Ralf Brüggemann

University of Konstanz - Department of Economics

Konstanz, D-78457

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

38

SSRN CITATIONS
Rank 46,194

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Top 46,194

in Total Papers Citations

5

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.

Practical Problems with Reduced-Rank Ml Estimators for Cointegration Parameters and a Simple Alternative

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 5, pp. 673-690, October 2005
Number of pages: 18 Posted: 05 Nov 2005
Ralf Brüggemann and Helmut Luetkepohl
University of Konstanz - Department of Economics and European University Institute
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2.

VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings

SFB 649 Discussion Paper 2006-011
Number of pages: 29 Posted: 09 Jan 2017
University of Konstanz - Department of Economics, Blockchain Research Center, Humboldt University of Berlin and University of Mannheim
Downloads 9 (718,355)
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Implied volatility surface, dynamic semiparametric factor model, unit root tests, vector autoregression, impulse responses

3.

VAR Modeling for Dynamic Loadings Driving Volatility Strings

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 361-381, 2008
Number of pages: 29 Posted: 17 Jun 2008 Last Revised: 06 Jun 2016
University of Konstanz - Department of Economics, Blockchain Research Center, Humboldt University of Berlin and University of Mannheim
Downloads 6 (742,056)
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C14, C32, implied volatility surface, dynamic semiparametric factor model, vector autoregression, impulse responses

4.

Forecasting Euro‐Area Macroeconomic Variables Using a Factor Model Approach for Backdating

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 1, pp. 22-39, 2015
Number of pages: 18 Posted: 07 Jan 2015
Ralf Brüggemann
University of Konstanz - Department of Economics
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