5
H index
2
i10 index
78
Citations
Thomas Nitschka : Citation Profile
Schweizerische Nationalbank (SNB) | RESEARCH PRODUCTION: 18 Articles 27 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2005 - 2017). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Nitschka. | Is cited by:
| Cites to:
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Main data
Where Thomas Nitschka has published?
| Journals with more than one article published | # docs |
|---|---|
| The North American Journal of Economics and Finance | 2 |
| Journal of International Money and Finance | 2 |
| German Economic Review | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Swiss National Bank | 13 |
| Technical Reports / Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen | 2 |
Recent works citing Thomas Nitschka (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | Time series momentum and contrarian effects in the Chinese stock market. (2017). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1702.07374. Full description at Econpapers || Download paper |
| 2017 | Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552. Full description at Econpapers || Download paper |
| 2017 | Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey. (2017). Verstraete, Matthieu ; Suchanek, Lena . In: Staff Working Papers. RePEc:bca:bocawp:17-24. Full description at Econpapers || Download paper |
| 2017 | The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652. Full description at Econpapers || Download paper |
| 2018 | Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312. Full description at Econpapers || Download paper |
| 2018 | Do business cycles, investment-specific technology shocks matter for stock returns?. (2018). Prabheesh, KP ; Vidya, C T. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:511-524. Full description at Econpapers || Download paper |
| 2017 | Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199. Full description at Econpapers || Download paper |
| 2018 | Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach. (2018). Tachibana, Minoru. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:82-96. Full description at Econpapers || Download paper |
| 2018 | Common information in carry trade risk factors. (2018). Byrne, Joseph ; Sakemoto, Ryuta ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47. Full description at Econpapers || Download paper |
| 2017 | Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area. (2017). Zhu, Bing ; Sebastian, Steffen ; Betzinger, Michael . In: Journal of Housing Economics. RePEc:eee:jhouse:v:37:y:2017:i:c:p:1-21. Full description at Econpapers || Download paper |
| 2017 | Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Yang, Jiao-Hui ; Wang, XI. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110. Full description at Econpapers || Download paper |
| 2018 | Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy. (2018). Nitschka, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:44-54. Full description at Econpapers || Download paper |
| 2017 | Time series momentum and contrarian effects in the Chinese stock market. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:309-318. Full description at Econpapers || Download paper |
| 2017 | Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). Shi, Huai-Long ; Zhou, Wei-Xing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:397-407. Full description at Econpapers || Download paper |
| 2017 | The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:80788. Full description at Econpapers || Download paper |
| 2017 | Carry Trades and Commodity Risk Factors. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:80789. Full description at Econpapers || Download paper |
| 2018 | Investor Sentiment and Crash Risk in Safe Havens. (2018). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Ben Nasr, Adnen. In: Working Papers. RePEc:pre:wpaper:201804. Full description at Econpapers || Download paper |
| 2017 | Is Monetary Policy Too Complex for the Public? Evidence from the UK. (2017). Jost, Adriel. In: Working Papers. RePEc:snb:snbwpa:2017-15. Full description at Econpapers || Download paper |
| 2017 | Capital Flows and the Swiss Franc. (2017). Yesin, Pinar ; Yein, Pinar. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:153:y:2017:i:4:d:10.1007_bf03399513. Full description at Econpapers || Download paper |
| 2018 | The Swiss franc safety premium. (2018). Leutert, Jessica. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:154:y:2018:i:1:d:10.1186_s41937-017-0014-7. Full description at Econpapers || Download paper |
| 2017 | The Swiss francs honeymoon. (2017). Studer-Suter, Rahel ; Janssen, Alexandra . In: ECON - Working Papers. RePEc:zur:econwp:170. Full description at Econpapers || Download paper |
Works by Thomas Nitschka:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets In: German Economic Review. [Full Text][Citation analysis] | article | 11 |
| 2007 | International evidence for return predictability and the implications for long-run covariation of the G7 stock markets.(2007) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2016 | Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland In: German Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2016 | Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks’ Stocks? In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | Is there a too-big-to-fail discount in excess returns on German banks stocks?.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Securitization of Mortgage Debt, Asset Prices and International Risk Sharing In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2008 | Securitization of Mortgage Debt, Asset Prices and International Risk Sharing.(2008) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2012 | Securitization of mortgage debt, domestic lending, and international risk sharing In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 2 |
| 2015 | Foreign Currency Returns and Systematic Risks In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 5 |
| 2011 | Foreign currency returns and systematic risks.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2011 | About the soundness of the US-cay indicator for predicting international banking crises In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Firm size, economic risks, and the cross-section of international stock returns In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | Securitization, collateral constraints and consumption risk sharing in the euro area In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2015 | On financial risk and the safe haven characteristics of Swiss franc exchange rates In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 22 |
| 2013 | On financial risk and the safe haven characteristics of Swiss franc exchange rates.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2014 | Developed markets’ business cycle dynamics and time-variation in emerging markets’ asset returns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2010 | Cashflow news, the value premium and an asset pricing view on European stock market integration In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2007 | Cashflow news, the value premium and an asset pricing view on European stock market integration.(2007) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | Currency excess returns and global downside market risk In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 9 |
| 2013 | Currency excess returns and global downside market risk.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2013 | The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization In: Review of Financial Economics. [Full Text][Citation analysis] | article | 2 |
| 2010 | Idiosyncratic consumption risk and predictability of the carry trade premium: Euro-Area evidence In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 0 |
| 2008 | Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence.(2008) In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Exchange Rate Returns and External Adjustment: Evidence from Switzerland In: Open Economies Review. [Full Text][Citation analysis] | article | 2 |
| 2014 | Exchange rate returns and external adjustment: evidence from Switzerland.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2005 | The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability.(2006) In: Technical Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2014 | What News Drive Variation in Swiss and US Bond and Stock Excess Returns? In: Swiss Journal of Economics and Statistics (SJES). [Full Text][Citation analysis] | article | 0 |
| 2010 | Momentum in stock market returns: Implications for risk premia on foreign currencies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Momentum in stock market returns: implications for risk premia on foreign currencies.(2013) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2012 | Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Banking sectors international interconnectedness: Implications for consumption risk sharing in Europe.(2011) In: Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Global and country-specific business cycle risk in time-varying excess returns on asset markets In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Estimating Taylor Rules for Switzerland: Evidence from 2000 to 2012 In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Securitisation, loan growth and bank funding: the Swiss experience since 1932 In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Predicting returns on asset markets of a small, open economy and the influence of global risks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Risk premia on Swiss government bonds and sectoral stock indexes during international crises: In: Aussenwirtschaft. [Full Text][Citation analysis] | article | 2 |
| 2006 | Does sensitivity to cashflow news explain the value premium on European stock markets? In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 2007 | The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Momentum in stock market returns, risk premia on foreign currencies and international financial integration In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 0 |
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