11
H index
11
i10 index
376
Citations
Ralf Brüggemann : Citation Profile
Universität Konstanz | RESEARCH PRODUCTION: 11 Articles 36 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2000 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ralf Brüggemann. | Is cited by:
| Cites to:
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Main data
Where Ralf Brüggemann has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 2 |
Recent works citing Ralf Brüggemann (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | An identification and testing strategy for proxy-SVARs with weak proxies. (2022). Fanelli, Luca ; Cavaliere, Giuseppe ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2210.04523. Full description at Econpapers || Download paper |
| 2024 | Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066. Full description at Econpapers || Download paper |
| 2023 | Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers || Download paper |
| 2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
| 2024 | Oil price shocks in real time. (2024). Veronese, Giovanni ; Venditti, Fabrizio ; Gazzani, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1448_24. Full description at Econpapers || Download paper |
| 2023 | Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions. (2023). Lutkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2036. Full description at Econpapers || Download paper |
| 2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper |
| 2024 | Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies. (2024). Lutkepohl, Helmut ; Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000290. Full description at Econpapers || Download paper |
| 2023 | Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759. Full description at Econpapers || Download paper |
| 2023 | Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300. Full description at Econpapers || Download paper |
| 2023 | Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744. Full description at Econpapers || Download paper |
| 2023 | Asymmetric Effects of Energy Inflation, Agri-inflation and CPI on Agricultural Output: Evidence from NARDL and SVAR Models for the UK. (2023). Sarker, Provash ; Lau, Chi Keung ; Soliman, Alaa M ; Dastgir, Shabbir ; Cai, Yifei. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004188. Full description at Econpapers || Download paper |
| 2024 | Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Theilen, Bernd ; Herwartz, Helmut. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968. Full description at Econpapers || Download paper |
| 2024 | (Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854. Full description at Econpapers || Download paper |
| 2024 | Spillovers from US monetary policy: Role of policy drivers and cyclical conditions. (2024). Ostry, Jonathan ; Furceri, Davide ; Dominguez, Pablo Gonzalez ; Arbatli-Saxegaard, Elif C ; Peiris, Shanaka Jayanath. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000408. Full description at Econpapers || Download paper |
| 2024 | Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393223001630. Full description at Econpapers || Download paper |
| 2023 | Forecasting Methods of Key Ratios and Their Impact in Company’s Value. (2023). Galanos, Christos ; Artsidakis, Stylianos ; Liapis, Angelos. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:140-:d:1075564. Full description at Econpapers || Download paper |
| 2023 | An Alternative Bootstrap for Proxy Vector Autoregressions. (2023). Lutkepohl, Helmut ; Bruns, Martin. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10323-w. Full description at Econpapers || Download paper |
| 2023 | Monetary Policy Announcements, Information Shocks, and Exchange Rate Dynamics. (2023). Scharler, Johann ; Mayer, Eric ; Grundler, Daniel. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:2:d:10.1007_s11079-022-09682-6. Full description at Econpapers || Download paper |
| 2023 | Identifying Monetary Policy Shocks Through External Variable Constraints. (2023). Fusari, Francesco. In: School of Economics Discussion Papers. RePEc:sur:surrec:0123. Full description at Econpapers || Download paper |
| 2023 | Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence. (2023). Song, Mingxuan ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230049. Full description at Econpapers || Download paper |
| 2023 | Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions. (2023). Luetkepohl, Helmut ; Bruns, Martin. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-03. Full description at Econpapers || Download paper |
| 2024 | Identifying structural shocks to volatility through a proxy-MGARCH model. (2021). Polivka, Jeannine ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2021:03. Full description at Econpapers || Download paper |
| 2023 | The multifaceted impact of US trade policy on financial markets. (2023). Menkhoff, Lukas ; Boer, Lukas ; Rieth, Malte. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:388-406. Full description at Econpapers || Download paper |
Works by Ralf Brüggemann:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating.(2012) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2000 | Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 18 |
| 2000 | Lag selection in subset VAR models with an application to a US monetary system.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2011 | Nonlinear interest rate reaction functions for the UK In: Economic Modelling. [Full Text][Citation analysis] | article | 18 |
| 2010 | Nonlinear Interest Rate Reaction Functions for the UK.(2010) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2006 | Residual autocorrelation testing for vector error correction models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 29 |
| 2004 | Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2016 | Inference in VARs with conditional heteroskedasticity of unknown form In: Journal of Econometrics. [Full Text][Citation analysis] | article | 102 |
| 2014 | Inference in VARs with Conditional Heteroskedasticity of Unknown Form.(2014) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 2014 | Inference in VARs with Conditional Heteroskedasticity of Unknown Form.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 2013 | Forecasting contemporaneous aggregates with stochastic aggregation weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
| 2011 | Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights.(2011) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2011 | Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights.(2011) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2002 | Comparison of Model Reduction Methods for VAR Processes In: Economics Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2003 | Comparison of Model Reduction Methods for VAR Processes.(2003) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2002 | Comparison of model reduction methods for VAR processes.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2004 | Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative In: Economics Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2004 | A Small Monetary System for the Euro Area Based on German Data In: Economics Working Papers. [Full Text][Citation analysis] | paper | 36 |
| 2006 | A small monetary system for the euro area based on German data.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2005 | Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe In: Economics Working Papers. [Full Text][Citation analysis] | paper | 20 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | ||
| 2006 | Forecasting Euro-Area Variables with German Pre-EMU Data In: Economics Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2008 | Forecasting euro area variables with German pre-EMU data.(2008) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | ||
| 2005 | Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2005 | Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 24 |
| 2006 | VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Forecasting Euro-Area Variables with German Pre-EMU Data In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Special Issue on Economic Forecasts: Guest Editorial In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). [Full Text][Citation analysis] | article | 0 |
| 2012 | External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 3 |
| 2014 | The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Directed Graphs and Variable Selection in Large Vector Autoregressive Models In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Directed Graphs and Variable Selection in Large Vector Autoregressive Models.(2018) In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Directed Graph and Variable Selection in Large Vector Autoregressive Models.(2019) In: VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Identification of SVAR Models by Combining Sign Restrictions With External Instruments In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 22 |
| 2019 | Projection estimators for structural impulse responses In: Working Paper Series of the Department of Economics, University of Konstanz. [Full Text][Citation analysis] | paper | 4 |
| 2008 | VAR Modeling for Dynamic Loadings Driving Volatility Strings In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2006 | Sources of German unemployment: a structural vector error correction analysis In: Empirical Economics. [Full Text][Citation analysis] | article | 23 |
| 2001 | Sources of German unemployment: A structural vector error correction analysis.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2007 | Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland In: Applied Economics Letters. [Full Text][Citation analysis] | article | 7 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | ||
| 2000 | Uncovered interest parity: What can we learn from panel data? In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2002 | On the small sample properties of weak exogeneity tests in cointegrated VAR models In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| In: . [Full Text][Citation analysis] | paper | 0 |
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