Zheng. In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:1-6.

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2020Chinese renewable energy industries’ boom and recession: Evidence from bubble detection procedure. (2020). Moldovan, Nicoleta-Claudia ; Lobon, Oana-Ramona ; Su, Chi-Wei ; Wang, Kai-Hua. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421519307852.

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2019What drives the off-shore futures market? Evidence from India and China. (2019). Sampath, Aravind ; Kumar, S. S. S., . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:394-402.

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2018Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. (2018). Su, Chi-Wei ; Si, Deng-Kui ; Tao, Ran ; Li, Zheng-Zheng. In: Japan and the World Economy. RePEc:eee:japwor:v:46:y:2018:i:c:p:56-63.

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2017Do iron ore price bubbles occur?. (2017). Dumitrescupeculea, Adelina ; Su, Chi-Wei ; Chang, Hsu-Ling ; Wang, Kai-Hua. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:340-346.

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2019The roundabout from interest rates to commodity prices in China: The role of money flow. (2019). Wang, Yaoqing ; Sun, Zesheng ; Yang, Lunan ; Zhou, Xu. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:627-642.

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2018Islamic spot and index futures markets: Where is the price discovery?. (2018). Karabiyik, Hande ; Westerlund, Joakim ; Bach, Dinh Hoang ; Narayan, Paresh Kumar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:52:y:2018:i:c:p:123-133.

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2019Time-varying lead–lag structure between the crude oil spot and futures markets. (2019). Yang, Yan-Hong ; Shao, Ying-Hui ; Stanley, Eugene H. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:723-733.

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2017Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets. (2017). Chen, Shyh-Wei ; Xie, Zixiong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:339-354.

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2017Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect. (2017). Loffredo, Maria I ; Chiarucci, Riccardo ; Ruzzenenti, Franco. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:912-921.

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2018Price discovery in emerging currency markets. (2018). Kumar, Satish. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:528-536.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2018On the regularity of American options with regime-switching uncertainty. (2018). Jacka, Saul D ; Ocejo, Adriana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:803-818.

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2018On the large deviation principle for maximum likelihood estimator of α-Brownian bridge. (2018). Zhao, Shoujiang ; Chen, Ting ; Liu, Qiaojing. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:143-150.

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2020Second-order stochastic dominance for decomposable multiparametric families with applications to order statistics. (2020). Bertoli-Barsotti, Lucio ; Lando, Tommaso. In: Statistics & Probability Letters. RePEc:eee:stapro:v:159:y:2020:i:c:s0167715219303372.

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2018Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework. (2018). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1207-:d:145404.

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2019Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods. (2019). Perifanis, Theodosios. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:14:p:2649-:d:247267.

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2017Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors. (2017). Lee, Chul-Yong ; Huh, Sung-Yoon. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:2:p:190-:d:88968.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2019Market structure or traders behavior? A multi agent model to assess flash crash phenomena and their regulation. (2019). Oriol, Nathalie ; Veryzhenko, Iryna. In: Post-Print. RePEc:hal:journl:halshs-01984442.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2020Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models. (2020). Cavicchioli, Maddalena. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9877-7.

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2017Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange. (2017). Costa, Carol Thiago ; da Veiga, Claudimar Pereira ; Almeida, Lauro Britode ; De Almeida, Lauro Brito ; da Silva, Wesley Vieira. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1317-1334.

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2017Identifying Price Bubble Periods in the Energy Sector. (2017). Escobari, Diego ; Sharma, Shahil. In: MPRA Paper. RePEc:pra:mprapa:83355.

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2018Asset Pricing and Asymmetric Information. (2018). Neto, Eurico Moreira ; Silva, Diego ; Ripamonti, Alexandre . In: MPRA Paper. RePEc:pra:mprapa:87403.

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2018Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel. In: MPRA Paper. RePEc:pra:mprapa:90682.

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2018Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps. (2018). Perera, Sandun ; Long, Hongwei ; Buckley, Winston . In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-016-2297-y.

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2020Some properties of double truncated distributions and their application in view of income inequality. (2020). Gildeh, Bahram Sadeghpour ; Mohtashami, Gholam Reza ; Behdani, Zahra . In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:1:d:10.1007_s00180-019-00890-2.

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2018Hedge fund attributes, insider behavior, and IPO volatility. (2018). Hull, Robert M ; Walker, Rosemary ; Kwak, Sungkyu . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:2:d:10.1007_s12197-017-9396-8.

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2019Crude oil futures trading and uncertainty. (2019). Czudaj, Robert. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep027.

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2018Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model. (2018). Lopes, Hedibert F ; Virbickaite, Audrone. In: DEA Working Papers. RePEc:ubi:deawps:89.

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2019Bayesian semiparametric Markov switching stochastic volatility model. (2019). Virbickaite, Audrone ; Lopes, Hedibert F. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:35:y:2019:i:4:p:978-997.

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2019Developing countries political cycles and the resource curse: Venezuelas case. (2019). Marquez-Velazquez, Alejandro . In: Discussion Papers. RePEc:zbw:fubsbe:201914.

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2017Date-stamping US housing market explosivity. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Katzke, Nico. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201744.

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2018Date-stamping US housing market explosivity. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Katzke, Nico . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201818.

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Works by Bernd Wilfling:


YearTitleTypeCited
2001Since When Have FOREX Markets Incorporated EMU into Currency Pricing? Evidence from Four Exchange Rate Series In: Discussion Paper Series.
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2001Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series.(2001) In: HWWA Discussion Papers.
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2001The Convergence of International Interest Rates Prior to Monetary Union In: Discussion Paper Series.
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2001The convergence of international interest rates prior to Monetary Union.(2001) In: HWWA Discussion Papers.
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2003Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany In: Discussion Paper Series.
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2003Non-Linear Dynamics and Predictable Forecast Errors: An Application to the OECD Forecasts for Germany.(2003) In: HWWA Discussion Papers.
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2001Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes In: Discussion Paper Series.
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2003Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes.(2003) In: German Economic Review.
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2001Interest rate volatility prior to monetary union under alternative pre-switch regimes.(2001) In: HWWA Discussion Papers.
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2003Exchange and Interest Rates prior to EMU: The Case of Greece In: Discussion Paper Series.
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2003Exchange and Interest Rates prior to EMU: The Case of Greece.(2003) In: HWWA Discussion Papers.
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2009Identification of speculative bubbles using state-space models with Markov-switching In: CQE Working Papers.
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2011Identification of speculative bubbles using state-space models with Markov-switching.(2011) In: Journal of Banking & Finance.
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2009Do Individual Index Futures Investors Destabilize the Underlying Spot Market? In: CQE Working Papers.
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2011Do individual index futures investors destabilize the underlying spot market?.(2011) In: Journal of Futures Markets.
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2010An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union In: CQE Working Papers.
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2011Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market In: CQE Working Papers.
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2011The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis In: CQE Working Papers.
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2014The restoration of the gold standard after the US Civil War: A volatility analysis.(2014) In: Journal of Financial Stability.
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2012The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2012Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach In: CQE Working Papers.
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2013Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach.(2013) In: Energy Economics.
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2013Periodically collapsing Evans bubbles and stock-price volatility In: CQE Working Papers.
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2014Periodically collapsing Evans bubbles and stock-price volatility.(2014) In: Economics Letters.
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2014Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach In: CQE Working Papers.
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2016Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach.(2016) In: Journal of Futures Markets.
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2015Estimating rational stock-market bubbles with sequential Monte Carlo methods In: CQE Working Papers.
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2016Short selling constraints and stock returns volatility: empirical evidence from the German stock market In: CQE Working Papers.
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2016Short selling constraints and stock returns volatility: Empirical evidence from the German stock market.(2016) In: Economic Modelling.
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2016A new combination approach to reducing forecast errors with an application to volatility forecasting In: CQE Working Papers.
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2017A new stock-price bubble with stochastically deflating trajectories In: CQE Working Papers.
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2018A new stock-price bubble with stochastically deflating trajectories.(2018) In: Applied Economics Letters.
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2017A new stock-price bubble with stochastically deflating trajectories.(2017) In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data In: CQE Working Papers.
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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data.(2017) In: Working Papers.
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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements In: CQE Working Papers.
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2018An approach to increasing forecast-combination accuracy through VAR error modeling In: CQE Working Papers.
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2018Forecasting Inflation Uncertainty in the G7 Countries In: CQE Working Papers.
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2018Forecasting Inflation Uncertainty in the G7 Countries.(2018) In: Econometrics.
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2019Sup-ADF-style bubble-detection methods under test In: CQE Working Papers.
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2019Sup-ADF-style bubble detection methods under test.(2019) In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy.
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1993The Lorenz-ordering of Singh-Maddala income distributions In: Economics Letters.
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1996Lorenz ordering of generalized beta-II income distributions In: Journal of Econometrics.
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2009Markov-switching in target stocks during takeover bids In: Journal of Empirical Finance.
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2009Institutional investors and stock returns volatility: Empirical evidence from a natural experiment In: Journal of Financial Stability.
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2001Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay In: Journal of International Money and Finance.
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2009Volatility regime-switching in European exchange rates prior to monetary unification In: Journal of International Money and Finance.
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2014The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime In: International Review of Economics & Finance.
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1996Lorenz ordering of power-function order statistics In: Statistics & Probability Letters.
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1999Wechselkursdynamik im Vorfeld einer Währungsunion / Exchange Rate Dynamics Prior to Monetary Union In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2007Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data In: Empirical Economics.
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2004Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data.(2004) In: HWWA Discussion Papers.
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2011Estimating the degree of interventionist policies in the run-up to EMU In: Applied Economics.
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2016A nesting framework for Markov-switching GARCH modelling with an application to the German stock market In: Quantitative Finance.
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